//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~person:"Cai, Zongwu"
~person:"Taylor, James W."
~subject:"Estimation theory"
~subject:"Expected shortfall"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Value at Risk"
Narrow search
Delete all filters
| 4 applied filters
Year of publication
From:
To:
Subject
All
Estimation theory
Expected shortfall
Risikomaß
18
Risk measure
18
Forecasting model
10
Prognoseverfahren
10
Estimation
9
Schätztheorie
9
Schätzung
9
Statistical distribution
9
Statistische Verteilung
9
Nichtparametrisches Verfahren
6
Nonparametric statistics
6
Regression analysis
5
Regressionsanalyse
5
Theorie
5
Theory
5
Portfolio selection
4
Portfolio-Management
4
Volatility
4
Volatilität
4
Dynamic financial network
3
Nonparametric estimation
3
VAR model
3
VAR modeling
3
VAR-Modell
3
ARCH model
2
ARCH-Modell
2
Business network
2
CAViaR
2
Capital income
2
Conditional quantile models
2
Elicitability
2
Expected Shortfall
2
Expectile
2
Functional coefficient models
2
Kapitaleinkommen
2
Quantile regression
2
Realized volatility
2
Risiko
2
more ...
less ...
Online availability
All
Free
5
Undetermined
4
Type of publication
All
Article
6
Book / Working Paper
5
Type of publication (narrower categories)
All
Article in journal
6
Aufsatz in Zeitschrift
6
Arbeitspapier
5
Graue Literatur
5
Non-commercial literature
5
Working Paper
5
Language
All
English
11
Author
All
Cai, Zongwu
Taylor, James W.
Ardia, David
11
Francq, Christian
8
Huschens, Stefan
8
Zakoïan, Jean-Michel
8
Chen, Qian
7
Daouia, Abdelaati
7
Stupfler, Gilles
7
Gerlach, Richard
6
Hoogerheide, Lennart
6
Härdle, Wolfgang
6
Lazar, Emese
6
Degiannakis, Stavros
5
Escanciano, Juan Carlos
5
Girard, Stéphane
5
Gouriéroux, Christian
5
Kratz, Marie
5
Lönnbark, Carl
5
Pei, Pei
5
Bluteau, Keven
4
Hoga, Yannick
4
Hoogerheide, Lennart F.
4
Hou, Yanxi
4
Höse, Steffi
4
Kondor, Imre
4
Lucas, André
4
Manganelli, Simone
4
Mora-Valencia, Andrés
4
Nadarajah, Saralees
4
Peng, Liang
4
Perote, Javier
4
Uryasev, Stan
4
Wang, Chao
4
Wang, Weining
4
Angelidis, Timotheos
3
Bormann, Carsten
3
Borowska, Agnieszka
3
Bräutigam, Marcel
3
Caccioli, Fabio
3
more ...
less ...
Published in...
All
Working papers series in theoretical and applied economics
5
International journal of forecasting
2
European journal of operational research : EJOR
1
Journal of banking & finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of forecasting
1
Source
All
ECONIS (ZBW)
11
Showing
1
-
10
of
11
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
A functional-coefficient VAR model for dynamic quantiles and its application to constructing nonparametric financial network
Cai, Zongwu
;
Liu, Xiyuan
;
Su, Liangjun
-
2024
Persistent link: https://www.econbiz.de/10014521096
Saved in:
2
A nonparametric dynamic network via multivariate quantile autoregressions
Cai, Zongwu
;
Liu, Xiyuan
-
2022
Persistent link: https://www.econbiz.de/10013283992
Saved in:
3
Realized volatility forecasting based on dynamic quantile model averaging
Cai, Zongwu
;
Ma, Chaoqun
;
Mi, Xianhua
-
2020
Persistent link: https://www.econbiz.de/10012312856
Saved in:
4
A functional-coefficient VAR model for dynamic quantiles with constructing financial network
Cai, Zongwu
;
Liu, Xiyuan
-
2020
Persistent link: https://www.econbiz.de/10012312878
Saved in:
5
Forecasting
value
at
risk
and expected shortfall using a model with a dynamic omega ratio
Taylor, James W.
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013463062
Saved in:
6
Assessing tail risk using expectile regressions with partially varying coefficients
Cai, Zongwu
;
Fang, Ying
;
Tian, Dingshi
-
2018
Persistent link: https://www.econbiz.de/10011965749
Saved in:
7
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:
8
Forecast combinations for
value
at
risk
and expected shortfall
Taylor, James W.
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 428-441
Persistent link: https://www.econbiz.de/10012415069
Saved in:
9
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:
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:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->