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~isPartOf:"CFS working paper series"
~isPartOf:"Economics letters"
~isPartOf:"Energy economics"
~isPartOf:"Journal of forecasting"
~isPartOf:"Statistical Papers / Springer"
~subject:"Risikomaß"
~subject:"Risk measure"
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Search: subject:"Multivariate"
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Risikomaß
Risk measure
Theorie
85
Theory
85
Multivariate distribution
78
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77
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64
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1
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CFS working paper series
Economics letters
Energy economics
Journal of forecasting
Statistical Papers / Springer
Insurance / Mathematics & economics
30
The North American journal of economics and finance : a journal of financial economics studies
18
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17
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SFB 649 discussion paper
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ECONIS (ZBW)
30
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1
A
multivariate
GARCH-jump mixture model
Li, Chenxing
;
Maheu, John M.
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
Saved in:
2
Portfolio optimization based on forecasting models using vine copulas : an empirical assessment for global financial crises
Sahamkhadam, Maziar
;
Stephan, Andreas
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 2139-2166
Persistent link: https://www.econbiz.de/10014432866
Saved in:
3
A new model for forecasting VaR and ES using intraday returns aggregation
Song, Shijia
;
Li, Handong
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1039-1054
Persistent link: https://www.econbiz.de/10014338800
Saved in:
4
Dynamic risk spillovers from oil to stock markets : fresh evidence from GARCH copula quantile regression-based CoVaR model
Tian, Maoxi
;
Alshater, Muneer Maher
;
Yoon, Seong-min
- In:
Energy economics
115
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013541787
Saved in:
5
A comparison of Range Value at Risk (RVaR) forecasting models
Müller, Fernanda Maria
;
Gössling, Thalles Weber
; …
- In:
Journal of forecasting
43
(
2024
)
3
,
pp. 509-543
Persistent link: https://www.econbiz.de/10014532345
Saved in:
6
The relationship between energy and equity markets : evidence from volatility impulse response functions
Olson, Eric
;
Vivian, Andrew J.
;
Wohar, Mark E.
- In:
Energy economics
43
(
2014
),
pp. 297-305
Persistent link: https://www.econbiz.de/10010504812
Saved in:
7
Diversifying portfolios of U.S. stocks with crude oil and natural gas : a regime-dependent optimization with several risk measures
Gatfaoui, Hayette
- In:
Energy economics
80
(
2019
),
pp. 132-152
Persistent link: https://www.econbiz.de/10012172340
Saved in:
8
Risk dependence of CoVaR and structural change between oil prices and exchange rates : a time-varying copula model
Ji, Qiang
;
Liu, Bing-Yue
;
Fan, Ying
- In:
Energy economics
77
(
2019
),
pp. 80-92
Persistent link: https://www.econbiz.de/10012306349
Saved in:
9
Uncertainties and extreme risk spillover in the energy markets : a time-varying copula-based CoVaR approach
Ji, Qiang
;
Liu, Bing-Yue
;
Nehler, Henrik
;
Uddin, …
- In:
Energy economics
76
(
2018
),
pp. 115-126
Persistent link: https://www.econbiz.de/10011976598
Saved in:
10
Credit and market risks measurement in carbon financing for Chinese banks
Zhang, Xi
;
Li, Jian
- In:
Energy economics
76
(
2018
),
pp. 549-557
Persistent link: https://www.econbiz.de/10011976726
Saved in:
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