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~isPartOf:"Journal of risk"
~subject:"ARCH-Modell"
~subject:"Estimation"
~subject:"Multivariate distribution"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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ARCH-Modell
Estimation
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Risikomaß
123
Risk measure
123
Portfolio selection
57
Portfolio-Management
57
Theorie
41
Theory
41
Risikomanagement
40
Risk management
40
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27
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value-at-risk (VaR)
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Berger, Theo
2
Boudt, Kris
2
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2
Abad, Pilar
1
Alemany, Ramon
1
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1
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1
Auer, Benjamin R.
1
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1
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1
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1
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1
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Journal of risk
Journal of banking & finance
53
Finance research letters
48
Energy economics
47
The North American journal of economics and finance : a journal of financial economics studies
41
Economic modelling
39
Applied economics
37
Insurance / Mathematics & economics
35
International review of financial analysis
34
International journal of forecasting
33
Journal of empirical finance
31
Journal of risk and financial management : JRFM
29
The journal of risk model validation
24
Risks : open access journal
23
Journal of forecasting
21
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
20
International review of economics & finance : IREF
19
Research in international business and finance
19
Working papers
19
Journal of econometrics
18
Quantitative finance
17
Computational economics
16
Discussion paper / Tinbergen Institute
16
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
16
Journal of international financial markets, institutions & money
15
SFB 649 discussion paper
15
Journal of financial econometrics
13
Pacific-Basin finance journal
13
Applied economics letters
12
The European journal of finance
12
Econometric Institute research papers
11
Economics letters
10
Journal of economic dynamics & control
10
Journal of mathematical finance
10
CFS working paper series
9
European journal of operational research : EJOR
9
Research paper series / Swiss Finance Institute
9
Review of quantitative finance and accounting
9
Risk management : a journal of risk, crisis and disaster
9
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ECONIS (ZBW)
43
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1
An approach to capital allocation based on mean conditional value-at-risk
Han, Yuecai
;
Zhang, Fengtong
;
Liu, Xinyu
- In:
Journal of risk
25
(
2023
)
6
,
pp. 53-71
Persistent link: https://www.econbiz.de/10014546366
Saved in:
2
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:
3
Value-at-risk models : a systematic review of the literature
Shayya, Reem
;
Sorrosal Forradellas, Maria Teresa
; …
- In:
Journal of risk
25
(
2023
)
4
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014314618
Saved in:
4
Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach
Chen, Jiusheng
- In:
Journal of risk
25
(
2023
)
3
,
pp. 77-127
Persistent link: https://www.econbiz.de/10014283909
Saved in:
5
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Saved in:
6
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:
7
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:
8
Correlated idiosyncratic volatility shocks
Qiao, Xiao
;
Wang, Yongning
- In:
Journal of risk
23
(
2021
)
5
,
pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
Saved in:
9
Covariance estimation for risk-based portfolio optimization : an integrated approach
Butler, Andrew
;
Kwon, Roy H.
- In:
Journal of risk
24
(
2021
)
2
,
pp. 11-41
Persistent link: https://www.econbiz.de/10013284828
Saved in:
10
Are there multiple independent risk anomalies in the cross section of stock returns?
Auer, Benjamin R.
;
Schuhmacher, Frank
- In:
Journal of risk
24
(
2021
)
2
,
pp. 43-87
Persistent link: https://www.econbiz.de/10013284832
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