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~isPartOf:"Astin bulletin : the journal of the International Actuarial Association"
~isPartOf:"International review of economics & finance : IREF"
~isPartOf:"Journal of financial econometrics"
~subject:"ARCH-Modell"
~subject:"Measurement"
~type:"article"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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ARCH-Modell
Measurement
Risikomaß
85
Risk measure
85
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44
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44
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31
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31
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30
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Alexeev, Vitali
1
Bee, Marco
1
Boonen, Tim J.
1
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1
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1
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1
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Astin bulletin : the journal of the International Actuarial Association
International review of economics & finance : IREF
Journal of financial econometrics
Insurance / Mathematics & economics
111
Journal of risk
44
Journal of banking & finance
43
Risks : open access journal
35
Finance research letters
34
European journal of operational research : EJOR
31
Energy economics
30
The North American journal of economics and finance : a journal of financial economics studies
27
Journal of empirical finance
26
Economic modelling
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International review of financial analysis
24
The journal of risk model validation
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International journal of forecasting
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Scandinavian actuarial journal
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Research in international business and finance
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11
Journal of international financial markets, institutions & money
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Operations research letters
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Operations research
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Risk management : a journal of risk, crisis and disaster
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Pacific-Basin finance journal
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ECONIS (ZBW)
33
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1
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
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2
Market maker inventory, bid-ask spreads, and the computation of option implied risk measures
Eraker, Bjørn
;
Osterrieder, Daniela
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1820-1851
Persistent link: https://www.econbiz.de/10014444758
Saved in:
3
A new tail-based correlation measure and its application in global equity markets
Liu, Jinjing
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 959-987
Persistent link: https://www.econbiz.de/10014314844
Saved in:
4
Measuring systemic risk using multivariate quantile-located ES models
Garcia-Jorcano, Laura
;
Sanchis-Marco, Lidia
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 1-72
Persistent link: https://www.econbiz.de/10013542847
Saved in:
5
Improving value-at-risk prediction under model uncertainty
Peng, Shige
;
Yang, Shuzhen
;
Yao, Jianfeng
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 228-259
Persistent link: https://www.econbiz.de/10013542865
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6
Limit theory for forecasts of extreme distortion risk measures and expectiles
Hoga, Yannick
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 18-44
Persistent link: https://www.econbiz.de/10012878185
Saved in:
7
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
8
Risk measure index tracking model
Sant'Anna, Leonardo Riegel
;
Righi, Marcelo Brutti
; …
- In:
International review of economics & finance : IREF
80
(
2022
),
pp. 361-383
Persistent link: https://www.econbiz.de/10013342032
Saved in:
9
Estimating tail-risk using semiparametric conditional variance with an application to meme stocks
D'Addona, Stefano
;
Khanom, Najrin
- In:
International review of economics & finance : IREF
82
(
2022
),
pp. 241-260
Persistent link: https://www.econbiz.de/10013543110
Saved in:
10
Systemic risk measures and distribution forecasting of macroeconomic shocks
Chen, Guojin
;
Liu, Yanzhen
;
Zhang, Yu
- In:
International review of economics & finance : IREF
75
(
2021
),
pp. 178-196
Persistent link: https://www.econbiz.de/10012692464
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