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~isPartOf:"Applied economics"
~subject:"Estimation theory"
~subject:"Multivariate distribution"
~subject:"Statistical distribution"
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Search: subject:"Value at Risk"
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Estimation theory
Multivariate distribution
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Risikomaß
53
Risk measure
53
Theorie
23
Theory
23
ARCH model
20
ARCH-Modell
20
Portfolio selection
20
Portfolio-Management
20
Estimation
18
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15
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extreme value theory
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Blazsek, Szabolcs
2
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2
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2
Monteros, Luis Antonio
2
Tiwari, Aviral Kumar
2
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1
Allen, David E.
1
Barbi, Massimiliano
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1
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1
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1
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1
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1
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1
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1
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1
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Applied economics
Insurance / Mathematics & economics
93
Journal of banking & finance
42
Journal of risk
39
Finance research letters
31
Risks : open access journal
31
International journal of forecasting
30
Discussion paper / Tinbergen Institute
25
Economic modelling
25
Energy economics
25
Journal of risk and financial management : JRFM
22
The North American journal of economics and finance : a journal of financial economics studies
22
The journal of operational risk
22
The journal of risk model validation
22
Journal of econometrics
21
Quantitative finance
21
European journal of operational research : EJOR
20
International review of financial analysis
20
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
20
Journal of empirical finance
18
SFB 649 discussion paper
18
Computational economics
17
Journal of financial econometrics
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
17
Journal of forecasting
17
Scandinavian actuarial journal
13
Pacific-Basin finance journal
12
The European journal of finance
12
International journal of theoretical and applied finance
11
International review of economics & finance : IREF
11
Working papers
11
Astin bulletin : the journal of the International Actuarial Association
9
Journal of mathematical finance
9
Journal of risk management in financial institutions
9
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
9
Swiss Finance Institute Research Paper
9
Applied economics letters
8
Journal of international financial markets, institutions & money
8
Research in international business and finance
8
Research paper series / Swiss Finance Institute
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ECONIS (ZBW)
22
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22
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1
The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization
Salazar Flores, Yuri
;
Díaz Hernández, Adán
; …
- In:
Applied economics
55
(
2023
)
37
,
pp. 4289-4303
Persistent link: https://www.econbiz.de/10014301231
Saved in:
2
A gradient boosting approach to estimating tail risk interconnectedness
Long, Yunshen
;
Zeng, LinQing
;
Wang, Jing
;
Long, Xingchen
; …
- In:
Applied economics
54
(
2022
)
8
,
pp. 862-879
Persistent link: https://www.econbiz.de/10012874756
Saved in:
3
Measuring systemic risk with a dynamic copula-based approach
Jang, Hyun Jin
;
Pan, Xiao
;
Park, Sumin
- In:
Applied economics
53
(
2021
)
50
,
pp. 5843-5863
Persistent link: https://www.econbiz.de/10012627102
Saved in:
4
Unconditional density vs conditional density functions in estimating
value-at-risk
Chiu, Yen-Chen
;
Chuang, I-Yuan
- In:
Applied economics
53
(
2021
)
4
,
pp. 482-494
Persistent link: https://www.econbiz.de/10012416070
Saved in:
5
Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution : evidence from China
Wang, Donghua
;
Ding, Jin
;
Chu, Guoqing
;
Xu, Dinghai
; …
- In:
Applied economics
53
(
2021
)
7
,
pp. 781-804
Persistent link: https://www.econbiz.de/10012416088
Saved in:
6
Modelling dependence and systemic risk between oil prices and BSE sectoral indices using stochastic copula and CoVar, ΔCoVar and MES approaches
Tiwari, Aviral Kumar
;
Pathak, Rajesh
;
DasGupta, Ranjan
; …
- In:
Applied economics
53
(
2021
)
58
,
pp. 6770-6788
Persistent link: https://www.econbiz.de/10012697968
Saved in:
7
Flexible modelling of multivariate risks in pricing margin protection insurance : modelling portfolio risks with mixtures of mixtures
Moosavian, Seyyed Ali Zeytoon Nejad
;
Goodwin, Barry K.
- In:
Applied economics
53
(
2021
)
4
,
pp. 411-440
Persistent link: https://www.econbiz.de/10012416054
Saved in:
8
Diamonds and precious metals for reduction of portfolio tail risk
Barbi, Massimiliano
;
Geman, Hélyette
;
Romagnoli, Silvia
- In:
Applied economics
52
(
2020
)
26
,
pp. 2841-2861
Persistent link: https://www.econbiz.de/10012221456
Saved in:
9
Dependence risk analysis in energy, agricultural and precious metals commodities : a pair vine copula approach
Kumar, Satish
;
Tiwari, Aviral Kumar
;
Raheem, I. D.
;
Ji, …
- In:
Applied economics
52
(
2020
)
28
,
pp. 3055-3072
Persistent link: https://www.econbiz.de/10012221480
Saved in:
10
Measuring quantile risk hedging effectiveness : a GO-GARCH-EVT-copula approach
Karnakar, Madhusudan
;
Sharma, Udayan
- In:
Applied economics
52
(
2020
)
48
,
pp. 5244-5262
Persistent link: https://www.econbiz.de/10012307213
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