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~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of risk"
~subject:"Multivariate Verteilung"
~subject:"Prognoseverfahren"
~type:"article"
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Search: subject_exact:"Risk measure"
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Multivariate Verteilung
Prognoseverfahren
Risikomaß
149
Risk measure
149
Portfolio selection
64
Portfolio-Management
64
Theorie
54
Theory
54
Risikomanagement
43
Risk management
43
Estimation
36
Risiko
36
Risk
36
Schätzung
36
Estimation theory
31
Schätztheorie
31
Measurement
29
Messung
29
ARCH model
27
ARCH-Modell
27
Statistical distribution
27
Statistische Verteilung
27
value-at-risk (VaR)
18
Volatility
17
Volatilität
17
Capital income
16
Forecasting model
16
Kapitaleinkommen
16
Ausreißer
13
Basel Accord
13
Basler Akkord
13
Credit risk
13
Kreditrisiko
13
Multivariate distribution
13
Outliers
13
Bank risk
11
Bankrisiko
11
Financial services
11
Finanzdienstleistung
11
risk management
11
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27
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27
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English
27
Author
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Ziggel, Daniel
2
Abad, Pilar
1
Amendola, Alessandra
1
Arora, Rohit
1
Benito Muela, Sonia
1
Berens, Tobias
1
Berger, Theo
1
Boeve, Rolf
1
Bormann, Carsten
1
Braun, Valentin
1
Candila, Vincenzo
1
Chan, Nancy Y. C.
1
Chen, Cathy W. S.
1
Cotter, John
1
Davison, Anthony C.
1
Dionne, Georges
1
Gaigall, Daniel
1
Gerlach, Richard H.
1
Ghorbel, Ahmed
1
Giacomini, Enzo
1
Giacomini, Raffaella
1
Hackethal, Andreas
1
Hanly, Jim
1
Hassani, Samir Saissi
1
He, Yi
1
Hesse, Frederik
1
Hou, Yanxi
1
Härdle, Wolfgang
1
Jiang, Cuixia
1
Kolman, Marek
1
Komunjer, Ivana
1
Li, Handong
1
Li, Phillip
1
Li, Yuqian
1
Liu, Xiaohang
1
Loiza-Maya, Ruben
1
López-Martín, Carmen
1
Löser, Robert
1
Maciag, Jakob
1
Martin, R. Douglas
1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of risk
International journal of forecasting
52
Finance research letters
33
Journal of forecasting
32
Energy economics
24
Insurance / Mathematics & economics
24
Journal of banking & finance
24
Risks : open access journal
24
The North American journal of economics and finance : a journal of financial economics studies
23
International review of financial analysis
22
Applied economics
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Journal of empirical finance
17
Journal of risk and financial management : JRFM
17
Economic modelling
16
The journal of risk model validation
15
Computational economics
14
Quantitative finance
13
Journal of financial econometrics
12
European journal of operational research : EJOR
11
International review of economics & finance : IREF
11
The European journal of finance
11
Applied economics letters
10
Pacific-Basin finance journal
9
Journal of economic dynamics & control
8
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
8
Journal of risk management in financial institutions
7
Financial innovation : FIN
6
Journal of econometrics
6
Journal of international financial markets, institutions & money
6
Research in international business and finance
6
International journal of finance & economics : IJFE
5
Journal of mathematical finance
5
Review of quantitative finance and accounting
5
Risk management : a journal of risk, crisis and disaster
5
Annals of financial economics
4
Econometrics : open access journal
4
Economics letters
4
Empirical economics : a quarterly journal of the Institute for Advanced Studies
4
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ECONIS (ZBW)
27
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27
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1
Tail risk inference via expectiles in heavy-tailed time series
Davison, Anthony C.
;
Padoan, Simone A.
;
Stupfler, Gilles
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 876-889
Persistent link: https://www.econbiz.de/10014448453
Saved in:
2
Allocating and forecasting changes in risk
Gaigall, Daniel
- In:
Journal of risk
25
(
2023
)
3
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014283880
Saved in:
3
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
- In:
Journal of risk
25
(
2023
)
6
,
pp. 73-103
Persistent link: https://www.econbiz.de/10014546368
Saved in:
4
Reinvestigating international crude oil market risk spillovers
Jiang, Cuixia
;
Li, Yuqian
;
Xu, Qifa
;
Wu, Jun
- In:
Journal of risk
24
(
2021
)
1
,
pp. 25-52
Persistent link: https://www.econbiz.de/10012816795
Saved in:
5
Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall
Liu, Xiaohang
;
Li, Handong
- In:
Journal of risk
24
(
2021
)
1
,
pp. 53-77
Persistent link: https://www.econbiz.de/10012816812
Saved in:
6
Detecting structural differences in tail dependence of financial time series
Bormann, Carsten
;
Schienle, Melanie
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 380-392
Persistent link: https://www.econbiz.de/10012262482
Saved in:
7
Real-time macroeconomic forecasting with a heteroscedastic inversion copula
Loiza-Maya, Ruben
;
Smith, Michael S.
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 470-486
Persistent link: https://www.econbiz.de/10012262488
Saved in:
8
Modeling loss given default regressions
Li, Phillip
;
Zhang, Xiaofei
;
Zhao, Xinlei
- In:
Journal of risk
23
(
2020/2021
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012500067
Saved in:
9
Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob
;
Hesse, Frederik
;
Boeve, Rolf
;
Pfingsten, …
- In:
Journal of risk
18
(
2016
)
5
,
pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
Saved in:
10
New backtests for unconditional coverage of expected shortfall
Löser, Robert
;
Wied, Dominik
;
Ziggel, Daniel
- In:
Journal of risk
21
(
2018/2019
)
4
,
pp. 39-59
Persistent link: https://www.econbiz.de/10012059868
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