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~isPartOf:"Applied economics"
~subject:"Risk"
~subject:"Statistical distribution"
~subject:"Theory"
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Search: subject:"Value at Risk"
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Risikomaß
53
Risk measure
53
Theorie
23
ARCH model
20
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20
Portfolio selection
20
Portfolio-Management
20
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18
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18
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15
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extreme value theory
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Blazsek, Szabolcs
3
Barbi, Massimiliano
2
Long, Huaigang
2
Monteros, Luis Antonio
2
Romagnoli, Silvia
2
Wang, Yi-Hsien
2
Abuzayed, Bana
1
Al-Fayoumi, Nedal
1
Allen, David E.
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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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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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
Goodwin, Barry K.
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
204
Journal of banking & finance
116
European journal of operational research : EJOR
91
Risks : open access journal
91
Finance research letters
59
Journal of risk
58
Economic modelling
46
International review of financial analysis
45
Discussion paper / Tinbergen Institute
44
International journal of forecasting
43
Quantitative finance
43
Journal of empirical finance
42
Energy economics
36
International journal of theoretical and applied finance
33
Journal of risk and financial management : JRFM
32
Journal of econometrics
31
The journal of risk model validation
31
The North American journal of economics and finance : a journal of financial economics studies
30
The journal of operational risk
30
Finance and stochastics
29
Research paper series / Swiss Finance Institute
29
The European journal of finance
29
Computational economics
28
Scandinavian actuarial journal
28
SFB 649 discussion paper
27
Journal of forecasting
25
Mathematics and financial economics
25
Journal of economic dynamics & control
24
Mathematical finance : an international journal of mathematics, statistics and financial theory
24
Mathematics of operations research
24
Astin bulletin : the journal of the International Actuarial Association
23
Journal of financial econometrics
23
Working papers
23
International review of economics & finance : IREF
22
Journal of risk management in financial institutions
22
Operations research letters
22
The journal of credit risk : published quarterly by Incisive Media
22
Operations research
21
Journal of international financial markets, institutions & money
20
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ECONIS (ZBW)
40
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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
International commodity-market tail risk and stock volatility
Zhong, Juandan
;
Long, Huaigang
;
Ma, Feng
;
Wang, Jiqian
- In:
Applied economics
55
(
2023
)
49
,
pp. 5790-5799
Persistent link: https://www.econbiz.de/10014335790
Saved in:
3
Research on extreme risk measurement in the international carbon emission futures market, based on a two-component Beta-Skew-t-EGARCH-POT model
Geng, Wenjing
;
Zhao, Xin
;
Zhou, Xiaoxiao
- In:
Applied economics
55
(
2023
)
36
,
pp. 4194-4203
Persistent link: https://www.econbiz.de/10014299610
Saved in:
4
A panel threshold VAR with stochastic volatility-in-mean model : an application to the effects of financial and uncertainty shocks in emerging economies
Soave, Gian Paulo
- In:
Applied economics
55
(
2023
)
4
,
pp. 397-431
Persistent link: https://www.econbiz.de/10013494431
Saved in:
5
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:
6
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:
7
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:
8
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:
9
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:
10
The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights
Siu, Tak Kuen
- In:
Applied economics
53
(
2021
)
17
,
pp. 1991-2014
Persistent link: https://www.econbiz.de/10012500918
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