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~isPartOf:"Journal of forecasting"
~subject:"Financial crisis"
~subject:"Outliers"
~subject:"Volatilität"
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Search: subject:"value at risk"
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Financial crisis
Outliers
Volatilität
Risikomaß
42
Risk measure
42
Forecasting model
33
Prognoseverfahren
33
Theorie
20
Theory
20
ARCH model
14
ARCH-Modell
14
Portfolio selection
11
Portfolio-Management
11
Volatility
11
Statistical distribution
10
Statistische Verteilung
10
Capital income
8
Kapitaleinkommen
8
expected shortfall
8
Estimation
7
Schätzung
7
value at risk
7
Risiko
6
Risk
6
Bayes-Statistik
5
Bayesian inference
5
Estimation theory
5
Measurement
5
Messung
5
Schätztheorie
5
Time series analysis
5
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5
Basel Accord
4
Basler Akkord
4
Markov chain
4
Markov-Kette
4
Statistical test
4
Statistischer Test
4
Welt
4
World
4
value-at-risk
4
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3
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15
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15
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Chen, Cathy W. S.
2
Lin, Edward M. H.
2
Arteche, Josu
1
Berger, Theo
1
Cheng, Yihan
1
Dendramis, Yiannis
1
Franses, Philip Hans
1
García-Enríquez, Javier
1
Gresnigt, Francine
1
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1
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1
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1
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1
Ke, Tsung-han
1
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1
Li, Chenxing
1
Li, Handong
1
Louzis, Dimitrios P.
1
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1
McAleer, Michael
1
Pérez Amaral, Teodosio
1
Refenes, Apostolos-Paul
1
Sahamkhadam, Maziar
1
So, Mike Ka-pui
1
Song, Shijia
1
Spungin, Giles E.
1
Stephan, Andreas
1
Taylor, James W.
1
Trung Hai Le
1
Tzavalis, Elias
1
Wang, Man
1
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Journal of forecasting
Journal of banking & finance
50
Finance research letters
48
The North American journal of economics and finance : a journal of financial economics studies
42
Energy economics
41
International review of financial analysis
33
Economic modelling
30
Applied economics
28
Journal of empirical finance
25
Journal of risk
25
International journal of forecasting
24
International review of economics & finance : IREF
24
Discussion paper / Tinbergen Institute
23
Insurance / Mathematics & economics
22
Journal of international financial markets, institutions & money
22
Journal of risk and financial management : JRFM
22
Working paper
20
Risks : open access journal
19
Econometric Institute research papers
17
Journal of econometrics
17
The journal of risk model validation
17
Pacific-Basin finance journal
15
The European journal of finance
15
Computational economics
13
Journal of mathematical finance
12
Applied economics letters
11
Journal of financial econometrics
11
Research in international business and finance
11
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
Journal of economic dynamics & control
10
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
10
The journal of operational risk
10
Working papers
10
CFS working paper series
9
International journal of theoretical and applied finance
9
Journal of financial econometrics : official journal of the Society for Financial Econometrics
9
Journal of international money and finance
9
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
8
European journal of operational research : EJOR
8
Quantitative finance
8
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ECONIS (ZBW)
15
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15
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date (oldest first)
1
Portfolio optimization based on forecasting models using vine copulas : an empirical assessment for global financial crises
Sahamkhadam, Maziar
;
Stephan, Andreas
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 2139-2166
Persistent link: https://www.econbiz.de/10014432866
Saved in:
2
Forecasting
value
at
risk
and expected shortfall using high-frequency data of domestic and international stock markets
Wang, Man
;
Cheng, Yihan
- In:
Journal of forecasting
41
(
2022
)
8
,
pp. 1595-1607
Persistent link: https://www.econbiz.de/10013465725
Saved in:
3
Forecasting VaR and ES in emerging markets : the role of time-varying higher moments
Trung Hai Le
- In:
Journal of forecasting
43
(
2024
)
2
,
pp. 402-414
Persistent link: https://www.econbiz.de/10014475347
Saved in:
4
A multivariate GARCH-jump mixture model
Li, Chenxing
;
Maheu, John M.
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
Saved in:
5
A new model for forecasting VaR and ES using intraday returns aggregation
Song, Shijia
;
Li, Handong
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1039-1054
Persistent link: https://www.econbiz.de/10014338800
Saved in:
6
Singular spectrum analysis for
value
at
risk
in stochastic volatility models
Arteche, Josu
;
García-Enríquez, Javier
- In:
Journal of forecasting
41
(
2022
)
1
,
pp. 3-16
Persistent link: https://www.econbiz.de/10012796265
Saved in:
7
Bayesian quantile forecasting via the realized hysteretic GARCH model
Chen, Cathy W. S.
;
Lin, Edward M. H.
;
Huang, Tara F. J.
- In:
Journal of forecasting
41
(
2022
)
7
,
pp. 1317-1337
Persistent link: https://www.econbiz.de/10013465697
Saved in:
8
Forecasting based on decomposed financial return series : a wavelet analysis
Berger, Theo
- In:
Journal of forecasting
35
(
2016
)
5
,
pp. 419-433
Persistent link: https://www.econbiz.de/10011580976
Saved in:
9
Forecasting VaR models under different volatility processes and distributions of return innovations
Dendramis, Yiannis
;
Spungin, Giles E.
;
Tzavalis, Elias
- In:
Journal of forecasting
33
(
2014
)
7
,
pp. 515-531
Persistent link: https://www.econbiz.de/10011282095
Saved in:
10
International evidence on GFC-robust forecasts for risk management under the Basel Accord
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
;
Pérez …
- In:
Journal of forecasting
32
(
2013
)
3
,
pp. 267-288
Persistent link: https://www.econbiz.de/10009758640
Saved in:
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