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~isPartOf:"Journal of financial econometrics"
~isPartOf:"Operations research"
~isPartOf:"Working papers / TSE : WP"
~subject:"Estimation theory"
~subject:"Outliers"
~subject:"coherent risk measures"
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Search: subject:"Value at Risk"
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Estimation theory
Outliers
coherent risk measures
Risikomaß
61
Risk measure
61
Theorie
37
Theory
37
Portfolio selection
28
Portfolio-Management
28
Risiko
28
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28
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20
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value-at-risk
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expected shortfall
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23
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Daouia, Abdelaati
6
Stupfler, Gilles
5
Girard, Stéphane
4
Hoga, Yannick
2
Padoan, Simone A.
2
Broadie, Mark
1
Bücher, Axel
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Journal of financial econometrics
Operations research
Working papers / TSE : WP
Insurance / Mathematics & economics
39
Journal of risk
29
Journal of banking & finance
17
Risks : open access journal
17
Finance research letters
16
Journal of econometrics
16
The journal of risk model validation
15
The journal of operational risk
14
Discussion paper / Tinbergen Institute
13
International journal of forecasting
13
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
13
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12
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11
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11
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10
SFB 649 discussion paper
10
International review of financial analysis
9
Journal of mathematical finance
9
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8
International journal of theoretical and applied finance
8
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8
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7
European journal of operational research : EJOR
7
Journal of forecasting
7
Journal of risk and financial management : JRFM
7
Dresdner Beiträge zu quantitativen Verfahren
6
International journal of monetary economics and finance
6
Journal of international financial markets, institutions & money
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DNB working paper
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Economics letters
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Research in international business and finance
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Scandinavian actuarial journal
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ECONIS (ZBW)
23
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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
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:
5
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
6
Single-index expectile models for estimating conditional
value
at
risk
and expected shortfall
Jiang, Rong
;
Hu, Xueping
;
Yu, Keming
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 345-366
Persistent link: https://www.econbiz.de/10013187986
Saved in:
7
Limit theory for forecasts of extreme distortion risk measures and expectiles
Hoga, Yannick
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 18-44
Persistent link: https://www.econbiz.de/10012878185
Saved in:
8
Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi
;
Lu, Jin
;
Pelletier, Denis
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
Saved in:
9
Tail expectile process and risk assessment
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupfler, Gilles
-
2018
Persistent link: https://www.econbiz.de/10013490908
Saved in:
10
ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupffer, Gilles
-
2018
Persistent link: https://www.econbiz.de/10013492959
Saved in:
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