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~isPartOf:"Journal of financial econometrics"
~isPartOf:"Operations research"
~subject:"Dynamische Optimierung"
~subject:"Estimation theory"
~subject:"Mathematical programming"
~subject:"value-at-risk"
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Dynamische Optimierung
Estimation theory
Mathematical programming
value-at-risk
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
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
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
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Undetermined
23
Free
1
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Article
28
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28
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28
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English
28
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Atamtürk, Alper
2
Embrechts, Paul
2
Gómez, Andrés
2
Wang, Ruodu
2
Ararat, Çağın
1
Barendse, Sander
1
Broadie, Mark
1
Cai, Charlie X.
1
Cai, Yuzhi
1
Chun, So Yeon
1
Delage, Erick
1
Dijk, Dick van
1
Du, Yiping
1
Duan, Fang
1
Francq, Christian
1
Grønneberg, Steffen
1
Guo, Shaoyan
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
Khalaf, Lynda
1
Kim, Minjoo
1
Kole, Erik
1
Kou, Steven
1
Leccadito, Arturo
1
Lee, Ji Hyung
1
Liu, Guangwu
1
Liu, Haiyan
1
Liu, Junyi
1
Lu, Jin
1
Manner, Hans
1
Meimanjan, Nurtai
1
Moallemi, Ciamac C.
1
Noyan, Nilay
1
Pang, Jong-shi
1
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Journal of financial econometrics
Operations research
European journal of operational research : EJOR
39
Insurance / Mathematics & economics
31
Journal of risk
26
Risks : open access journal
23
The journal of risk model validation
17
Journal of banking & finance
13
Journal of econometrics
13
Journal of risk and financial management : JRFM
13
Journal of Risk and Financial Management
12
The European journal of finance
12
Finance research letters
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
Quantitative finance
10
Scandinavian actuarial journal
10
Discussion paper / Tinbergen Institute
9
Econometric Institute Research Papers
9
International Journal of Monetary Economics and Finance
9
Journal of forecasting
9
Operations research letters
9
The journal of operational risk
9
Computational economics
8
International journal of theoretical and applied finance
8
Journal of the Operational Research Society
8
Risks
8
SFB 649 discussion paper
8
Applied economics
7
INFORMS journal on computing : JOC
7
MPRA Paper
7
Mathematics of operations research
7
The European Journal of Finance
7
Computers & operations research : and their applications to problems of world concern ; an international journal
6
Dresdner Beiträge zu quantitativen Verfahren
6
Econometric Institute Report
6
International journal of production research
6
Journal of economic dynamics & control
6
OR spectrum : quantitative approaches in management
6
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
6
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ECONIS (ZBW)
28
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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
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
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:
4
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:
5
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:
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
Computation of systemic risk measures : a mixed-integer programming approach
Ararat, Çağın
;
Meimanjan, Nurtai
- In:
Operations research
71
(
2023
)
6
,
pp. 2130-2145
Persistent link: https://www.econbiz.de/10014445030
Saved in:
8
Model and moment selection in factor copula models
Duan, Fang
;
Manner, Hans
;
Wied, Dominik
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 45-75
Persistent link: https://www.econbiz.de/10012878186
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
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