//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~isPartOf:"International journal of forecasting"
~language:"deu"
~language:"eng"
~subject:"Extreme value theory"
~subject:"Portfolio selection"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Expected Shortfall"
Narrow search
Delete all filters
| 5 applied filters
Year of publication
From:
To:
Subject
All
Extreme value theory
Portfolio selection
Risikomaß
59
Risk measure
59
Forecasting model
49
Prognoseverfahren
49
Theorie
33
Theory
33
Statistical distribution
25
Statistische Verteilung
25
ARCH model
22
ARCH-Modell
22
Volatility
18
Volatilität
18
Estimation
16
Schätzung
16
Portfolio-Management
14
Risk management
13
Risikomanagement
12
Capital income
11
Kapitaleinkommen
11
Expected shortfall
10
Risk
9
Time series analysis
9
Value at risk
9
Zeitreihenanalyse
9
Outliers
8
Ausreißer
7
Risiko
7
VAR model
7
VAR-Modell
7
Value-at-Risk
7
Bayes-Statistik
6
Bayesian inference
6
Forecasting
6
Backtesting
5
Estimation theory
5
Markov chain
5
Markov-Kette
5
Monte Carlo simulation
5
more ...
less ...
Online availability
All
Undetermined
15
Free
1
Type of publication
All
Article
19
Type of publication (narrower categories)
All
Article in journal
19
Aufsatz in Zeitschrift
19
Language
All
German
English
Author
All
Herrera, Rodrigo
2
Ardia, David
1
Bianchi, Michele Leonardo
1
Bluteau, Keven
1
Boudt, Kris
1
Catania, Leopoldo
1
Chen, Hua
1
Clements, Adam
1
De Luca, Giovanni
1
Diks, Cees G. H.
1
Dionne, Georges
1
Fang, Hao
1
Fortin, Alain-Philippe
1
Fuentes, Fernanda
1
Giot, Pierre
1
González, Nicolás
1
Greenwood, David
1
Hoga, Yannick
1
Kang, Kyu Ho
1
Karmakar, Madhusudan
1
Kim, Dongwhan
1
Li, Han
1
Lin, Weidong
1
Lucas, André
1
Mucha-Kruczyński, Marcin
1
Nieto, Maria Rosa
1
Opschoor, Anne
1
Paul, Samit
1
Petitjean, Mikael
1
Rivieccio, Giorgia
1
Rubia, Antonio
1
Ruiz, Esther
1
Sahamkhadam, Maziar
1
Sanchis-Marco, Lidia
1
Simonato, Jean-Guy
1
Stephan, Andreas
1
Storti, Giuseppe
1
Taamouti, Abderrahim
1
Taleb, Nassim Nicholas
1
Tomlinson, Matthew F.
1
more ...
less ...
Published in...
All
International journal of forecasting
Insurance / Mathematics & economics
109
Journal of banking & finance
80
European journal of operational research : EJOR
64
Journal of risk
57
Finance research letters
47
Risks : open access journal
46
Quantitative finance
42
Economic modelling
35
International review of financial analysis
31
The North American journal of economics and finance : a journal of financial economics studies
29
Discussion paper / Tinbergen Institute
26
Journal of risk and financial management : JRFM
26
International journal of theoretical and applied finance
22
Journal of empirical 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
Research in international business and finance
18
Finance and stochastics
17
International review of economics & finance : IREF
17
Journal of econometrics
17
Operations research
17
Research paper series / Swiss Finance Institute
17
Management science : journal of the Institute for Operations Research and the Management Sciences
15
The journal of asset management
15
Energy economics
14
Econometric Institute research papers
13
Journal of international financial markets, institutions & money
13
Scandinavian actuarial journal
13
The journal of credit risk : published quarterly by Incisive Media
12
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
11
Working paper
11
more ...
less ...
Source
All
ECONIS (ZBW)
19
Showing
1
-
10
of
19
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
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
Hierarchical mortality forecasting with EVT tails : an application to solvency capital requirement
Li, Han
;
Chen, Hua
- In:
International journal of forecasting
40
(
2024
)
2
,
pp. 549-563
Persistent link: https://www.econbiz.de/10014547182
Saved in:
4
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:
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
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:
9
The uncertainty in extreme risk forecasts from covariate-augmented volatility models
Hoga, Yannick
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 675-686
Persistent link: https://www.econbiz.de/10012792861
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
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->