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Search: subject_exact:"CVaR (Conditional value at risk)"
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Estimation
Risikomaß
123
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123
Portfolio selection
57
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41
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41
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Boudt, Kris
2
Ziggel, Daniel
2
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Journal of risk
Journal of banking & finance
25
Finance research letters
22
The North American journal of economics and finance : a journal of financial economics studies
20
Applied economics
18
Economic modelling
16
Energy economics
16
International journal of forecasting
16
International review of financial analysis
16
Journal of econometrics
15
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
13
Journal of empirical finance
13
The journal of risk model validation
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Insurance / Mathematics & economics
12
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Quantitative finance
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Risks : open access journal
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International review of economics & finance : IREF
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Pacific-Basin finance journal
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Economics letters
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Computational economics
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Econometric Institute research papers
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Journal of economic dynamics & control
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Journal of forecasting
6
Journal of international financial markets, institutions & money
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Journal of mathematical finance
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SFB 649 discussion paper
6
SpringerLink / Bücher
6
Working paper
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Discussion paper / Deutsche Bundesbank
5
International journal of finance & economics : IJFE
5
Journal of risk : JOR
5
Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
23
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1
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:
2
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:
3
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:
4
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
Saved in:
5
Fund size and the stability of portfolio risk
Ewen, Martin
;
Rieger, Marc Oliver
- In:
Journal of risk
22
(
2019/2020
)
6
,
pp. 65-87
Persistent link: https://www.econbiz.de/10012421711
Saved in:
6
Bias-corrected estimators for the Vasicek model : an application in risk measure estimation
Guo, Zi-Yi
- In:
Journal of risk
23
(
2020/2021
)
2
,
pp. 71-104
Persistent link: https://www.econbiz.de/10012500264
Saved in:
7
New backtests for unconditional coverage of expected shortfall
Löser, Robert
;
Wied, Dominik
;
Ziggel, Daniel
- In:
Journal of risk
21
(
2018/2019
)
4
,
pp. 39-59
Persistent link: https://www.econbiz.de/10012059868
Saved in:
8
Making Cornish-Fisher fit for risk measurement
Lamb, John D.
;
Monville, Maura E.
;
Tee, Kaihong
- In:
Journal of risk
21
(
2018/2019
)
5
,
pp. 53-81
Persistent link: https://www.econbiz.de/10012059934
Saved in:
9
Backtesting expected shortfall : a simple recipe?
Moldenhauer, Felix
;
Pitera, Marcin
- In:
Journal of risk
22
(
2019
)
1
,
pp. 17-42
Persistent link: https://www.econbiz.de/10013177098
Saved in:
10
Estimation window strategies for value-at-risk and expected shortfall forecasting
Berens, Tobias
;
Weiß, Gregory N. F.
;
Ziggel, Daniel
- In:
Journal of risk
20
(
2017/2018
)
5
,
pp. 33-82
Persistent link: https://www.econbiz.de/10011914663
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