//--> //--> //--> //-->
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:"Journal of econometrics"
~isPartOf:"The journal of asset management"
~subject:"ARCH model"
~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
| 4 applied filters
Year of publication
From:
To:
Subject
All
ARCH model
Portfolio selection
Risikomaß
60
Risk measure
60
Theorie
30
Theory
30
Portfolio-Management
28
Statistical distribution
19
Statistische Verteilung
19
Risikomanagement
17
Risk management
17
Estimation
16
Schätzung
16
Capital income
15
Kapitaleinkommen
15
ARCH-Modell
13
Estimation theory
12
Risiko
12
Risk
12
Schätztheorie
12
Volatility
10
Volatilität
10
Time series analysis
9
Zeitreihenanalyse
9
Forecasting model
8
Prognoseverfahren
8
Ausreißer
7
Financial crisis
7
Finanzkrise
7
Outliers
7
Stochastic process
7
Stochastischer Prozess
7
Correlation
6
Korrelation
6
Value at risk
6
Extreme value theory
5
Nichtparametrisches Verfahren
5
Nonparametric statistics
5
Regression analysis
5
Regressionsanalyse
5
more ...
less ...
Online availability
All
Undetermined
21
Type of publication
All
Article
34
Type of publication (narrower categories)
All
Article in journal
34
Aufsatz in Zeitschrift
34
Conference paper
1
Konferenzbeitrag
1
Language
All
English
34
Author
All
Francq, Christian
3
Zakoïan, Jean-Michel
3
Zhang, Zhengjun
2
Bandi, Federico M.
1
Bertail, Patrice
1
Bianchi, Michele Leonardo
1
Biglova, Almira
1
Birge, John R.
1
Cadle, John
1
Chan, Ngai Hang
1
Chan, Thomas W. C.
1
Chang, Chia-Lin
1
Chen, Rong
1
Chen, Yu
1
Chu, Amanda M. Y.
1
Chávez-Bedoya, Luis
1
Daouia, Abdelaati
1
Deng, Geng
1
Deng, Shi-jie
1
Diaz, Mauricio
1
Diebold, Francis X.
1
Dulaney, Tim
1
Duong, Diep
1
Egorov, Alexej V.
1
Fabozzi, Frank J.
1
Falzon, Joseph
1
Girard, Stéphane
1
Hammoudeh, Shawkat
1
Hernandez, Jose Arreola
1
Hill, Jonathan B.
1
Ho, Lan-chih
1
Hong, Yongmiao
1
Häfke, Christian
1
Härdle, Wolfgang
1
Janabi, Mazin A. M. al
1
Jiménez-Martín, Juan-Ángel
1
Kinlaw, Will
1
Kwon, Roy H.
1
Lee, David Kuo Chuen
1
Li, Haitao
1
more ...
less ...
Published in...
All
Journal of econometrics
The journal of asset management
Insurance / Mathematics & economics
106
Journal of banking & finance
87
Journal of risk
69
European journal of operational research : EJOR
62
Finance research letters
61
Risks : open access journal
51
Economic modelling
47
International review of financial analysis
43
Journal of empirical finance
42
The North American journal of economics and finance : a journal of financial economics studies
42
Quantitative finance
41
Energy economics
38
The journal of risk model validation
36
Applied economics
35
Journal of risk and financial management : JRFM
34
International journal of forecasting
30
Discussion paper / Tinbergen Institute
29
Computational economics
25
The European journal of finance
25
International journal of theoretical and applied finance
24
International review of economics & finance : IREF
24
Journal of forecasting
24
Research in international business and finance
24
Journal of economic dynamics & control
23
Econometric Institute research papers
21
Research paper series / Swiss Finance Institute
21
Working papers
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
Journal of international financial markets, institutions & money
18
Finance and stochastics
17
Management science : journal of the Institute for Operations Research and the Management Sciences
16
Operations research
16
Applied economics letters
15
Journal of mathematical finance
15
Pacific-Basin finance journal
15
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
14
Journal of risk management in financial institutions
13
Scandinavian actuarial journal
13
more ...
less ...
Source
All
ECONIS (ZBW)
34
Showing
1
-
10
of
34
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
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
ß in the tails
Bandi, Federico M.
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
Saved in:
3
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
4
ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupfler, Gilles
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 97-117
Persistent link: https://www.econbiz.de/10012618802
Saved in:
5
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
6
Conditional Value-at-Risk : semiparametric estimation and inference
Wang, Chuan-Sheng
;
Zhao, Zhibiao
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 86-103
Persistent link: https://www.econbiz.de/10011705234
Saved in:
7
Portfolio optimization with covered calls
Diaz, Mauricio
;
Kwon, Roy H.
- In:
The journal of asset management
20
(
2019
)
1
,
pp. 38-53
Persistent link: https://www.econbiz.de/10012059744
Saved in:
8
Panic-aware portfolio optimization
Zorn, Josef
- In:
The journal of asset management
20
(
2019
)
2
,
pp. 103-110
Persistent link: https://www.econbiz.de/10012059765
Saved in:
9
Mark to market value at risk
Chen, Yu
;
Wang, Zhicheng
;
Zhang, Zhengjun
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 299-321
Persistent link: https://www.econbiz.de/10012145015
Saved in:
10
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
Saved in:
1
2
3
4
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->