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~isPartOf:"Insurance: Mathematics and Economics"
~isPartOf:"Journal of econometrics"
~subject:"Risikomanagement"
~subject:"Statistical distribution"
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Search: subject:"Value at Risk"
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Risikomanagement
Statistical distribution
Risikomaß
42
Risk measure
42
Theorie
22
Theory
22
Estimation
15
Schätzung
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
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
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English
25
Author
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Hong, Yongmiao
2
White, Halbert
2
Zhang, Zhengjun
2
Bandi, Federico M.
1
Bertail, Patrice
1
Bollerslev, Tim
1
Borowska, Agnieszka
1
Catania, Leopoldo
1
Chan, Thomas W. C.
1
Chang, Chia-Lin
1
Chavez-Demoulin, V.
1
Chen, Rong
1
Chen, Rui
1
Chen, Yu
1
Chu, Amanda M. Y.
1
Daníelsson, Jón
1
Daouia, Abdelaati
1
Diebold, Francis X.
1
Dijk, Herman K. van
1
Egorov, Alexej V.
1
Embrechts, Paul
1
Girard, Stéphane
1
Hill, Jonathan B.
1
Hoogerheide, Lennart
1
Häfke, Christian
1
Härdle, Wolfgang
1
Jiménez-Martín, Juan-Ángel
1
Jorgensen, Bjorn N.
1
Kim, Tae-hwan
1
Koopman, Siem Jan
1
Li, Haitao
1
Li, Hengxin
1
Liu, Yanhui
1
Luati, Alessandra
1
Luciano, Elisa
1
Maasoumi, Esfandiar
1
Manganelli, Simone
1
Mykland, Per A.
1
Nicolau, João
1
Paolella, Marc S.
1
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Published in...
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Insurance: Mathematics and Economics
Journal of econometrics
Insurance / Mathematics & economics
140
Journal of banking & finance
71
Risks : open access journal
70
Journal of risk
52
European journal of operational research : EJOR
49
Finance research letters
44
Economic modelling
36
The journal of operational risk
36
Energy economics
33
Discussion paper / Tinbergen Institute
31
International review of financial analysis
31
The journal of risk model validation
29
International journal of forecasting
28
Quantitative finance
28
The North American journal of economics and finance : a journal of financial economics studies
27
Applied economics
23
Journal of risk management in financial institutions
23
International review of economics & finance : IREF
22
Journal of risk and financial management : JRFM
22
Journal of empirical finance
21
International journal of theoretical and applied finance
20
The European journal of finance
20
Working papers
20
Computational economics
18
Research paper series / Swiss Finance Institute
18
Scandinavian actuarial journal
17
Journal of financial econometrics
15
Astin bulletin : the journal of the International Actuarial Association
14
Pacific-Basin finance journal
14
Research in international business and finance
14
Finance and stochastics
13
Journal of forecasting
13
SFB 649 discussion paper
13
SpringerLink / Bücher
13
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
12
Journal of international financial markets, institutions & money
12
Journal of mathematical finance
12
The journal of credit risk : published quarterly by Incisive Media
12
Applied economics letters
11
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ECONIS (ZBW)
25
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1
PELVE : probability equivalent level of VaR and ES
Li, Hengxin
;
Wang, Ruodu
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 353-370
Persistent link: https://www.econbiz.de/10014364915
Saved in:
2
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:
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
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:
10
Combining statistical intervals and market prices : The worst case state price distribution
Mykland, Per A.
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 272-285
Persistent link: https://www.econbiz.de/10012303929
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