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~person:"Fuertes, Ana María"
~person:"Ghorbel, Ahmed"
~person:"Lazar, Emese"
~subject:"Prognoseverfahren"
~subject:"Risikomanagement"
~type_genre:"Article in journal"
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Search: subject_exact:"Risk measure"
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Prognoseverfahren
Risikomanagement
Risikomaß
18
Risk measure
18
Risk management
9
Portfolio selection
8
Portfolio-Management
8
ARCH model
7
ARCH-Modell
7
Value-at-Risk
7
Forecasting model
6
Multivariate Verteilung
6
Multivariate distribution
6
Theorie
6
Theory
6
Volatility
6
Volatilität
6
Capital income
4
Kapitaleinkommen
4
Statistical distribution
4
Statistische Verteilung
4
Börsenkurs
3
Commodity derivative
3
Expected shortfall
3
Measurement
3
Messung
3
Risiko
3
Risk
3
Rohstoffderivat
3
Securities trading
3
Share price
3
Time series analysis
3
Wertpapierhandel
3
Zeitreihenanalyse
3
Aktienmarkt
2
Ausreißer
2
Dependence
2
Estimation
2
Estimation theory
2
Financial crisis
2
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Article
14
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Article in journal
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14
Arbeitspapier
1
Graue Literatur
1
Non-commercial literature
1
Working Paper
1
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English
14
Author
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Fuertes, Ana María
Ghorbel, Ahmed
Lazar, Emese
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
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
Berger, Theo
5
Bernard, Carole
5
Bernardi, Mauro
5
Brandtner, Mario
5
Chaudhry, Sajid M.
5
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International journal of forecasting
3
International review of financial analysis
2
American journal of finance and accounting
1
Economic modelling
1
European journal of operational research : EJOR
1
International Journal of Financial Markets and Derivatives : IJFMD
1
International journal of managerial and financial accounting
1
Journal of banking & finance
1
Journal of commodity markets : JCM
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of multinational financial management
1
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ECONIS (ZBW)
14
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1
VaR and ES forecasting via recurrent neural network-based stateful models
Qiu, Zhiguo
;
Lazar, Emese
;
Nakata, Keiichi
- In:
International review of financial analysis
92
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014492387
Saved in:
2
On the estimation of Value-at-Risk and Expected Shortfall at extreme levels
Lazar, Emese
;
Pan, Jingqi
;
Wang, Shixuan
- In:
Journal of commodity markets : JCM
34
(
2024
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014548240
Saved in:
3
Loss function-based change point detection in risk measures
Lazar, Emese
;
Wang, Shixuan
;
Xue, Xiaohan
- In:
European journal of operational research : EJOR
310
(
2023
)
1
,
pp. 415-431
Persistent link: https://www.econbiz.de/10014340186
Saved in:
4
Connectedness between cryptocurrencies and foreign exchange markets : implication for risk management
Chemkha, Rahma
;
BenSaïda, Ahmed
;
Ghorbel, Ahmed
- In:
Journal of multinational financial management
59
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012794677
Saved in:
5
Forecasting risk measures using intraday data in a generalized autoregressive score framework
Lazar, Emese
;
Xue, Xiaohan
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 1057-1072
Persistent link: https://www.econbiz.de/10012497719
Saved in:
6
Model risk of expected shortfall
Lazar, Emese
;
Zhang, Ning
- In:
Journal of banking & finance
105
(
2019
),
pp. 74-93
Persistent link: https://www.econbiz.de/10012163809
Saved in:
7
Measuring portfolio risk of non-energy commodity using time-varying vine copula
Attafi, Zeineb
;
Ghorbel, Ahmed
;
Boujelbene, Younes
- In:
International Journal of Financial Markets and …
7
(
2019
)
2
,
pp. 163-190
Persistent link: https://www.econbiz.de/10012253560
Saved in:
8
Energy portfolio risk management using time-varying copula methods : application to bonds, interest rate and VIX
Abdelkafi, Samar Zlitni
;
Ghorbel, Ahmed
;
Khoufi, Walid
- In:
American journal of finance and accounting
5
(
2018
)
4
,
pp. 371-393
Persistent link: https://www.econbiz.de/10011966860
Saved in:
9
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:
10
Energy portfolio risk management using time-varying extreme value copula methods
Ghorbel, Ahmed
;
Trabelsi, Abdelwahed
- In:
Economic modelling
38
(
2014
),
pp. 470-485
Persistent link: https://www.econbiz.de/10010419011
Saved in:
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