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~isPartOf:"Journal of mathematical finance"
~subject:"ARCH model"
~subject:"Theorie"
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Search: subject_exact:"CVaR (Conditional value at risk)"
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ARCH model
Theorie
Risikomaß
26
Risk measure
26
Theory
14
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Risk
12
Portfolio selection
10
Portfolio-Management
10
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Omari, Cyprian Ondieki
3
Mwita, Peter N.
2
Assaf, Ata
1
Chen, Zengjing
1
Cheng, Hao
1
Ferrentino, Rosa
1
Gichuhi, Antony W.
1
Gumbo, Victor
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He, Kun
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Huang, Jhe-Jheng
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Orlando, Albina
1
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Sapp, Travis R. A.
1
Siziba, Simiso
1
So, Leh-Chyan
1
Sonono, Masimba E.
1
Vota, Luca
1
Waititu, Antony G.
1
Wang, Jian
1
Xianglin, Jiang
1
Yap, Nelson K. L.
1
Yin, Chuancun
1
Yin, Deyu
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Ze-To, Samuel Yau Man
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Journal of mathematical finance
Insurance / Mathematics & economics
176
Journal of banking & finance
94
European journal of operational research : EJOR
87
Risks : open access journal
71
Journal of risk
57
Economic modelling
49
Finance research letters
44
Journal of empirical finance
44
Energy economics
40
International journal of forecasting
40
Quantitative finance
37
Discussion paper / Tinbergen Institute
35
International review of financial analysis
35
Journal of risk and financial management : JRFM
35
The North American journal of economics and finance : a journal of financial economics studies
33
Applied economics
32
The journal of risk model validation
30
International journal of theoretical and applied finance
27
Journal of forecasting
27
Scandinavian actuarial journal
26
The European journal of finance
26
Finance and stochastics
25
Journal of econometrics
25
Research paper series / Swiss Finance Institute
25
SFB 649 discussion paper
24
Computational economics
23
Working papers
23
Mathematical finance : an international journal of mathematics, statistics and financial theory
22
Operations research letters
22
Journal of economic dynamics & control
21
Mathematics and financial economics
21
The journal of credit risk : published quarterly by Incisive Media
21
Astin bulletin : the journal of the International Actuarial Association
19
Journal of financial econometrics
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Mathematics of operations research
19
Operations research
19
Applied economics letters
18
International review of economics & finance : IREF
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1
The risk in the insurance field : a generalized analysis
Ferrentino, Rosa
;
Vota, Luca
- In:
Journal of mathematical finance
10
(
2020
)
1
,
pp. 200-221
Persistent link: https://www.econbiz.de/10012545597
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2
Optimal reciprocal reinsurance under GlueVaR distortion risk measures
Huang, Yuxia
;
Yin, Chuancun
- In:
Journal of mathematical finance
9
(
2019
)
1
,
pp. 11-24
Persistent link: https://www.econbiz.de/10012116658
Saved in:
3
Modelling volatility dynamics of cryptocurrencies using GARCH models
Ngunyi, Anthony
;
Mundia, Simon
;
Omari, Cyprian Ondieki
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 591-615
Persistent link: https://www.econbiz.de/10012433128
Saved in:
4
Valuation and risk assessment of a portfolio of variable annuities : a vector autoregression approach
Orlando, Albina
;
Parker, Gary
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 349-371
Persistent link: https://www.econbiz.de/10011874781
Saved in:
5
Application of copula-GARCH to estimate VaR of a portfolio with credit default swaps
Huang, Jhe-Jheng
;
So, Leh-Chyan
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 382-407
Persistent link: https://www.econbiz.de/10011874816
Saved in:
6
Currency portfolio risk measurement with generalized autoregressive conditional heteroscedastic-extreme value theory-Copula Model
Omari, Cyprian Ondieki
;
Mwita, Peter N.
;
Gichuhi, Antony W.
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 457-477
Persistent link: https://www.econbiz.de/10011875347
Saved in:
7
Mathematical model of financial investment risk
Yin, Deyu
- In:
Journal of mathematical finance
8
(
2018
)
1
,
pp. 127-136
Persistent link: https://www.econbiz.de/10011846199
Saved in:
8
Asymptotic analysis for spectral risk measures parameterized by confidence level
Kato, Takashi
- In:
Journal of mathematical finance
8
(
2018
)
1
,
pp. 197-226
Persistent link: https://www.econbiz.de/10011846379
Saved in:
9
Using conditional extreme value theory to estimate value-at-risk for daily currency exchange rates
Omari, Cyprian Ondieki
;
Mwita, Peter N.
;
Waititu, Antony G.
- In:
Journal of mathematical finance
7
(
2017
)
4
,
pp. 846-870
Persistent link: https://www.econbiz.de/10011859906
Saved in:
10
The stochastic volatility model, regime switching and value-at-risk (VaR) in international equity markets
Assaf, Ata
- In:
Journal of mathematical finance
7
(
2017
)
2
,
pp. 491-512
Persistent link: https://www.econbiz.de/10011674013
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