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~isPartOf:"International journal of forecasting"
~language:"eng"
~subject:"Estimation theory"
~subject:"Extreme value theory"
~subject:"Kapitaleinkommen"
~subject:"Messung"
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Estimation theory
Extreme value theory
Kapitaleinkommen
Messung
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 selection
14
Portfolio-Management
14
Risk management
13
Risikomanagement
12
Capital income
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
Markov chain
5
Markov-Kette
5
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22
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22
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English
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Herrera, Rodrigo
2
Lucas, André
2
Baronyan, Sayad
1
Bianchi, Michele Leonardo
1
Cardós, Manuel
1
Chen, Hua
1
Clements, Adam
1
De Luca, Giovanni
1
Dionne, Georges
1
Fei, Fei
1
Fortin, Alain-Philippe
1
Fu, Jin-Yu
1
Fuentes, Fernanda
1
Fuertes, Ana María
1
González, Nicolás
1
Greenwood, David
1
Hao, Hong-Xia
1
Hoga, Yannick
1
Kalotychou, Elena
1
Kang, Kyu Ho
1
Kim, Dongwhan
1
Kourentzes, Nikolaos
1
Lazar, Emese
1
Li, Han
1
Lin, Jin-Guan
1
Meng, Xiaochun
1
Mengütürk, Levent Ali
1
Mucha-Kruczyński, Marcin
1
Nieto, Maria Rosa
1
Omori, Yasuhiro
1
Opschoor, Anne
1
Polanski, Arnold
1
Rice, Gregory
1
Rivieccio, Giorgia
1
Ruiz, Esther
1
Sahamkhadam, Maziar
1
Simonato, Jean-Guy
1
Stephan, Andreas
1
Stoja, Evarist
1
Takahashi, Makoto
1
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International journal of forecasting
Insurance / Mathematics & economics
127
Journal of risk
50
Journal of banking & finance
47
Finance research letters
41
Risks : open access journal
39
European journal of operational research : EJOR
38
The North American journal of economics and finance : a journal of financial economics studies
29
Quantitative finance
28
International review of financial analysis
27
The journal of risk model validation
24
Journal of econometrics
21
Journal of empirical finance
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
20
Mathematics of operations research
19
Finance and stochastics
18
International journal of theoretical and applied finance
18
Mathematics and financial economics
18
Applied economics
17
Discussion paper / Tinbergen Institute
17
Journal of forecasting
17
Journal of risk and financial management : JRFM
17
Computational economics
16
Energy economics
16
Journal of financial econometrics
16
International review of economics & finance : IREF
15
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
15
Research in international business and finance
15
Economic modelling
14
Research paper series / Swiss Finance Institute
14
Scandinavian actuarial journal
14
Journal of mathematical finance
12
The journal of operational risk
12
Mathematical finance : an international journal of mathematics, statistics and financial economics
11
Operations research
11
Operations research letters
11
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
11
Journal of international financial markets, institutions & money
10
Mathematical finance : an international journal of mathematics, statistics and financial theory
10
The European journal of finance
10
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ECONIS (ZBW)
22
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22
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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
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:
3
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:
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
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:
6
Volatility analysis for the GARCH-Itô-Jumps model based on high-frequency and low-frequency financial data
Fu, Jin-Yu
;
Lin, Jin-Guan
;
Hao, Hong-Xia
- In:
International journal of forecasting
39
(
2023
)
4
,
pp. 1698-1712
Persistent link: https://www.econbiz.de/10014465345
Saved in:
7
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:
8
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:
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
On the statistical differences between binary forecasts and real-world payoffs
Taleb, Nassim Nicholas
- In:
International journal of forecasting
36
(
2020
)
4
,
pp. 1228-1240
Persistent link: https://www.econbiz.de/10012546083
Saved in:
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