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~isPartOf:"International journal of forecasting"
~language:"deu"
~language:"eng"
~subject:"Portfolio selection"
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Portfolio selection
Risikomaß
55
Risk measure
55
Forecasting model
45
Prognoseverfahren
45
Theorie
30
Theory
30
Statistical distribution
24
Statistische Verteilung
24
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22
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18
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15
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15
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13
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12
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11
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11
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Expected shortfall
10
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8
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8
Time series analysis
8
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8
Zeitreihenanalyse
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Ardia, David
1
Bianchi, Michele Leonardo
1
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1
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1
Catania, Leopoldo
1
Clements, Adam
1
De Luca, Giovanni
1
Diks, Cees G. H.
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
Insurance / Mathematics & economics
105
Journal of banking & finance
77
European journal of operational research : EJOR
60
Journal of risk
55
Risks : open access journal
44
Finance research letters
39
Quantitative finance
34
Economic modelling
31
International review of financial analysis
28
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
The European journal of finance
19
Computational economics
18
Journal of empirical finance
18
The journal of risk model validation
18
Finance and stochastics
17
Research in international business and finance
17
Research paper series / Swiss Finance Institute
17
Operations research
16
International review of economics & finance : IREF
15
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 theory
11
Mathematics and financial economics
11
Operations research letters
11
Working papers
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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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
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:
4
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:
5
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:
6
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:
7
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:
8
Comparing density forecasts in a risk management context
Diks, Cees G. H.
;
Fang, Hao
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 531-551
Persistent link: https://www.econbiz.de/10012415217
Saved in:
9
Intraday portfolio risk management using VaR and CVaR : a CGARCH-EVT-Copula approach
Karmakar, Madhusudan
;
Paul, Samit
- In:
International journal of forecasting
35
(
2019
)
2
,
pp. 699-709
Persistent link: https://www.econbiz.de/10012300717
Saved in:
10
Portfolio optimization based on GARCH-EVT-Copula forecasting models
Sahamkhadam, Maziar
;
Stephan, Andreas
;
Östermark, Ralf
- In:
International journal of forecasting
34
(
2018
)
3
,
pp. 497-506
Persistent link: https://www.econbiz.de/10012031027
Saved in:
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