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~isPartOf:"Journal of empirical finance"
~subject:"Ausreißer"
~subject:"Bankrisiko"
~subject:"Credit risk"
~subject:"Measurement"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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Ausreißer
Bankrisiko
Credit risk
Measurement
Risikomaß
55
Risk measure
55
Theorie
35
Theory
35
ARCH model
26
ARCH-Modell
26
Portfolio selection
19
Portfolio-Management
19
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16
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Extreme value theory
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Herrera, Rodrigo
2
Bee, Marco
1
Bernardi, Mauro
1
Bouvatier, Vincent
1
Cai, Jun
1
Candia Campano, Claudio
1
Changchien, Chang-Cheng
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Dupuis, Debbie J.
1
Huang, Lin
1
Jalal, Amine
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Kao, Tzu-Chuan
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Lepetit, Lætitia
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Marcus, Alan J.
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Maruotti, Antonello
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Mitov, Georgi
1
Petrella, Lea
1
Prokhorov, Artem
1
Rehault, Pierre-Nicolas
1
Rhee, S. Ghon
1
Rockinger, Michael
1
Rüschendorf, Ludger
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Strobel, Frank
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Trapin, Luca
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Journal of empirical finance
Insurance / Mathematics & economics
125
Journal of banking & finance
59
Risks : open access journal
54
Journal of risk
46
European journal of operational research : EJOR
39
The journal of operational risk
27
Finance research letters
25
The journal of risk model validation
22
Economic modelling
21
International journal of theoretical and applied finance
21
International review of financial analysis
21
Journal of risk management in financial institutions
21
Quantitative finance
21
The North American journal of economics and finance : a journal of financial economics studies
20
The journal of credit risk : published quarterly by Incisive Media
20
Discussion paper / Tinbergen Institute
19
Mathematics of operations research
19
Applied economics
18
Finance and stochastics
18
Mathematics and financial economics
17
Journal of financial stability
14
Journal of international financial markets, institutions & money
14
Scandinavian actuarial journal
14
Journal of risk and financial management : JRFM
13
Computational economics
12
International journal of forecasting
12
Research paper series / Swiss Finance Institute
12
Applied economics letters
11
Astin bulletin : the journal of the International Actuarial Association
11
International review of economics & finance : IREF
11
Journal of financial econometrics
11
Management science : journal of the Institute for Operations Research and the Management Sciences
11
The European journal of finance
11
Energy economics
10
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
Journal of economic dynamics & control
10
Journal of financial services research : JFSR
10
Journal of mathematical finance
10
Mathematical finance : an international journal of mathematics, statistics and financial economics
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ECONIS (ZBW)
11
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1
An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile
Candia Campano, Claudio
;
Herrera, Rodrigo
- In:
Journal of empirical finance
77
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014578542
Saved in:
2
Time-varying Z-score measures for bank insolvency risk : best practice
Bouvatier, Vincent
;
Lepetit, Lætitia
;
Rehault, …
- In:
Journal of empirical finance
73
(
2023
),
pp. 170-179
Persistent link: https://www.econbiz.de/10014477006
Saved in:
3
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:
4
Bank stocks, risk factors, and tail behavior
Yang, Huan
;
Cai, Jun
;
Huang, Lin
;
Marcus, Alan J.
- In:
Journal of empirical finance
63
(
2021
),
pp. 203-229
Persistent link: https://www.econbiz.de/10013259284
Saved in:
5
Conditional extreme risk, black swan hedging, and asset prices
Rhee, S. Ghon
;
Wu, Feng
- In:
Journal of empirical finance
58
(
2020
),
pp. 412-435
Persistent link: https://www.econbiz.de/10012430713
Saved in:
6
Multiple risk measures for multivariate dynamic heavy-tailed models
Bernardi, Mauro
;
Maruotti, Antonello
;
Petrella, Lea
- In:
Journal of empirical finance
43
(
2017
),
pp. 1-32
Persistent link: https://www.econbiz.de/10011817885
Saved in:
7
Realizing the extremes : estimation of tail-risk measures from a high-frequency perspective
Bee, Marco
;
Dupuis, Debbie J.
;
Trapin, Luca
- In:
Journal of empirical finance
36
(
2016
),
pp. 86-99
Persistent link: https://www.econbiz.de/10011662757
Saved in:
8
Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz
Mainik, Georg
;
Mitov, Georgi
;
Rüschendorf, Ludger
- In:
Journal of empirical finance
32
(
2015
),
pp. 115-134
Persistent link: https://www.econbiz.de/10011556804
Saved in:
9
High-order moments and extreme value approach for value-at-risk
Lin, Chu-Hsiung
;
Changchien, Chang-Cheng
;
Kao, Tzu-Chuan
; …
- In:
Journal of empirical finance
29
(
2014
),
pp. 421-434
Persistent link: https://www.econbiz.de/10011300450
Saved in:
10
Value at risk forecasts by extreme value models in a conditional duration framework
Herrera, Rodrigo
;
Schipp, Bernhard
- In:
Journal of empirical finance
23
(
2013
),
pp. 33-47
Persistent link: https://www.econbiz.de/10010221789
Saved in:
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