//--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~person:"Angelidis, Timotheos"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Estimation theory"
~subject:"Greece"
~subject:"Quantile Loss Function"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Value at Risk"
Narrow search
Delete all filters
| 6 applied filters
Year of publication
From:
To:
Subject
All
ARCH model
Aktienmarkt
Estimation theory
Greece
Quantile Loss Function
Risikomaß
11
Risk measure
11
ARCH-Modell
4
Forecasting model
4
Prognoseverfahren
4
Griechenland
3
Schätztheorie
3
Stock market
3
Volatility
3
Volatilität
3
Backtesting
2
Risikomanagement
2
Risk management
2
Theorie
2
Theory
2
2002
1
Arch Models
1
Asymmetric power ARCH
1
Bid-ask spread
1
Commodity market
1
Dry bulk shipping
1
Expected Shortfall
1
Extreme value theory
1
Filtered historical simulation
1
Frachtrate
1
Freight rate
1
GARCH
1
GARCH estimation
1
Geld-Brief-Spanne
1
Liquidity
1
Liquidität
1
Massengutschifffahrt
1
Option pricing theory
1
Optionspreistheorie
1
Rohstoffmarkt
1
more ...
less ...
Online availability
All
Free
4
Type of publication
All
Article
5
Book / Working Paper
5
Type of publication (narrower categories)
All
Article in journal
4
Aufsatz in Zeitschrift
4
Aufsatz im Buch
1
Bibliografie enthalten
1
Bibliography included
1
Book section
1
Language
All
English
9
Undetermined
1
Author
All
Angelidis, Timotheos
McAleer, Michael
20
Paolella, Marc S.
17
Giot, Pierre
15
Chlebus, Marcin
14
Ardia, David
13
Hammoudeh, Shawkat
13
Lönnbark, Carl
12
Degiannakis, Stavros
11
Mensi, Walid
11
Francq, Christian
10
Kang, Sang Hoon
10
Zakoïan, Jean-Michel
10
Hoogerheide, Lennart
9
Huschens, Stefan
9
Mittnik, Stefan
9
Bali, Turan G.
8
Chang, Chia-Lin
8
Laurent, Sébastien
8
Allen, David E.
7
Aloui, Chaker
7
Bauwens, Luc
7
Caporin, Massimiliano
7
Dijk, Herman K. van
7
Floros, Christos
7
Hoogerheide, Lennart F.
7
Härdle, Wolfgang
7
Olmo, Jose
7
Su, Jung-bin
7
Tian, Maoxi
7
Weiß, Gregor
7
Alexander, Carol
6
Billio, Monica
6
Chen, Cathy W. S.
6
Degiannakis, Stavros Antonios
6
Demirtas, K. Ozgur
6
Fabozzi, Frank J.
6
Gouriéroux, Christian
6
Haas, Markus
6
Huang, Zhuo
6
more ...
less ...
Institution
All
Department of Economics, University of Peloponnese
1
Published in...
All
Applied financial economics
1
Financial institutions and services series
1
Journal of international financial markets, institutions & money
1
Multinational finance journal : MF ; quarterly publication of the Multinational Finance Society
1
New econometric modelling research
1
Review of quantitative finance and accounting
1
Working Papers / Department of Economics, University of Peloponnese
1
more ...
less ...
Source
All
ECONIS (ZBW)
9
RePEc
1
Showing
1
-
10
of
10
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Backtesting VaR Models : A Τwo-Stage Procedure
Angelidis, Timotheos
-
2018
Academics and practitioners have extensively studied
Value-at-Risk
(VaR) to propose a unique risk management technique …
Persistent link: https://www.econbiz.de/10012910117
Saved in:
2
A Robust VaR Model under Different Time Periods and Weighting Schemes
Angelidis, Timotheos
-
2018
This paper analyses several volatility models by examining their ability to forecast the
Value-at-Risk
(VaR) for two …
Persistent link: https://www.econbiz.de/10012910130
Saved in:
3
Value-at-Risk
for Greek Stocks
Angelidis, Timotheos
-
2016
This paper analyses the application of several volatility models to forecast daily
Value-at-Risk
(VaR) both for single …
Persistent link: https://www.econbiz.de/10013004439
Saved in:
4
Econometric modeling of
value-at-risk
Angelidis, Timotheos
;
Degiannakis, Stavros
-
2009
Persistent link: https://www.econbiz.de/10003803434
Saved in:
5
Volatility forecasting : intra-day versus inter-day models
Angelidis, Timotheos
;
Degiannakis, Stavros
- In:
Journal of international financial markets, …
18
(
2008
)
5
,
pp. 449-465
Persistent link: https://www.econbiz.de/10003775710
Saved in:
6
Value-at-Risk
for Greek stocks
Angelidis, Timotheos
;
Benos, Alexandros Vassiliou
- In:
Multinational finance journal : MF ; quarterly …
12
(
2008
)
1/2
,
pp. 67-104
Persistent link: https://www.econbiz.de/10003744221
Saved in:
7
Econometric modeling of
value-at-risk
Angelidis, Timotheos
;
Degiannakis, Stavros
- In:
New econometric modelling research
,
(pp. 9-60)
.
2008
Persistent link: https://www.econbiz.de/10003693968
Saved in:
8
A robust VaR model under different time periods and weighting schemes
Angelidis, Timotheos
;
Benos, Alexandros Vassiliou
; …
- In:
Review of quantitative finance and accounting
28
(
2007
)
2
,
pp. 187-201
Persistent link: https://www.econbiz.de/10003492794
Saved in:
9
Liquidity adjusted
value-at-risk
based on the components of the bid-ask spread
Angelidis, Timotheos
;
Benos, Alexandros Vassiliou
- In:
Applied financial economics
16
(
2006
)
11
,
pp. 835-851
Persistent link: https://www.econbiz.de/10003351012
Saved in:
10
The Use of GARCH Models in VaR Estimation
Angelidis, Timotheos
;
Benos, Alexandros
;
Degiannakis, …
-
Department of Economics, University of Peloponnese
-
2010
We evaluate the performance of an extensive family of ARCH models in modelling daily
Value-at-Risk
(VaR) of perfectly …
Persistent link: https://www.econbiz.de/10008562389
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->