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Search: subject:"value-at-risk"
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Risikomaß
40
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40
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22
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11
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2
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Computational economics
Insurance / Mathematics & economics
219
Journal of banking & finance
181
Journal of risk
123
European journal of operational research : EJOR
117
Finance research letters
111
Risks : open access journal
108
Energy economics
76
International review of financial analysis
75
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72
The North American journal of economics and finance : a journal of financial economics studies
68
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67
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64
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61
International journal of forecasting
59
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57
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56
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53
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52
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47
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47
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46
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44
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42
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The European journal of finance
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Risks
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Tinbergen Institute Discussion Papers
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36
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34
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SFB 649 discussion paper
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Scandinavian actuarial journal
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ECONIS (ZBW)
41
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1
An application of the IFM method for the risk assessment of financial instruments
Pons, Adrià
;
Cristobal-Fransi, Eduard
;
Vintrò, Carla
; …
- In:
Computational economics
61
(
2023
)
1
,
pp. 295-315
Persistent link: https://www.econbiz.de/10014228427
Saved in:
2
Comparison of
Value
at
Risk
(VaR) multivariate forecast models
Müller, Fernanda Maria
;
Righi, Marcelo Brutti
- In:
Computational economics
63
(
2024
)
1
,
pp. 75-110
Persistent link: https://www.econbiz.de/10014471980
Saved in:
3
Scenario generation for financial data with a machine learning approach based on realized volatility and copulas
Mesquita, Caio Mário
;
Valle, Cristiano Arbex
;
Pereira, …
- In:
Computational economics
63
(
2024
)
5
,
pp. 1879-1919
Persistent link: https://www.econbiz.de/10014550838
Saved in:
4
GARCHNet:
Value‑at‑risk
forecasting with GARCH models based on neural networks
Buczynski, Mateusz
;
Chlebus, Marcin
- In:
Computational economics
63
(
2024
)
5
,
pp. 1949-1979
Persistent link: https://www.econbiz.de/10014550845
Saved in:
5
Forecasting
Value
at
Risk
and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis
Afuecheta, Emmanuel
;
Okorie, Idika E.
;
Nadarajah, Saralees
- In:
Computational economics
63
(
2024
)
1
,
pp. 271-304
Persistent link: https://www.econbiz.de/10014472109
Saved in:
6
Importance sampling for calculating the
Value-at-Risk
and expected shortfall of the quadratic portfolio with t-distributed risk factors
Teng, Huei-Wen
- In:
Computational economics
62
(
2023
)
3
,
pp. 1125-1154
Persistent link: https://www.econbiz.de/10014382887
Saved in:
7
Horizon-adaptive extreme risk quantification for cryptocurrency assets
Tzagkarakis, George
;
Maurer, Frantz
- In:
Computational economics
62
(
2023
)
3
,
pp. 1251-1286
Persistent link: https://www.econbiz.de/10014382906
Saved in:
8
Robust portfolio optimization based on semi-parametric ARMA-TGARCH-EVT model with mixed copula using WCVaR
Deng, Xue
;
Liang, Ying
- In:
Computational economics
61
(
2023
)
1
,
pp. 267-294
Persistent link: https://www.econbiz.de/10014228426
Saved in:
9
Deviation-based model risk measures
Berkhouch, Mohammed
;
Müller, Fernanda Maria
;
Lakhnati, …
- In:
Computational economics
59
(
2022
)
2
,
pp. 527-547
Persistent link: https://www.econbiz.de/10013169017
Saved in:
10
Inaccurate
value
at
risk
estimations : bad modeling or inappropriate data?
Vasileiou, Evangelos
- In:
Computational economics
59
(
2022
)
3
,
pp. 1155-1171
Persistent link: https://www.econbiz.de/10013169235
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