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~isPartOf:"Insurance: Mathematics and Economics"
~isPartOf:"Journal of econometrics"
~subject:"Nonparametric statistics"
~subject:"Risikomanagement"
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Search: subject:"Value at Risk"
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Nonparametric statistics
Risikomanagement
Risikomaß
42
Risk measure
42
Theorie
22
Theory
22
Estimation
15
Schätzung
15
Statistical distribution
15
Statistische Verteilung
15
Value-at-Risk
15
Portfolio selection
14
Portfolio-Management
14
Value at risk
14
Estimation theory
13
Risk management
13
Schätztheorie
13
ARCH model
11
ARCH-Modell
11
Capital income
9
Kapitaleinkommen
9
Volatility
9
Volatilität
9
Risk
8
Time series analysis
8
Value-at-risk
8
Zeitreihenanalyse
8
Risiko
7
Stochastic process
7
Stochastischer Prozess
7
Ausreißer
6
Forecasting model
6
Optimal reinsurance
6
Outliers
6
Prognoseverfahren
6
Extreme value theory
5
Nichtparametrisches Verfahren
5
Regression analysis
5
Regressionsanalyse
5
Risk measures
5
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10
Free
1
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Article
15
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1
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15
Aufsatz in Zeitschrift
15
Conference paper
1
Konferenzbeitrag
1
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English
16
Author
All
Hong, Yongmiao
2
Zhang, Zhengjun
2
Bandi, Federico M.
1
Bollerslev, Tim
1
Cai, Zongwu
1
Catania, Leopoldo
1
Chan, Thomas W. C.
1
Chang, Chia-Lin
1
Chen, Rong
1
Chen, Rui
1
Chen, Yu
1
Chu, Amanda M. Y.
1
Daouia, Abdelaati
1
Diebold, Francis X.
1
Egorov, Alexej V.
1
Girard, Stéphane
1
Härdle, Wolfgang
1
Jiménez-Martín, Juan-Ángel
1
Li, Haitao
1
Liu, Yanhui
1
Luati, Alessandra
1
Luciano, Elisa
1
Maasoumi, Esfandiar
1
Patton, Andrew J.
1
Pérez Amaral, Teodosio
1
Regis, Luca
1
Renò, Roberto
1
So, Mike Ka-pui
1
Stupfler, Gilles
1
Todorov, Viktor
1
Wang, Chuan-Sheng
1
Wang, Shouyang
1
Wang, Weining
1
Wang, Xian
1
Wang, Zhicheng
1
Yu, Lining
1
Yılmaz, Kamil
1
Zhao, Zhibiao
1
Zhao, Zifeng
1
Ziegel, Johanna F.
1
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Published in...
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Insurance: Mathematics and Economics
Journal of econometrics
Insurance / Mathematics & economics
100
Journal of banking & finance
56
Risks : open access journal
54
Journal of risk
42
European journal of operational research : EJOR
41
Finance research letters
30
Economic modelling
29
Energy economics
28
The journal of operational risk
27
The journal of risk model validation
24
The North American journal of economics and finance : a journal of financial economics studies
23
International review of financial analysis
21
Quantitative finance
21
Journal of risk management in financial institutions
20
International review of economics & finance : IREF
17
Applied economics
16
International journal of forecasting
15
International journal of theoretical and applied finance
15
Research paper series / Swiss Finance Institute
15
Journal of risk and financial management : JRFM
13
SpringerLink / Bücher
13
The European journal of finance
13
Working papers
13
Computational economics
12
Discussion paper / Tinbergen Institute
12
Finance and stochastics
12
Journal of empirical finance
12
SFB 649 discussion paper
12
International journal of risk assessment and management : IJRAM
10
Journal of international financial markets, institutions & money
10
Journal of mathematical finance
10
Research in international business and finance
10
Scandinavian actuarial journal
10
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
10
Astin bulletin : the journal of the International Actuarial Association
9
International journal of finance & economics : IJFE
9
Journal of financial econometrics
9
Management science : journal of the Institute for Operations Research and the Management Sciences
9
Pacific-Basin finance journal
9
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ECONIS (ZBW)
16
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1
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16
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date (oldest first)
1
Semiparametric modeling of multiple quantiles
Catania, Leopoldo
;
Luati, Alessandra
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10014471520
Saved in:
2
ß in the tails
Bandi, Federico M.
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
Saved in:
3
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
4
ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupfler, Gilles
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 97-117
Persistent link: https://www.econbiz.de/10012618802
Saved in:
5
Mark to market
value
at
risk
Chen, Yu
;
Wang, Zhicheng
;
Zhang, Zhengjun
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 299-321
Persistent link: https://www.econbiz.de/10012145015
Saved in:
6
Dynamic semiparametric models for expected shortfall (and
Value-at-Risk
)
Patton, Andrew J.
;
Ziegel, Johanna F.
;
Chen, Rui
- In:
Journal of econometrics
211
(
2019
)
2
,
pp. 388-413
Persistent link: https://www.econbiz.de/10012303806
Saved in:
7
Efficient Versus Inefficient Hedging Strategies in the Presence of Financial and Longevity (
Value
at
)
Risk
Luciano, Elisa
-
2014
This paper provides a closed-form
Value-at-Risk
(VaR) for the net exposure of an annuity provider, taking into account …
Persistent link: https://www.econbiz.de/10013046884
Saved in:
8
Modeling maxima with autoregressive conditional Fréchet model
Zhao, Zifeng
;
Zhang, Zhengjun
;
Chen, Rong
- In:
Journal of econometrics
207
(
2018
)
2
,
pp. 325-351
Persistent link: https://www.econbiz.de/10012116357
Saved in:
9
Conditional
Value-at-Risk
: semiparametric estimation and inference
Wang, Chuan-Sheng
;
Zhao, Zhibiao
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 86-103
Persistent link: https://www.econbiz.de/10011705234
Saved in:
10
A stochastic dominance approach to financial risk management strategies
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 472-485
Persistent link: https://www.econbiz.de/10011499744
Saved in:
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