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~isPartOf:"Journal of financial econometrics"
~isPartOf:"Operations research"
~isPartOf:"Working papers / TSE : WP"
~subject:"Estimation theory"
~subject:"Extrapolation"
~subject:"Theory"
~subject:"coherent risk measures"
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Search: subject:"Value at Risk"
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Estimation theory
Extrapolation
Theory
coherent risk measures
Risikomaß
61
Risk measure
61
Theorie
37
Portfolio selection
28
Portfolio-Management
28
Risiko
28
Risk
28
Risikomanagement
20
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
36
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10
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Article
43
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9
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43
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43
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9
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9
Non-commercial literature
9
Working Paper
9
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English
52
Author
All
Daouia, Abdelaati
6
Stupfler, Gilles
5
Girard, Stéphane
4
Hoga, Yannick
3
Wang, Ruodu
3
Atamtürk, Alper
2
Dimitriadis, Timo
2
Embrechts, Paul
2
Gómez, Andrés
2
Liu, Guangwu
2
Padoan, Simone A.
2
Peng, Xianhua
2
Adler, Matthew D.
1
Ararat, Çağın
1
Bayer, Sebastian
1
Broadie, Mark
1
Cai, Charlie X.
1
Cai, Yuzhi
1
Castagnoli, Erio
1
Cattelan, Giacomo
1
Chen Zhou
1
Chen, Jingnan
1
Chun, So Yeon
1
Costa, Manon
1
Du, Yiping
1
Duan, Fang
1
Edirisinghe, Chanaka
1
Fasciati, Fernando
1
Faugeras, Olivier
1
Ferranna, Maddalena
1
Ferris, Michael C.
1
Francq, Christian
1
Fuh, Cheng-der
1
Gadat, Sébastien
1
Garcia-Jorcano, Laura
1
Gerlach, Richard
1
Grønneberg, Steffen
1
Hambuckers, Julien
1
Hammitt, James K.
1
Han, Heejoon
1
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Journal of financial econometrics
Operations research
Working papers / TSE : WP
Insurance / Mathematics & economics
199
European journal of operational research : EJOR
92
Journal of banking & finance
91
Risks : open access journal
75
Journal of risk
62
Quantitative finance
42
Discussion paper / Tinbergen Institute
38
Economic modelling
38
Finance research letters
38
International journal of forecasting
38
Journal of empirical finance
38
The journal of risk model validation
35
Journal of econometrics
33
International journal of theoretical and applied finance
32
International review of financial analysis
30
Computational economics
28
Journal of risk and financial management : JRFM
28
SFB 649 discussion paper
28
Scandinavian actuarial journal
28
Finance and stochastics
26
Applied economics
25
Journal of forecasting
25
The European journal of finance
24
The journal of operational risk
24
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
22
Journal of economic dynamics & control
22
Journal of financial econometrics : official journal of the Society for Financial Econometrics
22
Mathematical finance : an international journal of mathematics, statistics and financial theory
22
Operations research letters
22
Research paper series / Swiss Finance Institute
22
Astin bulletin : the journal of the International Actuarial Association
21
Mathematics and financial economics
21
Mathematics of operations research
21
The journal of credit risk : published quarterly by Incisive Media
21
Journal of mathematical finance
18
SpringerLink / Bücher
18
The North American journal of economics and finance : a journal of financial economics studies
18
Working papers
18
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ECONIS (ZBW)
52
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1
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:
2
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:
3
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:
4
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:
5
Regression-based expected shortfall backtesting
Bayer, Sebastian
;
Dimitriadis, Timo
- In:
Journal of financial econometrics
20
(
2022
)
3
,
pp. 437-471
Persistent link: https://www.econbiz.de/10013349110
Saved in:
6
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
Saved in:
7
A new tail-based correlation measure and its application in global equity markets
Liu, Jinjing
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 959-987
Persistent link: https://www.econbiz.de/10014314844
Saved in:
8
Risk-based robust statistical learning by stochastic difference-of-convex value-function optimization
Liu, Junyi
;
Pang, Jong-shi
- In:
Operations research
71
(
2023
)
2
,
pp. 397-414
Persistent link: https://www.econbiz.de/10014308587
Saved in:
9
Improving
value-at-risk
prediction under model uncertainty
Peng, Shige
;
Yang, Shuzhen
;
Yao, Jianfeng
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 228-259
Persistent link: https://www.econbiz.de/10013542865
Saved in:
10
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:
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