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~isPartOf:"Journal of financial econometrics"
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Search: subject:"Value at Risk"
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Journal of financial econometrics
Insurance / Mathematics & economics
219
Journal of banking & finance
181
Journal of risk
123
European journal of operational research : EJOR
114
Risks : open access journal
106
Finance research letters
96
International review of financial analysis
75
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73
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The North American journal of economics and finance : a journal of financial economics studies
68
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67
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International journal of forecasting
59
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56
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53
Journal of risk and financial management : JRFM
52
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47
The journal of operational risk
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International journal of theoretical and applied finance
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44
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International review of economics & finance : IREF
41
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39
The European journal of finance
38
Risks
37
Tinbergen Institute Discussion Papers
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
Research in international business and finance
36
Journal of Risk and Financial Management
34
Journal of economic dynamics & control
34
Research paper series / Swiss Finance Institute
34
SFB 649 discussion paper
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Tinbergen Institute Discussion Paper
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Journal of international financial markets, institutions & money
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Scandinavian actuarial journal
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ECONIS (ZBW)
27
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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
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:
4
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:
5
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:
6
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:
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
Market maker inventory, bid-ask spreads, and the computation of option implied risk measures
Eraker, Bjørn
;
Osterrieder, Daniela
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1820-1851
Persistent link: https://www.econbiz.de/10014444758
Saved in:
9
Encompassing tests for
value
at
risk
and expected shortfall multistep forecasts based on inference on the boundary
Dimitriadis, Timo
;
Liu, Xiaochun
;
Schnaitmann, Julie
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 412-444
Persistent link: https://www.econbiz.de/10014314753
Saved in:
10
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
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