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~isPartOf:"International journal of forecasting"
~isPartOf:"Journal of empirical finance"
~language:"deu"
~language:"eng"
~subject:"Portfolio selection"
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Search: subject:"Expected Shortfall"
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Portfolio selection
Risikomaß
114
Risk measure
114
Theorie
68
Theory
68
Forecasting model
64
Prognoseverfahren
64
ARCH model
48
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48
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40
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Expected shortfall
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Herrera, Rodrigo
2
Allen, David
1
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1
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1
Bianchi, Michele Leonardo
1
Bluteau, Keven
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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International journal of forecasting
Journal of empirical finance
Insurance / Mathematics & economics
105
Journal of banking & finance
77
European journal of operational research : EJOR
60
Journal of risk
57
Finance research letters
44
Risks : open access journal
44
Quantitative finance
37
Economic modelling
32
International review of financial analysis
31
The North American journal of economics and finance : a journal of financial economics studies
27
Journal of risk and financial management : JRFM
26
Discussion paper / Tinbergen Institute
24
International journal of theoretical and applied finance
22
Applied economics
20
Journal of economic dynamics & control
20
Computational economics
19
The European journal of finance
19
The journal of risk model validation
19
Finance and stochastics
17
Research in international business and finance
17
Research paper series / Swiss Finance Institute
17
International review of economics & finance : IREF
16
Operations research
16
Management science : journal of the Institute for Operations Research and the Management Sciences
15
The journal of asset management
15
Econometric Institute research papers
13
Journal of econometrics
13
Journal of international financial markets, institutions & money
13
Scandinavian actuarial journal
13
The journal of credit risk : published quarterly by Incisive Media
12
Energy economics
11
Journal of forecasting
11
Journal of risk management in financial institutions
11
Mathematical finance : an international journal of mathematics, statistics and financial economics
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
Mathematics and financial economics
11
Operations research letters
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33
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1
2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns : Out-of-sample comparison of conditional EVT models
Tomlinson, Matthew F.
;
Greenwood, David
; …
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 324-347
Persistent link: https://www.econbiz.de/10014450274
Saved in:
2
Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda
;
Herrera, Rodrigo
;
Clements, Adam
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
Saved in:
3
Portfolio selection under non-gaussianity and systemic risk : a machine learning based forecasting approach
Lin, Weidong
;
Taamouti, Abderrahim
- In:
International journal of forecasting
40
(
2024
)
3
,
pp. 1179-1188
Persistent link: https://www.econbiz.de/10014547268
Saved in:
4
An empirical review of dynamic extreme value models for forecasting value at risk,
expected
shortfall
and expectile
Candia Campano, Claudio
;
Herrera, Rodrigo
- In:
Journal of empirical finance
77
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014578542
Saved in:
5
Observation-driven models for realized variances and overnight returns applied to value-at-risk and
expected
shortfall
forecasting
Opschoor, Anne
;
Lucas, André
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 622-633
Persistent link: https://www.econbiz.de/10012792858
Saved in:
6
Forecasting
expected
shortfall
: should we use a multivariate model for stock market factors?
Fortin, Alain-Philippe
;
Simonato, Jean-Guy
;
Dionne, Georges
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 314-331
Persistent link: https://www.econbiz.de/10014462782
Saved in:
7
Non-Gaussian models for CoVaR estimation
Bianchi, Michele Leonardo
;
De Luca, Giovanni
; …
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 391-404
Persistent link: https://www.econbiz.de/10014462788
Saved in:
8
Forecasting tail risk measures for financial time series : an extreme value approach with covariates
James, Robert
;
Leung, Henry
;
Leung, Jessica Wai Yin
; …
- In:
Journal of empirical finance
71
(
2023
),
pp. 29-50
Persistent link: https://www.econbiz.de/10014292519
Saved in:
9
Nonparametric
expected
shortfall
forecasting incorporating weighted quantiles
Storti, Giuseppe
;
Wang, Chao
- In:
International journal of forecasting
38
(
2022
)
1
,
pp. 224-239
Persistent link: https://www.econbiz.de/10013347785
Saved in:
10
Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan
;
Kang, Kyu Ho
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
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