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~language:"eng"
~person:"Berger, Theo"
~person:"Fuertes, Ana María"
~person:"Wied, Dominik"
~subject:"Portfolio selection"
~subject:"Prognoseverfahren"
~type_genre:"Article in journal"
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Search: subject_exact:"Risk measure"
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Portfolio selection
Prognoseverfahren
Risikomaß
22
Risk measure
22
Forecasting model
11
Theorie
11
Theory
11
ARCH model
8
ARCH-Modell
8
Capital income
7
Kapitaleinkommen
7
Multivariate Verteilung
7
Multivariate distribution
7
Portfolio-Management
7
Value-at-Risk
7
Börsenkurs
5
Share price
5
Volatility
5
Volatilität
5
Estimation
4
Method of moments
4
Momentenmethode
4
Risikomanagement
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Risk management
4
Schätzung
4
Statistical distribution
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Statistische Verteilung
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4
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Securities trading
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Wertpapierhandel
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Backtesting
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English
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Berger, Theo
Fuertes, Ana María
Wied, Dominik
Wang, Ruodu
20
Hammoudeh, Shawkat
18
McAleer, Michael
14
Righi, Marcelo Brutti
14
Gerlach, Richard
11
Janabi, Mazin A. M. al
11
Mao, Tiantian
10
Mensi, Walid
10
Müller, Fernanda Maria
10
Rosazza Gianin, Emanuela
10
Rüschendorf, Ludger
10
Fabozzi, Frank J.
9
Kang, Sang Hoon
9
Uryasev, Stan
9
Vanduffel, Steven
9
Gupta, Rangan
8
Taylor, James W.
8
Tiwari, Aviral Kumar
8
Zhu, Shushang
8
Brandtner, Mario
7
Chen, Cathy W. S.
7
Degiannakis, Stavros
7
Guillén, Montserrat
7
Härdle, Wolfgang
7
Karmakar, Madhusudan
7
Kim, Young Shin
7
Li, Duan
7
Mora-Valencia, Andrés
7
Tang, Qihe
7
Wang, Chao
7
Weiß, Gregor
7
Alexander, Gordon J.
6
Bernard, Carole
6
Cai, Jun
6
Chlebus, Marcin
6
Furman, Edward
6
Herrera, Rodrigo
6
Landsman, Zinoviy
6
Mittnik, Stefan
6
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Journal of risk
3
International journal of forecasting
2
Journal of banking & finance
2
Economic modelling
1
Economics letters
1
International review of financial analysis
1
Journal of commodity markets
1
Journal of economic dynamics & control
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of forecasting
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ECONIS (ZBW)
15
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1
A Bayesian perspective on commodity style integration
Fuertes, Ana María
;
Zhao, Nan
- In:
Journal of commodity markets
30
(
2023
),
pp. 1-29
Persistent link: https://www.econbiz.de/10014426739
Saved in:
2
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:
3
Improving daily Value-at-Risk forecasts : the relevance of short-run volatility for regulatory quality assessment
Berger, Theo
;
Gençay, Ramazan
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 30-46
Persistent link: https://www.econbiz.de/10011974231
Saved in:
4
On the isolated impact of copulas on risk measurement : asimulation study
Berger, Theo
- In:
Economic modelling
58
(
2016
),
pp. 475-481
Persistent link: https://www.econbiz.de/10011647502
Saved in:
5
Overnight news and daily equity trading risk limits
Ahoniemi, Katja
;
Fuertes, Ana María
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
Saved in:
6
Forecasting based on decomposed financial return series : a wavelet analysis
Berger, Theo
- In:
Journal of forecasting
35
(
2016
)
5
,
pp. 419-433
Persistent link: https://www.econbiz.de/10011580976
Saved in:
7
Evaluating Value-at-Risk forecasts : a new set of multivariate backtests
Wied, Dominik
;
Weiß, Gregor
;
Ziggel, Daniel
- In:
Journal of banking & finance
72
(
2016
),
pp. 121-132
Persistent link: https://www.econbiz.de/10011635501
Saved in:
8
Wavelet decompostion and applied portfolio management
Berger, Theo
- In:
Journal of risk
18
(
2015/2016
)
4
,
pp. 53-77
Persistent link: https://www.econbiz.de/10011578387
Saved in:
9
A simple and focused backtest of value at risk
Krämer, Walter
;
Wied, Dominik
- In:
Economics letters
137
(
2015
),
pp. 29-31
Persistent link: https://www.econbiz.de/10011436196
Saved in:
10
Testing for structural breaks in correlations : does it improve Value-at-Risk forecasting?
Berens, Tobias
;
Weiß, Gregor
;
Wied, Dominik
- In:
Journal of empirical finance
32
(
2015
),
pp. 135-152
Persistent link: https://www.econbiz.de/10011556809
Saved in:
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