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~isPartOf:"Journal of risk"
~isPartOf:"Quantitative finance"
~subject:"Multivariate Verteilung"
~subject:"Prognoseverfahren"
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Multivariate Verteilung
Prognoseverfahren
Risikomaß
177
Risk measure
177
Portfolio selection
94
Portfolio-Management
94
Theorie
78
Theory
78
Risikomanagement
59
Risk management
59
Risiko
55
Risk
55
Measurement
41
Messung
41
Estimation
34
Schätzung
34
ARCH model
31
ARCH-Modell
31
Statistical distribution
30
Statistische Verteilung
30
Estimation theory
26
Schätztheorie
26
Forecasting model
22
Volatility
20
Volatilität
20
Capital income
19
Kapitaleinkommen
19
value-at-risk (VaR)
18
Basel Accord
13
Basler Akkord
13
Credit risk
13
Financial services
13
Finanzdienstleistung
13
Kreditrisiko
13
Monte Carlo simulation
13
Monte-Carlo-Simulation
13
Ausreißer
11
CAPM
11
Multivariate distribution
11
Outliers
11
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2
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Article
31
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31
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31
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English
31
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Gerlach, Richard
2
Ziggel, Daniel
2
Abad, Pilar
1
Alexander, Carol
1
Amendola, Alessandra
1
Arora, Rohit
1
Benito Muela, Sonia
1
Berens, Tobias
1
Berger, Theo
1
Boeve, Rolf
1
Bouchard, Bruno
1
Braun, Valentin
1
Caccioli, Fabio
1
Candila, Vincenzo
1
Chen, Qian
1
Chow, K. Victor
1
Cotter, John
1
Dakos, Michael
1
Deng, Kaihua
1
Dionne, Georges
1
Gaigall, Daniel
1
Ghorbel, Ahmed
1
Hackethal, Andreas
1
Hanly, Jim
1
Hasim, Haslifah Mohamad
1
Hassani, Samir Saissi
1
Hesse, Frederik
1
Härdle, Wolfgang
1
Jiang, Cuixia
1
John, Kose
1
Koike, Takaaki
1
Kolman, Marek
1
Kondor, Imre
1
Li, Handong
1
Li, Jingrui
1
Li, Phillip
1
Li, Yuqian
1
Liu, Francis
1
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Lu, Meng-Jou
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Journal of risk
Quantitative finance
International journal of forecasting
52
Finance research letters
33
Journal of forecasting
32
Energy economics
24
Insurance / Mathematics & economics
24
Journal of banking & finance
24
Risks : open access journal
24
The North American journal of economics and finance : a journal of financial economics studies
23
International review of financial analysis
22
Applied economics
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Discussion paper / Tinbergen Institute
17
Journal of empirical finance
17
Journal of risk and financial management : JRFM
17
Economic modelling
16
The journal of risk model validation
15
Computational economics
14
SFB 649 discussion paper
14
Journal of financial econometrics
12
Econometric Institute research papers
11
European journal of operational research : EJOR
11
International review of economics & finance : IREF
11
The European journal of finance
11
Applied economics letters
10
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
9
Pacific-Basin finance journal
9
Working paper
9
Journal of economic dynamics & control
8
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
8
Journal of risk management in financial institutions
7
Working papers
7
CFS working paper series
6
Financial innovation : FIN
6
Journal of econometrics
6
Journal of international financial markets, institutions & money
6
Research in international business and finance
6
Discussion papers / CEPR
5
International journal of finance & economics : IJFE
5
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ECONIS (ZBW)
31
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1
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
2
Vulnerability-CoVaR : investigating the crypto-market
Waltz, Martin
;
Singh, Abhay Kumar
;
Okhrin, Ostap
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1731-1745
Persistent link: https://www.econbiz.de/10013367943
Saved in:
3
Allocating and forecasting changes in risk
Gaigall, Daniel
- In:
Journal of risk
25
(
2023
)
3
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014283880
Saved in:
4
Persistence of jump-induced tail risk and limits to arbitrage
Chow, K. Victor
;
John, Kose
;
Li, Jingrui
;
Sopranzetti, …
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 705-719
Persistent link: https://www.econbiz.de/10014304321
Saved in:
5
Hedging cryptos with Bitcoin futures
Liu, Francis
;
Packham, Natalie
;
Lu, Meng-Jou
;
Härdle, …
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 819-841
Persistent link: https://www.econbiz.de/10014304363
Saved in:
6
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
- In:
Journal of risk
25
(
2023
)
6
,
pp. 73-103
Persistent link: https://www.econbiz.de/10014546368
Saved in:
7
Forecasting robust value-at-risk estimates : evidence from UK banks
Sampid, Marius Galabe
;
Hasim, Haslifah Mohamad
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1955-1975
Persistent link: https://www.econbiz.de/10012696799
Saved in:
8
Reinvestigating international crude oil market risk spillovers
Jiang, Cuixia
;
Li, Yuqian
;
Xu, Qifa
;
Wu, Jun
- In:
Journal of risk
24
(
2021
)
1
,
pp. 25-52
Persistent link: https://www.econbiz.de/10012816795
Saved in:
9
Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall
Liu, Xiaohang
;
Li, Handong
- In:
Journal of risk
24
(
2021
)
1
,
pp. 53-77
Persistent link: https://www.econbiz.de/10012816812
Saved in:
10
Computation of expected shortfall by fast detection of worst scenarios
Bouchard, Bruno
;
Reghai, Adil
;
Virrion, Benjamin
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1087-1108
Persistent link: https://www.econbiz.de/10012588021
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