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~isPartOf:"Insurance: Mathematics and Economics"
~isPartOf:"Journal of econometrics"
~subject:"Risikomanagement"
~subject:"Schätztheorie"
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Search: subject:"Value at Risk"
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Risikomanagement
Schätztheorie
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
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
Nonparametric statistics
5
Regression analysis
5
Regressionsanalyse
5
Risk measures
5
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1
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24
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24
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24
Conference paper
1
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1
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English
25
Author
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Francq, Christian
3
Zakoïan, Jean-Michel
3
Hong, Yongmiao
2
White, Halbert
2
Zhang, Zhengjun
2
Bandi, Federico M.
1
Bertail, Patrice
1
Borowska, Agnieszka
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
Dijk, Herman K. van
1
Egorov, Alexej V.
1
Girard, Stéphane
1
Gouriéroux, Christian
1
Hill, Jonathan B.
1
Ho, Hwai-chung
1
Hoogerheide, Lennart
1
Häfke, Christian
1
Härdle, Wolfgang
1
Jasiak, Joann
1
Jiménez-Martín, Juan-Ángel
1
Kim, Tae-hwan
1
Koopman, Siem Jan
1
Li, Haitao
1
Liu, Yanhui
1
Luati, Alessandra
1
Luciano, Elisa
1
Maasoumi, Esfandiar
1
Manganelli, Simone
1
Nicolau, João
1
Patton, Andrew J.
1
Politis, Dimitris N.
1
Prokhorov, Artem
1
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Published in...
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Insurance: Mathematics and Economics
Journal of econometrics
Insurance / Mathematics & economics
111
Risks : open access journal
58
Journal of risk
57
Journal of banking & finance
56
European journal of operational research : EJOR
44
Finance research letters
38
The journal of risk model validation
31
The journal of operational risk
30
Economic modelling
28
Energy economics
27
The North American journal of economics and finance : a journal of financial economics studies
25
Quantitative finance
24
International review of financial analysis
21
Journal of risk management in financial institutions
21
International journal of theoretical and applied finance
19
Discussion paper / Tinbergen Institute
18
Journal of risk and financial management : JRFM
17
Applied economics
16
Computational economics
16
International journal of forecasting
16
International review of economics & finance : IREF
16
The European journal of finance
15
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
14
Journal of empirical finance
14
Journal of financial econometrics
14
Working papers
14
Journal of mathematical finance
13
Research paper series / Swiss Finance Institute
13
SpringerLink / Bücher
13
Finance and stochastics
12
Journal of financial econometrics : official journal of the Society for Financial Econometrics
12
SFB 649 discussion paper
12
Research in international business and finance
11
Scandinavian actuarial journal
11
Astin bulletin : the journal of the International Actuarial Association
10
International journal of risk assessment and management : IJRAM
10
Journal of international financial markets, institutions & money
10
Operations research letters
10
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
10
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ECONIS (ZBW)
25
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1
Tail index estimation in the presence of covariates : stock returns' tail risk dynamics
Nicolau, João
;
Rodrigues, Paulo M. M.
;
Stoykov, Marian Z.
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2266-2284
Persistent link: https://www.econbiz.de/10014471455
Saved in:
2
A new generalized exponentially weighted moving average quantile model and its statistical inference
Zhu, Ke
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471471
Saved in:
3
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:
4
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:
5
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:
6
Estimation and inference about tail features with tail censored data
Wang, Yulong
;
Xiao, Zhijie
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 363-387
Persistent link: https://www.econbiz.de/10013463894
Saved in:
7
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:
8
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
9
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
10
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:
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