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~isPartOf:"Econometric Institute research papers"
~isPartOf:"Journal of risk"
~subject:"Multivariate Verteilung"
~subject:"Prognoseverfahren"
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Multivariate Verteilung
Prognoseverfahren
Risikomaß
152
Risk measure
152
Portfolio selection
70
Portfolio-Management
70
Theorie
45
Theory
45
Risikomanagement
43
Risk management
43
ARCH model
31
ARCH-Modell
31
Estimation
29
Schätzung
29
Basel Accord
27
Basler Akkord
27
Risiko
27
Risk
27
Measurement
25
Messung
25
Volatility
25
Volatilität
25
Forecasting model
23
Statistical distribution
22
Statistische Verteilung
22
Estimation theory
21
Schätztheorie
21
value-at-risk (VaR)
18
Capital income
17
Kapitaleinkommen
17
Credit risk
14
Kreditrisiko
14
Bank risk
13
Bankrisiko
13
Financial crisis
12
Financial services
12
Finanzdienstleistung
12
Finanzkrise
12
Welt
12
World
12
risk management
11
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18
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18
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11
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11
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English
29
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McAleer, Michael
11
Pérez Amaral, Teodosio
6
Jiménez-Martín, Juan-Ángel
5
Asai, Manabu
2
Caporin, Massimiliano
2
Chang, Chia-Lin
2
Jimenez-Martin, Juan-Angel
2
Maasoumi, Esfandiar
2
Ziggel, Daniel
2
Abad, Pilar
1
Amendola, Alessandra
1
Arora, Rohit
1
Benito Muela, Sonia
1
Berens, Tobias
1
Berger, Theo
1
Boeve, Rolf
1
Braun, Valentin
1
Candila, Vincenzo
1
Chan, Felix
1
Cotter, John
1
Da Veiga, Bernardo
1
Dionne, Georges
1
Gaigall, Daniel
1
Ghorbel, Ahmed
1
Hackethal, Andreas
1
Hanly, Jim
1
Hassani, Samir Saissi
1
Hesse, Frederik
1
Jiang, Cuixia
1
Kolman, Marek
1
Li, Handong
1
Li, Phillip
1
Li, Yuqian
1
Liu, Xiaohang
1
López-Martín, Carmen
1
Löser, Robert
1
Maciag, Jakob
1
Martin, R. Douglas
1
Medeiros, Marcelo C.
1
Missong, Martin
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Econometric Institute research papers
Journal of risk
International journal of forecasting
52
Finance research letters
33
Journal of forecasting
32
Energy economics
26
Insurance / Mathematics & economics
24
Journal of banking & finance
24
Risks : open access journal
24
The North American journal of economics and finance : a journal of financial economics studies
23
International review of financial analysis
22
Applied economics
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Discussion paper / Tinbergen Institute
17
Journal of empirical finance
17
Journal of risk and financial management : JRFM
17
Economic modelling
16
The journal of risk model validation
15
Computational economics
14
Quantitative finance
14
SFB 649 discussion paper
14
Journal of financial econometrics
13
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
12
European journal of operational research : EJOR
11
International review of economics & finance : IREF
11
The European journal of finance
11
Applied economics letters
10
Pacific-Basin finance journal
9
Working paper
9
Journal of economic dynamics & control
8
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
8
Journal of risk management in financial institutions
7
Working papers
7
CFS working paper series
6
Financial innovation : FIN
6
Journal of econometrics
6
Journal of international financial markets, institutions & money
6
Research in international business and finance
6
Discussion papers / CEPR
5
International journal of finance & economics : IJFE
5
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ECONIS (ZBW)
29
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1
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
- In:
Journal of risk
25
(
2023
)
6
,
pp. 73-103
Persistent link: https://www.econbiz.de/10014546368
Saved in:
2
Allocating and forecasting changes in risk
Gaigall, Daniel
- In:
Journal of risk
25
(
2023
)
3
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014283880
Saved in:
3
Reinvestigating international crude oil market risk spillovers
Jiang, Cuixia
;
Li, Yuqian
;
Xu, Qifa
;
Wu, Jun
- In:
Journal of risk
24
(
2021
)
1
,
pp. 25-52
Persistent link: https://www.econbiz.de/10012816795
Saved in:
4
Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall
Liu, Xiaohang
;
Li, Handong
- In:
Journal of risk
24
(
2021
)
1
,
pp. 53-77
Persistent link: https://www.econbiz.de/10012816812
Saved in:
5
Modeling loss given default regressions
Li, Phillip
;
Zhang, Xiaofei
;
Zhao, Xinlei
- In:
Journal of risk
23
(
2020/2021
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012500067
Saved in:
6
Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob
;
Hesse, Frederik
;
Boeve, Rolf
;
Pfingsten, …
- In:
Journal of risk
18
(
2016
)
5
,
pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
Saved in:
7
Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011432786
Saved in:
8
A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011346199
Saved in:
9
Backtesting expected shortfall : a simple recipe?
Moldenhauer, Felix
;
Pitera, Marcin
- In:
Journal of risk
22
(
2019
)
1
,
pp. 17-42
Persistent link: https://www.econbiz.de/10013177098
Saved in:
10
New backtests for unconditional coverage of expected shortfall
Löser, Robert
;
Wied, Dominik
;
Ziggel, Daniel
- In:
Journal of risk
21
(
2018/2019
)
4
,
pp. 39-59
Persistent link: https://www.econbiz.de/10012059868
Saved in:
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