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~isPartOf:"Discussion paper / Deutsche Bundesbank"
~isPartOf:"Insurance / Mathematics & economics"
~isPartOf:"Quantitative finance"
~subject:"Estimation"
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Search: subject_exact:"CVaR (Conditional value at risk)"
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Estimation
Risikomaß
277
Risk measure
277
Theorie
212
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212
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149
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148
Portfolio selection
146
Portfolio-Management
146
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119
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110
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110
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87
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87
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33
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33
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31
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31
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29
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26
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26
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25
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19
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Düllmann, Klaus
2
Gerlach, Richard
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Alexander, Carol
1
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1
Chow, K. Victor
1
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Dakos, Michael
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1
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1
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Discussion paper / Deutsche Bundesbank
Insurance / Mathematics & economics
Quantitative finance
Journal of banking & finance
25
Journal of risk
22
Finance research letters
20
The North American journal of economics and finance : a journal of financial economics studies
20
Applied economics
18
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16
International review of financial analysis
16
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15
International journal of forecasting
15
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13
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13
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11
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11
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10
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9
Journal of risk and financial management : JRFM
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Pacific-Basin finance journal
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Economics letters
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SFB 649 discussion paper
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Journal of risk : JOR
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ECONIS (ZBW)
27
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1
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:
2
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
Saved in:
3
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:
4
Diversification quotients based on VaR and ES
Han, Xia
;
Lin, Liyuan
;
Wang, Ruodu
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 185-197
Persistent link: https://www.econbiz.de/10014466211
Saved in:
5
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao
;
Gerlach, Richard
;
Chen, Qian
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
Saved in:
6
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
Mao, Tiantian
;
Stupfler, Gilles
;
Yang, Fan
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 173-192
Persistent link: https://www.econbiz.de/10014317144
Saved in:
7
Persistence of jump-induced tail risk and limits to arbitrage
Chow, K. Victor
;
John, Kose
;
Li, Jingrui
;
Sopranzetti, …
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 705-719
Persistent link: https://www.econbiz.de/10014304321
Saved in:
8
Estimating and backtesting risk under heavy tails
Pitera, Marcin
;
Schmidt, Thorsten
- In:
Insurance / Mathematics & economics
104
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013264930
Saved in:
9
Extreme value estimation of the conditional risk premium in reinsurance
Goegebeur, Yuri
;
Guillou, Armelle
;
Qin, Jing
- In:
Insurance / Mathematics & economics
96
(
2021
),
pp. 68-80
Persistent link: https://www.econbiz.de/10012482751
Saved in:
10
Tail risks in large portfolio selection : penalized quantile and expectile minimum deviation models
Giacometti, Rosella
;
Torri, Gabriele
;
Paterlini, Sandra
- In:
Quantitative finance
21
(
2021
)
2
,
pp. 243-261
Persistent link: https://www.econbiz.de/10012424587
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