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~person:"Berger, Theo"
~person:"Fuertes, Ana María"
~person:"Herrera, Rodrigo"
~person:"Wied, Dominik"
~subject:"Prognoseverfahren"
~subject:"Theory"
~type_genre:"Article in journal"
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Search: subject_exact:"Risk measure"
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Prognoseverfahren
Theory
Risikomaß
32
Risk measure
32
Theorie
18
Forecasting model
17
ARCH model
11
ARCH-Modell
11
Ausreißer
10
Capital income
10
Kapitaleinkommen
10
Outliers
10
Volatility
10
Volatilität
10
Börsenkurs
9
Portfolio selection
9
Portfolio-Management
9
Share price
9
Estimation
8
Schätzung
8
Extreme value theory
7
Multivariate Verteilung
7
Multivariate distribution
7
Value-at-Risk
7
Risikomanagement
6
Risk management
6
Value at risk
6
Statistical distribution
5
Statistische Verteilung
5
Time series analysis
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Zeitreihenanalyse
5
Deutschland
4
Forecasting
4
Germany
4
Method of moments
4
Momentenmethode
4
Securities trading
3
Simulation
3
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3
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25
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25
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6
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Graue Literatur
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Non-commercial literature
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English
25
Author
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Berger, Theo
Fuertes, Ana María
Herrera, Rodrigo
Wied, Dominik
Wang, Ruodu
25
Righi, Marcelo Brutti
17
Rosazza Gianin, Emanuela
14
Boonen, Tim J.
12
Rüschendorf, Ludger
12
Brandtner, Mario
11
Cheung, Ka Chun
11
Gerlach, Richard
11
Embrechts, Paul
10
Fabozzi, Frank J.
10
Furman, Edward
10
Tan, Ken Seng
10
Härdle, Wolfgang
9
Kürsten, Wolfgang
9
Landsman, Zinoviy
9
Mao, Tiantian
9
Müller, Fernanda Maria
9
Rudloff, Birgit
9
Vanduffel, Steven
9
Bernard, Carole
8
Cai, Jun
8
Chen, Zhiping
8
Daníelsson, Jón
8
McAleer, Michael
8
Munari, Cosimo-Andrea
8
Puccetti, Giovanni
8
Račev, Svetlozar T.
8
Asimit, Alexandru V.
7
Balbás de la Corte, Alejandro
7
Bellini, Fabio
7
Chen, Cathy W. S.
7
Chi, Yichun
7
Degiannakis, Stavros
7
Guillén, Montserrat
7
Jarrow, Robert A.
7
Kim, Young Shin
7
Liu, Fangda
7
Pesenti, Silvana M.
7
Pichler, Alois
7
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International journal of forecasting
5
Journal of empirical finance
3
Energy economics
2
Journal of banking & finance
2
Journal of risk
2
Economic modelling
1
Economics letters
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
International review of financial analysis
1
Journal of commodity markets
1
Journal of economic dynamics & control
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
The North American journal of economics and finance : a journal of theory and practice
1
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ECONIS (ZBW)
25
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1
Market risk modeling with option-implied covariances and score-driven dynamics
Herrera, Rodrigo
;
Piña, Marco
- In:
The North American journal of economics and finance : a …
72
(
2024
),
pp. 1-27
Persistent link: https://www.econbiz.de/10014534822
Saved in:
2
An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile
Candia Campano, Claudio
;
Herrera, Rodrigo
- In:
Journal of empirical finance
77
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014578542
Saved in:
3
Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda
;
Herrera, Rodrigo
;
Clements, Adam
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
Saved in:
4
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:
5
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:
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
A marked point process model for intraday financial returns : modeling extreme risk
Herrera, Rodrigo
;
Clements, Adam
- In:
Empirical economics : a journal of the Institute for …
58
(
2020
)
4
,
pp. 1575-1601
Persistent link: https://www.econbiz.de/10012219662
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
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:
10
Modeling and forecasting extreme commodity prices : a Markov-Switching based extreme value model
Herrera, Rodrigo
;
Rodriguez, Alejandro
;
Pino, Gabriel
- In:
Energy economics
63
(
2017
),
pp. 129-143
Persistent link: https://www.econbiz.de/10011757876
Saved in:
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