//--> //--> //--> //-->
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 financial econometrics"
~isPartOf:"Operations research"
~isPartOf:"Working papers / TSE : WP"
~subject:"Estimation theory"
~subject:"coherent risk measures"
~type_genre:"Aufsatz in Zeitschrift"
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:"Value at Risk"
Narrow search
Delete all filters
| 6 applied filters
Year of publication
From:
To:
Subject
All
Estimation theory
coherent risk measures
Risikomaß
52
Risk measure
52
Theorie
32
Theory
32
Portfolio selection
23
Portfolio-Management
23
Risiko
23
Risk
23
Measurement
16
Messung
16
Risikomanagement
14
Risk management
14
value-at-risk
13
Statistical distribution
12
Statistische Verteilung
12
Estimation
11
Forecasting model
11
Prognoseverfahren
11
Schätzung
11
expected shortfall
11
Schätztheorie
10
ARCH model
9
ARCH-Modell
9
Mathematical programming
9
Mathematische Optimierung
9
Capital income
8
Kapitaleinkommen
8
Robust statistics
8
Robustes Verfahren
8
Ausreißer
5
Outliers
5
Time series analysis
5
Volatility
5
Volatilität
5
Zeitreihenanalyse
5
Financial Engineering
4
Optimization
4
Systemic risk
4
Systemrisiko
4
more ...
less ...
Online availability
All
Undetermined
11
Type of publication
All
Article
13
Type of publication (narrower categories)
All
Aufsatz in Zeitschrift
Article in journal
13
Arbeitspapier
4
Graue Literatur
4
Non-commercial literature
4
Working Paper
4
Language
All
English
13
Author
All
Broadie, Mark
1
Cai, Charlie X.
1
Cai, Yuzhi
1
Chun, So Yeon
1
Du, Yiping
1
Grønneberg, Steffen
1
Han, Heejoon
1
Hoga, Yannick
1
Hong, L. Jeff
1
Hu, Xueping
1
Inoue, Atsushi
1
Jiang, Rong
1
Juneja, Sandeep
1
Jung, Whayoung
1
Kim, Minjoo
1
Lee, Ji Hyung
1
Li, Jonathan Yu-Meng
1
Liu, Guangwu
1
Lu, Jin
1
Moallemi, Ciamac C.
1
Noyan, Nilay
1
Pelletier, Denis
1
Rudolf, Gábor
1
Shapiro, Alex
1
Shapiro, Alexander
1
Shin, Yongcheol
1
Stander, Julian
1
Sucarrat, Genaro
1
Uryasev, Stan
1
Yu, Keming
1
Zhang, Qi
1
more ...
less ...
Published in...
All
Journal of financial econometrics
Operations research
Working papers / TSE : WP
Insurance / Mathematics & economics
24
Journal of risk
22
Journal of econometrics
13
The journal of risk model validation
11
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
Finance research letters
9
Journal of financial econometrics : official journal of the Society for Financial Econometrics
9
Journal of banking & finance
8
Risks : open access journal
7
Computational economics
6
European journal of operational research : EJOR
6
International journal of theoretical and applied finance
6
The journal of operational risk
6
International journal of forecasting
5
Journal of forecasting
5
Mathematics of operations research
5
Quantitative finance
5
The North American journal of economics and finance : a journal of financial economics studies
5
International journal of monetary economics and finance
4
Journal of mathematical finance
4
Journal of risk and financial management : JRFM
4
Econometrics : open access journal
3
Journal of empirical finance
3
Mathematical finance : an international journal of mathematics, statistics and financial economics
3
Scandinavian actuarial journal
3
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
The econometrics journal
3
Applied economics
2
Econometric reviews
2
Economic research
2
Economics letters
2
Empirical economics : a quarterly journal of the Institute for Advanced Studies
2
INFORMS journal on computing : JOC
2
Journal of economic dynamics & control
2
Journal of risk management in financial institutions
2
Journal of the Operational Research Society
2
North American actuarial journal : NAAJ ; leading the way with original research and innovative applications for actuarial science
2
Operations research letters
2
more ...
less ...
Source
All
ECONIS (ZBW)
13
Showing
1
-
10
of
13
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
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:
2
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:
3
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:
4
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:
5
The threshold GARCH model : estimation and density forecasting for financial returns
Cai, Yuzhi
;
Stander, Julian
- In:
Journal of financial econometrics
18
(
2020
)
2
,
pp. 395-424
Persistent link: https://www.econbiz.de/10012232969
Saved in:
6
Extreme conditional tail moment estimation under serial dependence
Hoga, Yannick
- In:
Journal of financial econometrics
17
(
2019
)
4
,
pp. 587-615
Persistent link: https://www.econbiz.de/10012152234
Saved in:
7
FARVaR : functional autoregressive
value-at-risk
Cai, Charlie X.
;
Kim, Minjoo
;
Shin, Yongcheol
;
Zhang, Qi
- In:
Journal of financial econometrics
17
(
2019
)
2
,
pp. 284-337
Persistent link: https://www.econbiz.de/10012054445
Saved in:
8
Optimization with stochastic preferences based on a general class of scalarization functions
Noyan, Nilay
;
Rudolf, Gábor
- In:
Operations research
66
(
2018
)
2
,
pp. 463-486
Persistent link: https://www.econbiz.de/10011845995
Saved in:
9
Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
Li, Jonathan Yu-Meng
- In:
Operations research
66
(
2018
)
6
,
pp. 1533-1541
Persistent link: https://www.econbiz.de/10011971655
Saved in:
10
Kernel smoothing for nested estimation with application to portfolio risk measurement
Hong, L. Jeff
;
Juneja, Sandeep
;
Liu, Guangwu
- In:
Operations research
65
(
2017
)
3
,
pp. 657-673
Persistent link: https://www.econbiz.de/10011691391
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->