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~person:"Bräutigam, Marcel"
~person:"De Luca, Giovanni"
~person:"Kondor, Imre"
~person:"Taylor, James W."
~subject:"Estimation theory"
~type_genre:"Article in journal"
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Search: subject:"Value at Risk"
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16
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16
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8
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8
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7
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7
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Bräutigam, Marcel
De Luca, Giovanni
Kondor, Imre
Taylor, James W.
Francq, Christian
5
Zakoïan, Jean-Michel
5
Hoga, Yannick
4
Hou, Yanxi
4
Peng, Liang
4
Ardia, David
3
Guillou, Armelle
3
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3
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3
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3
Rivieccio, Giorgia
3
Rösch, Daniel
3
Uryasev, Stan
3
Wang, Xing
3
Yang, Fan
3
Yu, Keming
3
Abbara, Omar
2
Agiakloglou, Christos N.
2
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2
Auer, Benjamin R.
2
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2
Bluteau, Keven
2
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2
Chan, Stephen
2
Chlebus, Marcin
2
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2
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2
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2
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2
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2
Hill, Jonathan B.
2
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2
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2
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2
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2
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2
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1
European journal of operational research : EJOR
1
Finance research letters
1
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1
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1
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ECONIS (ZBW)
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1
Pro-cyclicality beyond business cycle
Bräutigam, Marcel
;
Dacorogna, Michel M.
;
Kratz, Marie
- In:
Mathematical finance : an international journal of …
33
(
2023
)
2
,
pp. 308-341
Persistent link: https://www.econbiz.de/10014278671
Saved in:
2
How do empirical estimators of popular risk measures impact pro-cyclicality?
Bräutigam, Marcel
;
Kratz, Marie
- In:
Annals of actuarial science : publ. by the Institute of …
17
(
2023
)
3
,
pp. 547-579
Persistent link: https://www.econbiz.de/10014436789
Saved in:
3
Non-Gaussian models for CoVaR estimation
Bianchi, Michele Leonardo
;
De Luca, Giovanni
; …
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 391-404
Persistent link: https://www.econbiz.de/10014462788
Saved in:
4
Value-at-Risk
dynamics : a copula-VAR approach
De Luca, Giovanni
;
Rivieccio, Giorgia
;
Corsaro, Stefania
- In:
The European journal of finance
26
(
2020
)
2/3
,
pp. 223-237
Persistent link: https://www.econbiz.de/10012207202
Saved in:
5
Estimating
Value-at-Risk
and Expected Shortfall using the intraday low and range data
Meng, Xiaochun
;
Taylor, James W.
- In:
European journal of operational research : EJOR
280
(
2020
)
1
,
pp. 191-202
Persistent link: https://www.econbiz.de/10012132379
Saved in:
6
Assessing tail risk for nonlinear dependence of MSCI sector indices : a copula three-stage approach
De Luca, Giovanni
;
Guégan, Dominique
;
Rivieccio, Giorgia
- In:
Finance research letters
30
(
2019
),
pp. 327-333
Persistent link: https://www.econbiz.de/10012420870
Saved in:
7
An approximate long-memory range-based approach for
value
at
risk
estimation
Meng, Xiaochun
;
Taylor, James W.
- In:
International journal of forecasting
34
(
2018
)
3
,
pp. 377-388
Persistent link: https://www.econbiz.de/10012030985
Saved in:
8
Portfolio optimization under Expected Shortfall : contour maps of estimation error
Caccioli, Fabio
;
Kondor, Imre
;
Papp, Gábor
- In:
Quantitative finance
18
(
2018
)
8
,
pp. 1295-1313
Persistent link: https://www.econbiz.de/10011911538
Saved in:
9
Liquidity risk and instabilities in portfolio optimization
Caccioli, Fabio
;
Kondor, Imre
;
Marsili, Matteo
- In:
International journal of theoretical and applied finance
19
(
2016
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011524891
Saved in:
10
Using CAViaR models with implied volatility for
value-at-risk
estimation
Jeon, Jooyoung
;
Taylor, James W.
- In:
Journal of forecasting
32
(
2013
)
1
,
pp. 62-74
Persistent link: https://www.econbiz.de/10009758719
Saved in:
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