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~person:"Berger, Theo"
~person:"Fuertes, Ana María"
~person:"Landsman, Zinoviy"
~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
31
Risk measure
31
Theorie
20
Portfolio selection
13
Portfolio-Management
13
Forecasting model
11
Statistical distribution
11
Statistische Verteilung
11
Capital income
10
Kapitaleinkommen
10
ARCH model
8
ARCH-Modell
8
Multivariate Verteilung
7
Multivariate distribution
7
Value-at-Risk
7
Measurement
6
Messung
6
Börsenkurs
5
Estimation
5
Risiko
5
Risk
5
Schätzung
5
Share price
5
Volatility
5
Volatilität
5
Ausreißer
4
Method of moments
4
Momentenmethode
4
Outliers
4
Risikomanagement
4
Risk management
4
Time series analysis
4
Zeitreihenanalyse
4
Probability theory
3
Securities trading
3
Simulation
3
Statistical test
3
Statistischer Test
3
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19
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1
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Article
26
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Article in journal
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26
Arbeitspapier
3
Working Paper
3
Graue Literatur
1
Hochschulschrift
1
Non-commercial literature
1
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Language
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English
26
Author
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Berger, Theo
Fuertes, Ana María
Landsman, Zinoviy
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
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
Herrera, Rodrigo
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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Insurance / Mathematics & economics
5
International journal of forecasting
3
Journal of banking & finance
2
Journal of risk
2
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
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
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of forecasting
1
North American actuarial journal
1
Scandinavian actuarial journal
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The European journal of finance
1
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ECONIS (ZBW)
26
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1
Downside risk optimization with random targets and portfolio amplitude
Landsman, Zinoviy
;
Makov, Udi
;
Yao, Jing
;
Zhou, Ming
- In:
The European journal of finance
28
(
2022
)
16
,
pp. 1642-1663
Persistent link: https://www.econbiz.de/10013532255
Saved in:
2
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:
3
Modelling random vectors of dependent risks with different elliptical components
Landsman, Zinoviy
;
Shushi, Tomer
- In:
Annals of actuarial science : publ. by the Institute of …
16
(
2022
)
1
,
pp. 6-24
Persistent link: https://www.econbiz.de/10013187281
Saved in:
4
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:
5
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:
6
A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
Ignatieva, Ekaterina
;
Landsman, Zinoviy
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 437-465
Persistent link: https://www.econbiz.de/10012793936
Saved in:
7
Conditional tail risk measures for the skewed generalised hyperbolic family
Ignatieva, Ekaterina
;
Landsman, Zinoviy
- In:
Insurance / Mathematics & economics
86
(
2019
),
pp. 98-114
Persistent link: https://www.econbiz.de/10012058838
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
A multivariate tail covariance measure for elliptical distributions
Landsman, Zinoviy
;
Makov, Udi
;
Shushi, Tomer
- In:
Insurance / Mathematics & economics
81
(
2018
),
pp. 27-35
Persistent link: https://www.econbiz.de/10011904613
Saved in:
10
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
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