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~person:"Berens, Tobias"
~person:"Berger, Theo"
~person:"Fuertes, Ana María"
~person:"Gupta, Rangan"
~person:"Wied, Dominik"
~subject:"Prognoseverfahren"
~subject:"Theorie"
~type_genre:"Article in journal"
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Search: subject_exact:"Risk measure"
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Prognoseverfahren
Theorie
Risikomaß
32
Risk measure
32
Forecasting model
18
Volatility
12
Volatilität
12
ARCH model
11
ARCH-Modell
11
Capital income
11
Estimation
11
Kapitaleinkommen
11
Schätzung
11
Theory
11
Portfolio selection
10
Portfolio-Management
10
Börsenkurs
8
Multivariate Verteilung
8
Multivariate distribution
8
Share price
8
Risikomanagement
7
Risk management
7
Statistical distribution
7
Statistische Verteilung
7
Time series analysis
7
Value-at-Risk
7
Zeitreihenanalyse
7
Forecasting
5
Aktienmarkt
4
Method of moments
4
Momentenmethode
4
Spillover effect
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Spillover-Effekt
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Statistical test
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Statistischer Test
4
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Ausreißer
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Estimation theory
3
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Non-commercial literature
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English
24
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Berens, Tobias
Berger, Theo
Fuertes, Ana María
Gupta, Rangan
Wied, Dominik
Wang, Ruodu
24
Righi, Marcelo Brutti
17
Rosazza Gianin, Emanuela
14
Rüschendorf, Ludger
12
Boonen, Tim J.
11
Brandtner, Mario
11
Cheung, Ka Chun
11
Gerlach, Richard
11
Embrechts, Paul
10
Fabozzi, Frank J.
10
Furman, Edward
10
Tan, Ken Seng
10
Kürsten, Wolfgang
9
Landsman, Zinoviy
9
Mao, Tiantian
9
Müller, Fernanda Maria
9
Rudloff, Birgit
9
Daníelsson, Jón
8
Härdle, Wolfgang
8
McAleer, Michael
8
Munari, Cosimo-Andrea
8
Puccetti, Giovanni
8
Račev, Svetlozar T.
8
Vanduffel, Steven
8
Asimit, Alexandru V.
7
Balbás de la Corte, Alejandro
7
Bellini, Fabio
7
Bernard, Carole
7
Cai, Jun
7
Chen, Cathy W. S.
7
Chen, Zhiping
7
Chi, Yichun
7
Degiannakis, Stavros
7
Guillén, Montserrat
7
Jarrow, Robert A.
7
Pichler, Alois
7
Su, Jianxi
7
Tang, Qihe
7
Taylor, James W.
7
Wang, Chao
7
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International journal of forecasting
3
Journal of risk
3
Finance research letters
2
Journal of banking & finance
2
The North American journal of economics and finance : a journal of financial economics studies
2
Economic modelling
1
Economics letters
1
Energy economics
1
International review of finance : the official journal of the Asia Pacific Finance Association and the Nippon Finance Association
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
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of forecasting
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
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ECONIS (ZBW)
24
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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
Climate risks and U.S. stock-market tail risk : a forecasting experiment using over a century of data
Salisu, Afees A.
;
Gupta, Rangan
;
Pierdzioch, Christian
; …
- In:
International review of finance : the official journal …
23
(
2023
)
2
,
pp. 228-244
Persistent link: https://www.econbiz.de/10014326299
Saved in:
3
Model and moment selection in factor copula models
Duan, Fang
;
Manner, Hans
;
Wied, Dominik
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 45-75
Persistent link: https://www.econbiz.de/10012878186
Saved in:
4
Predictability of tail risks of Canada and the U.S. over a century : the role of spillovers and oil tail risks
Salisu, Afees A.
;
Gupta, Rangan
;
Pierdzioch, Christian
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013413542
Saved in:
5
Oil tail risks and the forecastability of the realized variance of oil-price : evidence from over 150 years of data
Salisu, Afees A.
;
Pierdzioch, Christian
;
Gupta, Rangan
- In:
Finance research letters
46
(
2022
)
2
,
pp. 1-7
Persistent link: https://www.econbiz.de/10013341577
Saved in:
6
A monitoring procedure for detecting structural breaks in factor copula models
Manner, Hans
;
Stark, Florian
;
Wied, Dominik
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
4
,
pp. 171-192
Persistent link: https://www.econbiz.de/10012657681
Saved in:
7
Forecasting realized gold volatility : is there a role of geopolitical risks?
Gillas, Konstantinos Gkillas
;
Gupta, Rangan
; …
- In:
Finance research letters
35
(
2020
),
pp. 1-6
Persistent link: https://www.econbiz.de/10012438328
Saved in:
8
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:
9
Time-varying risk aversion and realized gold volatility
Demirer, Rıza
;
Gillas, Konstantinos Gkillas
;
Gupta, Rangan
- In:
The North American journal of economics and finance : a …
50
(
2019
)
101048
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012204443
Saved in:
10
Estimation window strategies for value-at-risk and expected shortfall forecasting
Berens, Tobias
;
Weiß, Gregory N. F.
;
Ziggel, Daniel
- In:
Journal of risk
20
(
2017/2018
)
5
,
pp. 33-82
Persistent link: https://www.econbiz.de/10011914663
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