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~isPartOf:"Journal of financial econometrics"
~isPartOf:"Operations research"
~isPartOf:"Working papers / TSE : WP"
~subject:"Estimation theory"
~subject:"Extrapolation"
~subject:"Risikomanagement"
~subject:"coherent risk measures"
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Search: subject:"Value at Risk"
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Estimation theory
Extrapolation
Risikomanagement
coherent risk measures
Risikomaß
61
Risk measure
61
Theorie
37
Theory
37
Portfolio selection
28
Portfolio-Management
28
Risiko
28
Risk
28
Risk management
20
Measurement
19
Messung
19
Statistical distribution
18
Statistische Verteilung
18
Schätztheorie
14
value-at-risk
13
Estimation
12
Forecasting model
12
Prognoseverfahren
12
Schätzung
12
Ausreißer
11
Outliers
11
expected shortfall
11
Mathematical programming
10
Mathematische Optimierung
10
ARCH model
9
ARCH-Modell
9
Capital income
9
Kapitaleinkommen
9
Robust statistics
8
Robustes Verfahren
8
Stochastic process
5
Stochastischer Prozess
5
Time series analysis
5
Volatility
5
Volatilität
5
Zeitreihenanalyse
5
Extreme values
4
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Undetermined
23
Free
9
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Article
26
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8
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26
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26
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8
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8
Non-commercial literature
8
Working Paper
8
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English
34
Author
All
Daouia, Abdelaati
6
Stupfler, Gilles
5
Girard, Stéphane
4
Embrechts, Paul
2
Padoan, Simone A.
2
Wang, Ruodu
2
Barendse, Sander
1
Barunik, Jozef
1
Broadie, Mark
1
Bücher, Axel
1
Cai, Charlie X.
1
Cai, Yuzhi
1
Capponi, Agostino
1
Chen Zhou
1
Chun, So Yeon
1
Costa, Manon
1
Dijk, Dick van
1
Du, Yiping
1
Faugeras, Olivier
1
Gadat, Sébastien
1
Grønneberg, Steffen
1
Hambuckers, Julien
1
Han, Heejoon
1
Hoga, Yannick
1
Hong, L. Jeff
1
Hu, Xueping
1
Huang, Lorick
1
Inoue, Atsushi
1
Jiang, Rong
1
Juneja, Sandeep
1
Jung, Whayoung
1
Khalaf, Lynda
1
Kim, Minjoo
1
Kley, Oliver
1
Klüppelberg, Claudia
1
Kneib, Thomas
1
Kole, Erik
1
Kou, Steven
1
Leccadito, Arturo
1
Lee, Ji Hyung
1
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Journal of financial econometrics
Operations research
Working papers / TSE : WP
Insurance / Mathematics & economics
111
Journal of risk
57
Journal of banking & finance
56
Risks : open access journal
56
European journal of operational research : EJOR
42
Finance research letters
33
The journal of operational risk
30
Economic modelling
28
The journal of risk model validation
26
Energy economics
25
The North American journal of economics and finance : a journal of financial economics studies
25
Journal of econometrics
24
Journal of risk management in financial institutions
21
Quantitative finance
21
International journal of theoretical and applied finance
20
Discussion paper / Tinbergen Institute
18
International review of financial analysis
18
Journal of risk and financial management : JRFM
17
Applied economics
16
Computational economics
16
International journal of forecasting
15
The European journal of finance
15
International review of economics & finance : IREF
14
Journal of empirical finance
14
Working papers
14
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
13
Journal of mathematical finance
13
Research paper series / Swiss Finance Institute
13
SpringerLink / Bücher
13
Finance and stochastics
12
Journal of financial econometrics : official journal of the Society for Financial Econometrics
12
SFB 649 discussion paper
12
Research in international business and finance
11
Scandinavian actuarial journal
11
Astin bulletin : the journal of the International Actuarial Association
10
International journal of risk assessment and management : IJRAM
10
Journal of international financial markets, institutions & money
10
Operations research letters
10
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ECONIS (ZBW)
34
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34
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1
Backtesting
value-at-risk
and expected shortfall in the presence of estimation error
Barendse, Sander
;
Kole, Erik
;
Dijk, Dick van
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 528-568
Persistent link: https://www.econbiz.de/10014314760
Saved in:
2
Extreme expectile estimation for short-tailed data, with an application to market risk assessment
Daouia, Abdelaati
;
Padoan, Simone A.
;
Stupfler, Gilles
-
2023
Persistent link: https://www.econbiz.de/10014227990
Saved in:
3
Estimation and inference of quantile impulse response functions by local projections : with applications to VaR dynamics
Han, Heejoon
;
Jung, Whayoung
;
Lee, Ji Hyung
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014526299
Saved in:
4
Optimal pooling and distributed inference for the tail index and extreme quantiles
Daouia, Abdelaati
;
Padoan, Simone A.
;
Stupfler, Gilles
-
2022
Persistent link: https://www.econbiz.de/10013170008
Saved in:
5
Portfolio optimization under CV@R constraint with stochastic mirror descent
Gadat, Sébastien
;
Costa, Manon
;
Huang, Lorick
-
2022
Persistent link: https://www.econbiz.de/10013263291
Saved in:
6
Production planning with risk hedging under a conditional
value
at
risk
objective
Wang, Liao
;
Yao, David D.
- In:
Operations research
71
(
2023
)
4
,
pp. 1055-1072
Persistent link: https://www.econbiz.de/10014338036
Saved in:
7
Quantile spectral beta : a tale of tail risks, investment horizons, and asset prices
Barunik, Jozef
;
Nevrla, Matĕj
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1590-1646
Persistent link: https://www.econbiz.de/10014444704
Saved in:
8
Smooth-transition regression models for non-stationary extremes
Hambuckers, Julien
;
Kneib, Thomas
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 445-484
Persistent link: https://www.econbiz.de/10014314754
Saved in:
9
Robustness in the optimization of risk measures
Embrechts, Paul
;
Schied, Alexander
;
Wang, Ruodu
- In:
Operations research
70
(
2022
)
1
,
pp. 95-110
Persistent link: https://www.econbiz.de/10012820643
Saved in:
10
Multilevel and tail risk management
Khalaf, Lynda
;
Leccadito, Arturo
;
Urga, Giovanni
- In:
Journal of financial econometrics
20
(
2022
)
5
,
pp. 839-874
Persistent link: https://www.econbiz.de/10013460029
Saved in:
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