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~isPartOf:"International journal of forecasting"
~isPartOf:"Operations research letters"
~isPartOf:"The journal of futures markets"
~subject:"Statistische Verteilung"
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Search: subject_exact:"Expected tail loss"
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Statistische Verteilung
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100
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100
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Taleb, Nassim Nicholas
3
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2
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2
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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
Operations research letters
The journal of futures markets
Insurance / Mathematics & economics
76
Journal of banking & finance
30
Risks : open access journal
24
Discussion paper / Tinbergen Institute
21
The journal of operational risk
20
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18
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16
Finance research letters
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International review of financial analysis
13
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12
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ASTIN bulletin : the journal of the International Actuarial Association
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International journal of theoretical and applied finance
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ECONIS (ZBW)
29
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1
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:
2
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:
3
On approximations of data-driven chance constrained programs over Wasserstein balls
Chen, Zhi
;
Kuhn, Daniel
;
Wiesemann, Wolfram
- In:
Operations research letters
51
(
2023
)
3
,
pp. 226-233
Persistent link: https://www.econbiz.de/10014374834
Saved in:
4
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:
5
Commodity tail risks
Ammann, Manuel
;
Mörke, Mathis
;
Prokopczuk, Marcel
; …
- In:
The journal of futures markets
43
(
2023
)
2
,
pp. 168-197
Persistent link: https://www.econbiz.de/10014292992
Saved in:
6
On single point forecasts for fat-tailed variables
Taleb, Nassim Nicholas
;
Bar-Yam, Yaneer
;
Cirillo, Pasquale
- In:
International journal of forecasting
38
(
2022
)
2
,
pp. 413-422
Persistent link: https://www.econbiz.de/10013348601
Saved in:
7
Evaluating quantile forecasts in the M5 uncertainty competition
Chen, Zhi
;
Gaba, Anil
;
Tsetlin, Ilia
;
Winkler, Robert L.
- In:
International journal of forecasting
38
(
2022
)
4
,
pp. 1531-1545
Persistent link: https://www.econbiz.de/10014381153
Saved in:
8
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:
9
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
Saved in:
10
Forecasting macroeconomic risks
Adams, Patrick A.
;
Adrian, Tobias
;
Boyarchenko, Nina
; …
- In:
International journal of forecasting
37
(
2021
)
3
,
pp. 1173-1191
Persistent link: https://www.econbiz.de/10012794835
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