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~isPartOf:"Working papers"
~subject:"Multivariate Verteilung"
~subject:"Portfolio-Management"
~subject:"Prognoseverfahren"
~subject:"Risikomaß"
~subject:"Risk measure"
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Multivariate Verteilung
Portfolio-Management
Prognoseverfahren
Risikomaß
Risk measure
ARCH model
15
ARCH-Modell
15
Theorie
15
Theory
15
Risk management
12
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11
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11
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10
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risk management
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Chlebus, Marcin
9
Billio, Monica
5
Frattarolo, Lorenzo
4
Hassani, Samir Saissi
4
Buczyński, Mateusz
3
Caporin, Massimiliano
3
Dionne, Georges
3
Pelizzon, Loriana
3
Barro, Diana
2
Benavides, Guillermo
2
Canestrelli, Elio
2
Corradin, Fausto
2
Guégan, Dominique
2
Hassani, Bertrand
2
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2
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1
Barziy, Illya
1
Buczyńsk, Mateusz
1
Casarin, Roberto
1
Cipollini, Fabrizio
1
Gallo, Giampiero M.
1
Gomes, Pedro
1
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1
Kielak, Karol
1
Korobilis, Dimitris
1
Lanza, Fabio
1
Li, Kehan
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Lis, Szymon
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Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
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Working papers
Insurance / Mathematics & economics
218
Journal of banking & finance
181
Journal of risk
123
European journal of operational research : EJOR
115
Finance research letters
110
Risks : open access journal
109
Energy economics
74
International review of financial analysis
74
Economic modelling
71
The North American journal of economics and finance : a journal of financial economics studies
67
The journal of risk model validation
67
Discussion paper / Tinbergen Institute
62
International journal of forecasting
59
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57
Journal of empirical finance
55
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53
Journal of risk and financial management : JRFM
53
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47
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47
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47
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42
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41
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40
International review of economics & finance : IREF
40
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38
Research in international business and finance
37
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36
Journal of economic dynamics & control
34
Research paper series / Swiss Finance Institute
34
SFB 649 discussion paper
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Applied economics letters
32
Journal of international financial markets, institutions & money
32
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
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1
Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
-
2023
Persistent link: https://www.econbiz.de/10014232280
Saved in:
2
Monitoring multicountry macroeconomic risk
Korobilis, Dimitris
;
Schröder, Maximilian
-
2023
Persistent link: https://www.econbiz.de/10014285859
Saved in:
3
Modeling and evaluating conditional quantile dynamics in VaR forecasts
Cipollini, Fabrizio
;
Gallo, Giampiero M.
;
Palandri, …
-
2023
-
Prima edizione
Persistent link: https://www.econbiz.de/10014321854
Saved in:
4
Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
-
2022
Persistent link: https://www.econbiz.de/10013273453
Saved in:
5
Précisions importantes sur le backtesting comparatif de la VaR
Hassani, Samir Saissi
-
2022
Persistent link: https://www.econbiz.de/10012886096
Saved in:
6
The effectiveness of Value-at-Risk models in various volatility regimes
Schiffers, Aleksander
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012816709
Saved in:
7
GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks
Buczyński, Mateusz
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012795155
Saved in:
8
HCR & HCR-GARCH - novel statistical learning models for value at risk estimation
Woźniak, Michał
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012795164
Saved in:
9
Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts
Lis, Szymon
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012795166
Saved in:
10
The new international regulation of market risk : roles of VaR and CVaR in model validation
Hassani, Samir Saissi
;
Dionne, Georges
-
2021
Persistent link: https://www.econbiz.de/10012423037
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