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~isPartOf:"Quantitative finance"
~isPartOf:"Scandinavian actuarial journal"
~subject:"Ausreißer"
~subject:"Credit risk"
~subject:"Measurement"
~subject:"Theorie"
~subject:"Value-at-Risk"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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Ausreißer
Credit risk
Measurement
Theorie
Value-at-Risk
Risikomaß
88
Risk measure
88
Theory
64
Portfolio selection
53
Portfolio-Management
53
Risiko
47
Risk
47
Messung
29
Risikomanagement
29
Risk management
29
Statistical distribution
23
Statistische Verteilung
23
Estimation
11
Schätzung
11
ARCH model
10
ARCH-Modell
10
Capital income
10
Expected shortfall
10
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10
Kapitaleinkommen
10
Prognoseverfahren
10
Estimation theory
8
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8
Monte-Carlo-Simulation
8
Reinsurance
8
Rückversicherung
8
Schätztheorie
8
Mathematical programming
7
Mathematische Optimierung
7
Multivariate Verteilung
7
Multivariate distribution
7
Outliers
7
Robust statistics
7
Robustes Verfahren
7
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7
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74
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3
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3
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English
74
Author
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Cheung, Ka Chun
4
Zhang, Yiying
3
Boonen, Tim J.
2
Brandtner, Mario
2
Chen, Qian
2
Dhaene, Jan
2
Gerlach, Richard
2
Härdle, Wolfgang
2
Kürsten, Wolfgang
2
Mao, Tiantian
2
Peng, Liang
2
Vanduffel, Steven
2
Wang, Chao
2
Ahn, Jae Youn
1
Alexander, Carol
1
Auer, Benjamin R.
1
Bee, Marco
1
Ben-Horin, Moshe
1
Bergk, Kerstin
1
Bernard, Carole
1
Bianchi, Michele Leonardo
1
Birge, John R.
1
Bouchard, Bruno
1
Buccioli, Alice
1
Cai, Jun
1
Chen, An
1
Chen, Wilson Ye
1
Chen, Yi-Hsuan
1
Chi, Yichun
1
Chong, Wing Fung
1
Chávez-Bedoya, Luis
1
Coculescu, Delia
1
Costa, Giorgio
1
Dakos, Michael
1
De Vecchi, Corrado
1
Delage, Erick
1
Delbaen, Freddy
1
Deng, Kaihua
1
Dentcheva, Darinka
1
Denuit, Michel
1
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Quantitative finance
Scandinavian actuarial journal
Insurance / Mathematics & economics
199
Journal of banking & finance
108
European journal of operational research : EJOR
100
Risks : open access journal
86
Journal of risk
60
Finance research letters
53
Discussion paper / Tinbergen Institute
46
Economic modelling
44
Journal of empirical finance
40
International review of financial analysis
39
International journal of forecasting
35
International journal of theoretical and applied finance
35
The journal of risk model validation
35
Applied economics
34
Journal of risk and financial management : JRFM
30
Finance and stochastics
28
Journal of econometrics
28
The European journal of finance
28
The journal of operational risk
28
Computational economics
27
SFB 649 discussion paper
27
The North American journal of economics and finance : a journal of financial economics studies
27
Mathematical finance : an international journal of mathematics, statistics and financial theory
25
Mathematics and financial economics
25
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
24
Research paper series / Swiss Finance Institute
24
The journal of credit risk : published quarterly by Incisive Media
24
Energy economics
23
International review of economics & finance : IREF
23
Journal of economic dynamics & control
23
Journal of risk management in financial institutions
22
Operations research
22
Mathematics of operations research
21
Operations research letters
21
Astin bulletin : the journal of the International Actuarial Association
20
Journal of financial econometrics
20
Journal of forecasting
20
Journal of mathematical finance
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ECONIS (ZBW)
74
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74
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1
Assessing network risk with FRM : links with pricing kernel volatility and application to cryptocurrencies
Wang, Ruting
;
Potì, Valerio
;
Härdle, Wolfgang
- In:
Quantitative finance
24
(
2024
)
7
,
pp. 975-992
Persistent link: https://www.econbiz.de/10015050808
Saved in:
2
The impact of correlation on (Range) Value-at-Risk
Bernard, Carole
;
De Vecchi, Corrado
;
Vanduffel, Steven
- In:
Scandinavian actuarial journal
2023
(
2023
)
6
,
pp. 531-564
Persistent link: https://www.econbiz.de/10014383858
Saved in:
3
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:
4
Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
Hanbali, Hamza
;
Linders, Daniël
;
Dhaene, Jan
- In:
Scandinavian actuarial journal
2023
(
2023
)
3
,
pp. 219-243
Persistent link: https://www.econbiz.de/10014336322
Saved in:
5
Multivariate systemic risk measures and computation by deep learning algorithms
Doldi, A.
;
Feng, Y.
;
Fouque, Jean-Pierre
;
Frittelli, Marco
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1431-1444
Persistent link: https://www.econbiz.de/10014419169
Saved in:
6
f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172
Saved in:
7
Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
Saved in:
8
Group cohesion under individual regulatory constraints
Coculescu, Delia
;
Delbaen, Freddy
- In:
Scandinavian actuarial journal
2022
(
2022
)
1
,
pp. 80-93
Persistent link: https://www.econbiz.de/10012872649
Saved in:
9
Variance reduction for risk measures with importance sampling in nested simulation
Xing, Yue
;
Sit, Tony
;
Wong, Hoi Ying
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 657-673
Persistent link: https://www.econbiz.de/10013367849
Saved in:
10
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
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