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~person:"Al-Yahyaee, Khamis Hamed"
~person:"Fuertes, Ana María"
~person:"Lazar, Emese"
~person:"Wang, Ruodu"
~subject:"Prognoseverfahren"
~subject:"Risikomanagement"
~type_genre:"Article in journal"
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Search: subject_exact:"Risk measure"
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Prognoseverfahren
Risikomanagement
Risikomaß
46
Risk measure
46
Theorie
31
Theory
31
Portfolio selection
26
Portfolio-Management
26
Risk management
24
Risiko
21
Risk
21
Measurement
17
Messung
17
Value-at-Risk
14
Statistical distribution
10
Statistische Verteilung
10
Volatility
10
Volatilität
10
Forecasting model
9
Basel Accord
7
Basler Akkord
7
Expected Shortfall
7
ARCH model
6
ARCH-Modell
6
Capital income
5
Expected shortfall
5
Kapitaleinkommen
5
expected shortfall
5
Bank risk
4
Bankrisiko
4
Börsenkurs
4
Estimation
4
Multivariate Verteilung
4
Multivariate distribution
4
Oil price
4
Schätzung
4
Share price
4
Time series analysis
4
Zeitreihenanalyse
4
Ölpreis
4
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Undetermined
24
Free
2
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Article
31
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Article in journal
Aufsatz in Zeitschrift
31
Arbeitspapier
4
Graue Literatur
4
Non-commercial literature
4
Working Paper
4
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English
31
Author
All
Al-Yahyaee, Khamis Hamed
Fuertes, Ana María
Lazar, Emese
Wang, Ruodu
Embrechts, Paul
11
Righi, Marcelo Brutti
11
Gerlach, Richard
10
Mao, Tiantian
10
McAleer, Michael
10
Hammoudeh, Shawkat
9
Cai, Jun
8
Gupta, Rangan
8
Puccetti, Giovanni
8
Weiß, Gregor
8
Chen, Cathy W. S.
7
Degiannakis, Stavros
7
Janabi, Mazin A. M. al
7
Karmakar, Madhusudan
7
Li, Jianping
7
Mensi, Walid
7
Müller, Fernanda Maria
7
Rüschendorf, Ludger
7
Stoja, Evarist
7
Taylor, James W.
7
Balbás de la Corte, Alejandro
6
Boonen, Tim J.
6
Chlebus, Marcin
6
Guillén, Montserrat
6
Herrera, Rodrigo
6
Kumar, Dilip
6
Mora-Valencia, Andrés
6
Polanski, Arnold
6
Tan, Ken Seng
6
Tiwari, Aviral Kumar
6
Wang, Chao
6
Bee, Marco
5
Berger, Theo
5
Bernard, Carole
5
Bernardi, Mauro
5
Brandtner, Mario
5
Chaudhry, Sajid M.
5
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Insurance / Mathematics & economics
5
Finance and stochastics
3
International journal of forecasting
3
The North American journal of economics and finance : a journal of financial economics studies
3
International review of financial analysis
2
Journal of banking & finance
2
Mathematics of operations research
2
Operations research
2
Applied economics
1
Astin bulletin : the journal of the International Actuarial Association
1
Emerging markets review
1
European journal of operational research : EJOR
1
Journal of commodity markets : JCM
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
North American actuarial journal
1
Risks : open access journal
1
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ECONIS (ZBW)
31
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1
VaR and ES forecasting via recurrent neural network-based stateful models
Qiu, Zhiguo
;
Lazar, Emese
;
Nakata, Keiichi
- In:
International review of financial analysis
92
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014492387
Saved in:
2
On the estimation of Value-at-Risk and Expected Shortfall at extreme levels
Lazar, Emese
;
Pan, Jingqi
;
Wang, Shixuan
- In:
Journal of commodity markets : JCM
34
(
2024
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014548240
Saved in:
3
Scenario-based risk evaluation
Wang, Ruodu
;
Ziegel, Johanna F.
- In:
Finance and stochastics
25
(
2021
)
4
,
pp. 725-756
Persistent link: https://www.econbiz.de/10012665201
Saved in:
4
An axiomatic foundation for the expected shortfall
Wang, Ruodu
;
Zitikis, Ričardas
- In:
Management science : journal of the Institute for …
67
(
2021
)
3
,
pp. 1413-1429
Persistent link: https://www.econbiz.de/10012505987
Saved in:
5
Loss function-based change point detection in risk measures
Lazar, Emese
;
Wang, Shixuan
;
Xue, Xiaohan
- In:
European journal of operational research : EJOR
310
(
2023
)
1
,
pp. 415-431
Persistent link: https://www.econbiz.de/10014340186
Saved in:
6
Robustness in the optimization of risk measures
Embrechts, Paul
;
Schied, Alexander
;
Wang, Ruodu
- In:
Operations research
70
(
2022
)
1
,
pp. 95-110
Persistent link: https://www.econbiz.de/10012820643
Saved in:
7
Risk aggregation under dependence uncertainty and an order constraint
Chen, Yuyu
;
Lin, Liyuan
;
Wang, Ruodu
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 169-187
Persistent link: https://www.econbiz.de/10013271969
Saved in:
8
Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
Liu, Fangda
;
Mao, Tiantian
;
Wang, Ruodu
;
Wei, Linxiao
- In:
Mathematics of operations research
47
(
2022
)
3
,
pp. 2494-2519
Persistent link: https://www.econbiz.de/10013375081
Saved in:
9
Parametric measures of variability induced by risk measures
Bellini, Fabio
;
Fadina, Tolulope
;
Wang, Ruodu
;
Wei, Yunran
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 270-284
Persistent link: https://www.econbiz.de/10013380547
Saved in:
10
A theory for measures of tail risk
Liu, Fangda
;
Wang, Ruodu
- In:
Mathematics of operations research
46
(
2021
)
3
,
pp. 1109-1128
Persistent link: https://www.econbiz.de/10012625694
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