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~person:"Berger, Theo"
~person:"Fuertes, Ana María"
~person:"Wied, Dominik"
~subject:"Prognoseverfahren"
~subject:"Risikomanagement"
~type_genre:"Article in journal"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Risk measure"
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Prognoseverfahren
Risikomanagement
Risikomaß
22
Risk measure
22
Forecasting model
11
Theorie
11
Theory
11
ARCH model
8
ARCH-Modell
8
Capital income
7
Kapitaleinkommen
7
Multivariate Verteilung
7
Multivariate distribution
7
Portfolio selection
7
Portfolio-Management
7
Value-at-Risk
7
Börsenkurs
5
Share price
5
Volatility
5
Volatilität
5
Estimation
4
Method of moments
4
Momentenmethode
4
Risk management
4
Schätzung
4
Statistical distribution
4
Statistische Verteilung
4
Time series analysis
4
Zeitreihenanalyse
4
Securities trading
3
Simulation
3
Statistical test
3
Statistischer Test
3
Wertpapierhandel
3
Ausreißer
2
Backtesting
2
Estimation theory
2
Forecasting
2
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2
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13
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Article in journal
Aufsatz in Zeitschrift
Arbeitspapier
3
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3
Graue Literatur
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English
13
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Berger, Theo
Fuertes, Ana María
Wied, Dominik
Wang, Ruodu
17
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
Lazar, Emese
6
Mora-Valencia, Andrés
6
Polanski, Arnold
6
Tan, Ken Seng
6
Tiwari, Aviral Kumar
6
Wang, Chao
6
Al-Yahyaee, Khamis Hamed
5
Bee, Marco
5
Bernard, Carole
5
Bernardi, Mauro
5
Brandtner, Mario
5
Chaudhry, Sajid M.
5
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International journal of forecasting
2
Journal of banking & finance
2
Journal of risk
2
Economic modelling
1
Economics letters
1
International review of financial analysis
1
Journal of economic dynamics & control
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of forecasting
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ECONIS (ZBW)
13
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1
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:
2
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:
3
On the isolated impact of copulas on risk measurement : asimulation study
Berger, Theo
- In:
Economic modelling
58
(
2016
),
pp. 475-481
Persistent link: https://www.econbiz.de/10011647502
Saved in:
4
Overnight news and daily equity trading risk limits
Ahoniemi, Katja
;
Fuertes, Ana María
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
Saved in:
5
Forecasting based on decomposed financial return series : a wavelet analysis
Berger, Theo
- In:
Journal of forecasting
35
(
2016
)
5
,
pp. 419-433
Persistent link: https://www.econbiz.de/10011580976
Saved in:
6
Evaluating Value-at-Risk forecasts : a new set of multivariate backtests
Wied, Dominik
;
Weiß, Gregor
;
Ziggel, Daniel
- In:
Journal of banking & finance
72
(
2016
),
pp. 121-132
Persistent link: https://www.econbiz.de/10011635501
Saved in:
7
A simple and focused backtest of value at risk
Krämer, Walter
;
Wied, Dominik
- In:
Economics letters
137
(
2015
),
pp. 29-31
Persistent link: https://www.econbiz.de/10011436196
Saved in:
8
Testing for structural breaks in correlations : does it improve Value-at-Risk forecasting?
Berens, Tobias
;
Weiß, Gregor
;
Wied, Dominik
- In:
Journal of empirical finance
32
(
2015
),
pp. 135-152
Persistent link: https://www.econbiz.de/10011556809
Saved in:
9
Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling
Berger, Theo
;
Missong, Martin
- In:
International review of financial analysis
33
(
2014
),
pp. 33-38
Persistent link: https://www.econbiz.de/10010520086
Saved in:
10
Copulas and portfolio strategies : an applied risk management perspective
Berger, Theo
;
Missong, Martin
- In:
Journal of risk
17
(
2014/15
)
2
,
pp. 51-91
Persistent link: https://www.econbiz.de/10010476248
Saved in:
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