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~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"Operations research"
~isPartOf:"Working papers / TSE : WP"
~subject:"Estimation theory"
~subject:"coherent risk measures"
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Search: subject:"Value at Risk"
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Estimation theory
coherent risk measures
Risikomaß
172
Risk measure
172
Theorie
124
Theory
124
Portfolio selection
89
Portfolio-Management
89
Risiko
80
Risk
80
Risikomanagement
59
Risk management
59
Measurement
48
Messung
48
Mathematical programming
41
Mathematische Optimierung
41
Stochastic process
34
Stochastischer Prozess
34
Statistical distribution
28
Statistische Verteilung
28
Schätztheorie
20
Robust statistics
19
Robustes Verfahren
19
Forecasting model
18
Prognoseverfahren
18
Estimation
15
Schätzung
15
Risikoaversion
14
Risk aversion
14
value-at-risk
13
ARCH model
12
ARCH-Modell
12
Ausreißer
12
Experiment
12
Outliers
12
Simulation
12
Capital income
11
Conditional value-at-risk
11
Kapitaleinkommen
11
Stochastic programming
11
expected shortfall
11
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16
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4
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Article
19
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4
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19
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19
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4
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4
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4
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4
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English
23
Author
All
Daouia, Abdelaati
4
Stupfler, Gilles
3
Girard, Stéphane
2
Padoan, Simone A.
2
Uryasev, Stan
2
Broadie, Mark
1
Cai, Charlie X.
1
Cai, Yuzhi
1
Chen, Pengzhan
1
Chiou, Wan-jiun Paul
1
Chun, So Yeon
1
Du, Yiping
1
Grønneberg, Steffen
1
Han, Heejoon
1
Hoga, Yannick
1
Hong, L. Jeff
1
Hu, Xueping
1
Inoue, Atsushi
1
Jiang, Rong
1
Juneja, Sandeep
1
Jung, Whayoung
1
Kim, Minjoo
1
Lee, Ji Hyung
1
Lee, Yong Woong
1
Li, Jonathan Yu-Meng
1
Liu, Guangwu
1
Liu, Xiaoyu
1
Lu, Jin
1
Mafusalov, Alexander
1
Meng, Xiaochun
1
Moallemi, Ciamac C.
1
Mu, Da-Ren
1
Noyan, Nilay
1
Pelletier, Denis
1
Rudolf, Gábor
1
Rösch, Daniel
1
Scheule, Harald
1
Shapiro, Alex
1
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1
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1
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Published in...
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European journal of operational research : EJOR
Journal of financial econometrics
Operations research
Working papers / TSE : WP
Insurance / Mathematics & economics
24
Journal of risk
22
Journal of econometrics
13
The journal of risk model validation
11
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
Finance research letters
9
Journal of financial econometrics : official journal of the Society for Financial Econometrics
9
Journal of banking & finance
8
Discussion paper / Tinbergen Institute
7
Risks : open access journal
7
Computational economics
6
Dresdner Beiträge zu quantitativen Verfahren
6
International journal of theoretical and applied finance
6
SFB 649 discussion paper
6
The journal of operational risk
6
International journal of forecasting
5
Journal of forecasting
5
Mathematics of operations research
5
Quantitative finance
5
Série des documents de travail / Centre de Recherche en Économie et Statistique
5
The North American journal of economics and finance : a journal of financial economics studies
5
Working papers series in theoretical and applied economics
5
Finance and economics discussion series
4
International journal of monetary economics and finance
4
Journal of mathematical finance
4
Journal of risk and financial management : JRFM
4
Econometrics : open access journal
3
Journal of empirical finance
3
Mathematical finance : an international journal of mathematics, statistics and financial economics
3
Scandinavian actuarial journal
3
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
The econometrics journal
3
Working papers
3
Applied economics
2
CAEPR working papers
2
Econometric reviews
2
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ECONIS (ZBW)
23
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1
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10
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23
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date (oldest first)
1
Extreme expectile estimation for short-tailed data, with an application to market risk assessment
Daouia, Abdelaati
;
Padoan, Simone A.
;
Stupfler, Gilles
-
2023
Persistent link: https://www.econbiz.de/10014227990
Saved in:
2
Estimation and inference of quantile impulse response functions by local projections : with applications to VaR dynamics
Han, Heejoon
;
Jung, Whayoung
;
Lee, Ji Hyung
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014526299
Saved in:
3
Optimal pooling and distributed inference for the tail index and extreme quantiles
Daouia, Abdelaati
;
Padoan, Simone A.
;
Stupfler, Gilles
-
2022
Persistent link: https://www.econbiz.de/10013170008
Saved in:
4
Kernel quantile estimators for nested simulation with application to portfolio
value-at-risk
measurement
Liu, Xiaoyu
;
Yan, Xing
;
Zhang, Kun
- In:
European journal of operational research : EJOR
312
(
2024
)
3
,
pp. 1168-1177
Persistent link: https://www.econbiz.de/10014456483
Saved in:
5
A simulation-based method for estimating systemic risk measures
Ye, Wuyi
;
Zhou, Yi
;
Chen, Pengzhan
;
Wu, Bin
- In:
European journal of operational research : EJOR
313
(
2024
)
1
,
pp. 312-324
Persistent link: https://www.econbiz.de/10014456563
Saved in:
6
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:
7
Single-index expectile models for estimating conditional
value
at
risk
and expected shortfall
Jiang, Rong
;
Hu, Xueping
;
Yu, Keming
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 345-366
Persistent link: https://www.econbiz.de/10013187986
Saved in:
8
Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi
;
Lu, Jin
;
Pelletier, Denis
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
Saved in:
9
ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupffer, Gilles
-
2018
Persistent link: https://www.econbiz.de/10013492959
Saved in:
10
Estimating
Value-at-Risk
and Expected Shortfall using the intraday low and range data
Meng, Xiaochun
;
Taylor, James W.
- In:
European journal of operational research : EJOR
280
(
2020
)
1
,
pp. 191-202
Persistent link: https://www.econbiz.de/10012132379
Saved in:
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