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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"
~subject:"Basler Akkord"
~subject:"Measurement"
~subject:"Schätzung"
~subject:"Welt"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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Basler Akkord
Measurement
Schätzung
Welt
Risikomaß
138
Risk measure
138
Theorie
82
Theory
82
Portfolio selection
59
Portfolio-Management
59
Risikomanagement
50
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Risiko
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30
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Multivariate Verteilung
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Chen, Yanhong
2
Gatfaoui, Hayette
2
Hu, Yijun
2
Rudloff, Birgit
2
Afonso, Lourdes B.
1
Akhter, Selim
1
Amini, Hamed
1
Araichi, Sawssen
1
Ararat, Çağin
1
Auer, Benjamin R.
1
Barbagli, Matteo
1
Bei, Shuhua
1
Belkacem, Lotfi
1
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1
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1
Busetti, Fabio
1
Caivano, Michele
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Candelon, Bertrand
1
Centrone, Francesca
1
Changqing, Luo
1
Cheffou, Abdoulkarim Idi
1
Chekhlov, Alexei
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Chen, Lu
1
Chen, Tzu-ying
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Chen, Xiaohong
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Chi, Xie
1
Cong, Yu
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Cont, Rama
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D'Addona, Stefano
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Daly, Kevin James
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Astin bulletin : the journal of the International Actuarial Association
Economic modelling
International journal of theoretical and applied finance
Insurance / Mathematics & economics
118
Journal of banking & finance
62
Journal of risk
53
Risks : open access journal
47
Finance research letters
40
The North American journal of economics and finance : a journal of financial economics studies
35
European journal of operational research : EJOR
34
Energy economics
33
International review of financial analysis
30
Applied economics
24
Quantitative finance
24
The journal of risk model validation
24
Discussion paper / Tinbergen Institute
23
Econometric Institute research papers
20
International review of economics & finance : IREF
19
Journal of econometrics
19
Mathematics of operations research
19
Journal of risk management in financial institutions
18
Mathematics and financial economics
18
Finance and stochastics
17
Journal of empirical finance
17
Research paper series / Swiss Finance Institute
17
The journal of operational risk
17
International journal of forecasting
16
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
16
Working paper
16
Journal of financial econometrics : official journal of the Society for Financial Econometrics
15
Journal of forecasting
15
Journal of international financial markets, institutions & money
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Journal of risk and financial management : JRFM
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Working papers
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Applied economics letters
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Journal of financial econometrics
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Research in international business and finance
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Journal of financial stability
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ECONIS (ZBW)
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1
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
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2
Price risk analysis using GARCH family models : evidence from Shanghai crude oil futures market
Bei, Shuhua
;
Yang, Aijun
;
Pei, Haotian
;
Si, Xiaoli
- In:
Economic modelling
125
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014463673
Saved in:
3
Conditional tail price risk spillovers in coffee markets across quality, physical space, and time : empirical analysis with penalized quantile regressions
Fousekis, Panajiotis
;
Grigoriadis, Vasilis
- In:
Economic modelling
106
(
2022
),
pp. 1-10
Persistent link: https://www.econbiz.de/10013347534
Saved in:
4
Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi
;
Liang, Fang
;
Huang, Zhuo
;
Yan, Hong
- In:
Economic modelling
109
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
Saved in:
5
The response of hedge fund tail risk to macroeconomic shocks : a nonlinear VAR approach
Gregoriou, Greg N.
;
Racicot, François-Éric
;
Théoret, …
- In:
Economic modelling
94
(
2021
),
pp. 843-872
Persistent link: https://www.econbiz.de/10012695357
Saved in:
6
Comparing the small-sample estimation error of conceptually different risk measures
Auer, Benjamin R.
;
Schuhmacher, Frank
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-21
Persistent link: https://www.econbiz.de/10012662011
Saved in:
7
The time-varying risk of Italian GDP
Busetti, Fabio
;
Caivano, Michele
;
Delle Monache, Davide
; …
- In:
Economic modelling
101
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012796049
Saved in:
8
Efficient risk measures calculations for generalized CreditRisk+ models
Huang, Zhenzhen
;
Kwok, Yue-Kuen
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-51
Persistent link: https://www.econbiz.de/10012650350
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9
An ergodic BSDE risk representation in a jump-diffusion framework
Guambe, Calisto
;
Mabitsela, Lesedi
;
Kufakunesu, Rodwell
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012652631
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10
Coherent risk measures and normal mixture distributions with applications in portfolio optimization
Shi, Xiang
;
Kim, Young Shin
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012652709
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