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~isPartOf:"Insurance: Mathematics and Economics"
~isPartOf:"Journal of econometrics"
~subject:"Risikomanagement"
~subject:"Time series analysis"
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Search: subject:"Value at Risk"
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Risikomanagement
Time series analysis
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
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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20
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20
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English
21
Author
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Hong, Yongmiao
2
Zhang, Zhengjun
2
Bandi, Federico M.
1
Blasques, Francisco
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
Daouia, Abdelaati
1
Diebold, Francis X.
1
Duong, Diep
1
Egorov, Alexej V.
1
Embrechts, Paul
1
Fan, Jianqing
1
Girard, Stéphane
1
Härdle, Wolfgang
1
Jiménez-Martín, Juan-Ángel
1
Ke, Yuan
1
Koopman, Siem Jan
1
Li, Haitao
1
Liao, Yuan
1
Liu, Shouwei
1
Liu, Yanhui
1
Luati, Alessandra
1
Lucas, André
1
Luciano, Elisa
1
Maasoumi, Esfandiar
1
Patton, Andrew J.
1
Pérez Amaral, Teodosio
1
Regis, Luca
1
Renò, Roberto
1
Sardy, S.
1
Schaumburg, Julia
1
So, Mike Ka-pui
1
Stupfler, Gilles
1
Swanson, Norman R.
1
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Insurance: Mathematics and Economics
Journal of econometrics
Insurance / Mathematics & economics
96
Journal of banking & finance
58
Risks : open access journal
53
Journal of risk
44
European journal of operational research : EJOR
39
Finance research letters
37
Economic modelling
33
Energy economics
31
The journal of operational risk
29
International review of financial analysis
27
The North American journal of economics and finance : a journal of financial economics studies
27
The journal of risk model validation
26
Quantitative finance
23
Journal of empirical finance
21
International journal of forecasting
20
Journal of risk management in financial institutions
20
International review of economics & finance : IREF
19
Applied economics
18
Discussion paper / Tinbergen Institute
17
Research paper series / Swiss Finance Institute
17
International journal of theoretical and applied finance
16
Journal of risk and financial management : JRFM
16
The European journal of finance
16
SpringerLink / Bücher
15
Computational economics
14
Research in international business and finance
14
Working papers
14
Journal of financial econometrics
13
SFB 649 discussion paper
13
Finance and stochastics
12
Pacific-Basin finance journal
11
Applied economics letters
10
International journal of risk assessment and management : IJRAM
10
Journal of international financial markets, institutions & money
10
Journal of mathematical 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
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ECONIS (ZBW)
21
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1
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:
2
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:
3
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:
4
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:
5
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:
6
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing
;
Ke, Yuan
;
Liao, Yuan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
Saved in:
7
Testing serial correlations in high-dimensional time series via extreme value theory
Tsay, Ruey S.
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 106-117
Persistent link: https://www.econbiz.de/10012439650
Saved in:
8
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:
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
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:
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