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~isPartOf:"Astin bulletin : the journal of the International Actuarial Association"
~isPartOf:"Economic modelling"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"International review of economics & finance : IREF"
~isPartOf:"Quantitative finance"
~subject:"ARCH model"
~subject:"Ausreißer"
~subject:"Measurement"
~subject:"Welt"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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ARCH model
Ausreißer
Measurement
Welt
Risikomaß
224
Risk measure
224
Theorie
128
Theory
128
Portfolio selection
108
Portfolio-Management
108
Risiko
86
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81
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Gerlach, Richard
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Su, Jung-bin
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Chi, Xie
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D'Addona, Stefano
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Astin bulletin : the journal of the International Actuarial Association
Economic modelling
International journal of theoretical and applied finance
International review of economics & finance : IREF
Quantitative finance
Insurance / Mathematics & economics
121
Journal of banking & finance
63
Journal of risk
52
Finance research letters
46
Risks : open access journal
44
Energy economics
42
The North American journal of economics and finance : a journal of financial economics studies
38
Applied economics
33
European journal of operational research : EJOR
32
International review of financial analysis
32
Journal of empirical finance
31
The journal of risk model validation
27
International journal of forecasting
24
Journal of risk and financial management : JRFM
24
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21
Discussion paper / Tinbergen Institute
19
Mathematics of operations research
19
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18
Applied economics letters
17
Computational economics
17
Finance and stochastics
17
Mathematics and financial economics
17
Research in international business and finance
17
Working papers
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Journal of international financial markets, institutions & money
16
Research paper series / Swiss Finance Institute
16
Scandinavian actuarial journal
16
Econometric Institute research papers
15
Journal of financial econometrics
15
The journal of operational risk
15
Journal of financial econometrics : official journal of the Society for Financial Econometrics
14
Journal of mathematical finance
14
The European journal of finance
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Pacific-Basin finance journal
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Working paper
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
101
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1
Multivariate systemic risk measures and computation by deep learning algorithms
Doldi, A.
;
Feng, Y.
;
Fouque, Jean-Pierre
;
Frittelli, Marco
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1431-1444
Persistent link: https://www.econbiz.de/10014419169
Saved in:
2
f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172
Saved in:
3
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
4
Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
Saved in:
5
Variance reduction for risk measures with importance sampling in nested simulation
Xing, Yue
;
Sit, Tony
;
Wong, Hoi Ying
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 657-673
Persistent link: https://www.econbiz.de/10013367849
Saved in:
6
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
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7
Vulnerability-CoVaR : investigating the crypto-market
Waltz, Martin
;
Singh, Abhay Kumar
;
Okhrin, Ostap
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1731-1745
Persistent link: https://www.econbiz.de/10013367943
Saved in:
8
The impact of joint events on oil price volatility : evidence from a dynamic graphical news analysis model
Zhao, Lu-Tao
;
Wang, Dai-Song
;
Ren, Zhong-Yuan
- In:
Economic modelling
130
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014451154
Saved in:
9
Accounting for PD-LGD dependency : a tractable extension to the Basel ASRF framework
Barbagli, Matteo
;
Vrins, Frédéric
- In:
Economic modelling
125
(
2023
),
pp. 1-26
Persistent link: https://www.econbiz.de/10014463531
Saved in:
10
Do green financial markets offset the risk of cryptocurrencies and carbon markets?
Siddique, Md Abubakar
;
Nobanee, Haitham
;
Sitara Karim
; …
- In:
International review of economics & finance : IREF
86
(
2023
),
pp. 822-833
Persistent link: https://www.econbiz.de/10014434775
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