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~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Research in international business and finance"
~subject:"Basel Accord"
~subject:"Kapitaleinkommen"
~subject:"Systemrisiko"
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Search: subject:"Expected Shortfall"
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Basel Accord
Kapitaleinkommen
Systemrisiko
Risikomaß
131
Risk measure
131
Theorie
59
Theory
59
ARCH model
48
ARCH-Modell
48
Portfolio selection
48
Portfolio-Management
48
Estimation
38
Schätzung
38
Statistical distribution
35
Statistische Verteilung
35
Risk management
34
Risikomanagement
33
Capital income
32
Volatility
28
Volatilität
28
Forecasting model
24
Prognoseverfahren
24
Risiko
24
Risk
24
Time series analysis
21
Zeitreihenanalyse
21
Estimation theory
17
Outliers
17
Schätztheorie
17
Ausreißer
16
Börsenkurs
15
Share price
15
Value-at-Risk
15
Extreme value theory
13
Correlation
12
Korrelation
12
Systemic risk
12
Value at risk
11
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10
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10
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English
43
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Al Rababa'a, Abdel Razzaq
2
Alomari, Mohammad
2
Härdle, Wolfgang
2
McMillan, David G.
2
Wang, Weining
2
Aboura, Sofiane
1
Ahmad, Wasim
1
Aloui, Riadh
1
Bee, Marco
1
Bekiros, Stelios
1
Bi, Jia
1
Blasques, Francisco
1
Bollerslev, Tim
1
Boukef Jlassi, Nabila
1
Caliskan, Hande
1
Cevik, Emrah I.
1
Chan, Stephen
1
Chan, Thomas W. C.
1
Chang, Chia-Lin
1
Changchien, Chang-Cheng
1
Chen, Rong
1
Cheng, Wan-hsiu
1
Chevallier, Julien
1
Chiang, Thomas C.
1
Choi, Pilsun
1
Choi, Sun-Yong
1
Chu, Amanda M. Y.
1
Chu, Jeffrey
1
De Lira Salvatierra, Irving Arturo
1
Degiannakis, Stavros
1
Derbali, Abdelkader
1
Dibooglu, Sel
1
Diebold, Francis X.
1
Duong, Diep
1
Dupuis, Debbie J.
1
Echaust, Krzysztof
1
Engsted, Tom
1
Fan, Jianqing
1
Floros, Christos
1
Francq, Christian
1
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Journal of econometrics
Journal of empirical finance
Research in international business and finance
Journal of banking & finance
48
Finance research letters
36
International review of financial analysis
34
The North American journal of economics and finance : a journal of financial economics studies
30
Insurance / Mathematics & economics
28
Journal of risk
26
Discussion paper / Tinbergen Institute
21
Econometric Institute research papers
21
Risks : open access journal
21
Economic modelling
18
Energy economics
16
International review of economics & finance : IREF
16
International journal of forecasting
15
Journal of risk management in financial institutions
15
Journal of financial stability
14
Journal of international financial markets, institutions & money
14
Pacific-Basin finance journal
14
Working paper
14
Applied economics
13
Research paper series / Swiss Finance Institute
13
The journal of operational risk
13
The journal of risk model validation
13
Journal of financial econometrics : official journal of the Society for Financial Econometrics
12
Journal of forecasting
12
Journal of risk and financial management : JRFM
12
The European journal of finance
12
Journal of financial econometrics
11
Quantitative finance
11
Applied economics letters
10
The journal of credit risk : published quarterly by Incisive Media
10
Working papers
10
Journal of economic dynamics & control
9
SFB 649 discussion paper
9
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
9
CFS working paper series
8
European journal of operational research : EJOR
8
International journal of theoretical and applied finance
8
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ECONIS (ZBW)
43
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1
PELVE : probability equivalent level of VaR and ES
Li, Hengxin
;
Wang, Ruodu
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 353-370
Persistent link: https://www.econbiz.de/10014364915
Saved in:
2
Identifying systemically important financial institutions in Turkey
Caliskan, Hande
;
Cevik, Emrah I.
;
Kirci C̦evik, Nüket
; …
- In:
Research in international business and finance
56
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013267844
Saved in:
3
Tail index estimation in the presence of covariates : stock returns' tail risk dynamics
Nicolau, João
;
Rodrigues, Paulo M. M.
;
Stoykov, Marian Z.
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2266-2284
Persistent link: https://www.econbiz.de/10014471455
Saved in:
4
Diversification benefits of NFTs for conventional asset investors : evidence from CoVaR with higher moments and optimal hedge ratios
Umar, Zaghum
;
Usman, Muhammad
;
Choi, Sun-Yong
;
Rice, John
- In:
Research in international business and finance
65
(
2023
),
pp. 1-26
Persistent link: https://www.econbiz.de/10014432749
Saved in:
5
Financial networks and systemic risk vulnerabilities : a tale of Indian banks
Ahmad, Wasim
;
Tiwari, Shiv Ratan
;
Wadhwani, Akshay
; …
- In:
Research in international business and finance
65
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014434078
Saved in:
6
Forecasting tail risk measures for financial time series : an extreme value approach with covariates
James, Robert
;
Leung, Henry
;
Leung, Jessica Wai Yin
; …
- In:
Journal of empirical finance
71
(
2023
),
pp. 29-50
Persistent link: https://www.econbiz.de/10014292519
Saved in:
7
Is gold still a safe haven for stock markets? : new insights through the tail thickness of portfolio return distributions
Echaust, Krzysztof
;
Just, Małgorzata
- In:
Research in international business and finance
63
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014248962
Saved in:
8
Multiscale relationship between economic policy uncertainty and sectoral returns : implications for portfolio management
Al Rababa'a, Abdel Razzaq
;
Alomari, Mohammad
;
Ur …
- In:
Research in international business and finance
61
(
2022
),
pp. 1-30
Persistent link: https://www.econbiz.de/10014246854
Saved in:
9
Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak : a market and sectoral analysis
Aloui, Riadh
;
Jabeur, Sami Ben
;
Mefteh-Wali, Salma
- In:
Research in international business and finance
62
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014247870
Saved in:
10
Estimation and inference about tail features with tail censored data
Wang, Yulong
;
Xiao, Zhijie
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 363-387
Persistent link: https://www.econbiz.de/10013463894
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