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Search: subject:"Expected Shortfall"
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Risikomaß
42
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42
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32
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expected shortfall
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Journal of forecasting
Insurance / Mathematics & economics
218
Journal of banking & finance
181
Journal of risk
123
European journal of operational research : EJOR
114
Finance research letters
110
Risks : open access journal
108
Energy economics
74
International review of financial analysis
74
Economic modelling
73
The North American journal of economics and finance : a journal of financial economics studies
67
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67
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62
International journal of forecasting
59
Quantitative finance
57
Journal of empirical finance
55
Applied economics
53
Journal of risk and financial management : JRFM
52
Journal of risk management in financial institutions
47
The journal of operational risk
47
International journal of theoretical and applied finance
46
Journal of econometrics
41
Computational economics
40
International review of economics & finance : IREF
40
The European journal of finance
39
Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
Research in international business and finance
36
Research paper series / Swiss Finance Institute
35
Journal of economic dynamics & control
34
SFB 649 discussion paper
34
Applied economics letters
32
Journal of international financial markets, institutions & money
32
Working papers
32
Scandinavian actuarial journal
31
Working paper
31
Finance and stochastics
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Pacific-Basin finance journal
30
Econometric Institute research papers
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Journal of financial econometrics
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Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
42
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1
A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao
;
Gerlach, Richard
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
Saved in:
2
Modeling uncertainty in financial tail risk : a forecast combination and weighted quantile approach
Storti, Giuseppe
;
Wang, Chao
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1648-1663
Persistent link: https://www.econbiz.de/10014432743
Saved in:
3
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:
4
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:
5
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:
6
Semiparametric estimation of
expected
shortfall
and its application in finance
Fang, Yan
;
Li, Jian
;
Liu, Yinglin
;
Zhao, Yunfan
- In:
Journal of forecasting
42
(
2023
)
4
,
pp. 835-851
Persistent link: https://www.econbiz.de/10014292830
Saved in:
7
Bootstrap VAR forecasts : the effect of model uncertainties
Fresoli, Diego
- In:
Journal of forecasting
41
(
2022
)
2
,
pp. 279-293
Persistent link: https://www.econbiz.de/10012817747
Saved in:
8
Forecasting
expected
shortfall
and value at risk with a joint elicitable mixed data sampling model
Xu, Qifa
;
Chen, Lu
;
Jiang, Cuixia
;
Liu, Yezheng
- In:
Journal of forecasting
41
(
2022
)
3
,
pp. 407-421
Persistent link: https://www.econbiz.de/10013166148
Saved in:
9
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:
10
A comparison of Range Value at Risk (RVaR) forecasting models
Müller, Fernanda Maria
;
Gössling, Thalles Weber
; …
- In:
Journal of forecasting
43
(
2024
)
3
,
pp. 509-543
Persistent link: https://www.econbiz.de/10014532345
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