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~person:"Guillén, Montserrat"
~person:"Stoja, Evarist"
~source:"econis"
~subject:"Portfolio selection"
~subject:"Prognoseverfahren"
~subject:"Risk"
~type_genre:"Article in journal"
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Search: subject_exact:"Risk measure"
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Guillén, Montserrat
Stoja, Evarist
Wang, Ruodu
24
Righi, Marcelo Brutti
19
Hammoudeh, Shawkat
18
McAleer, Michael
14
Rosazza Gianin, Emanuela
13
Mao, Tiantian
12
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11
Janabi, Mazin A. M. al
11
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11
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10
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10
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10
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10
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10
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10
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9
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9
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9
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9
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9
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9
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9
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9
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8
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8
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8
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8
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8
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8
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8
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8
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8
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7
Bernard, Carole
7
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7
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7
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7
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1
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The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
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1
Does systematic tail risk matter?
Stoja, Evarist
;
Polanski, Arnold
;
Linh Hoang Nguyen
; …
- In:
Journal of international financial markets, …
82
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014245969
Saved in:
2
Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility
Vidal-Llana, Xenxo
;
Guillén, Montserrat
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014225819
Saved in:
3
Joint generalized quantile and conditional tail expectation regression for insurance risk analysis
Guillén, Montserrat
;
Bermúdez, Lluís
;
Pitarque, Albert
- In:
Insurance / Mathematics & economics
99
(
2021
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012649203
Saved in:
4
An examination of the tail contribution to distortion risk measures
Santolino, Miguel
;
Belles-Sampera, James
;
Sarabia …
- In:
Journal of risk
23
(
2021
)
6
,
pp. 95-119
Persistent link: https://www.econbiz.de/10013473149
Saved in:
5
Systematic extreme downside risk
Harris, Richard D. F.
;
Nguyen, Linh
;
Stoja, Evarist
- In:
Journal of international financial markets, …
61
(
2019
),
pp. 128-142
Persistent link: https://www.econbiz.de/10012128287
Saved in:
6
Distortion risk measures for nonnegative multivariate risks
Guillén, Montserrat
;
Sarabia Alzaga, José Maria
; …
- In:
The journal of operational risk
13
(
2018
)
2
,
pp. 35-57
Persistent link: https://www.econbiz.de/10011895037
Saved in:
7
Forecasting multidimensional tail risk at short and long horizons
Polanski, Arnold
;
Stoja, Evarist
- In:
International journal of forecasting
33
(
2017
)
4
,
pp. 958-969
Persistent link: https://www.econbiz.de/10011746932
Saved in:
8
Modeling longevity risk with generalized dynamic factor models and vine-copulae
Chuliá, Helena
;
Guillén, Montserrat
;
Uribe, Jorge
- In:
Astin bulletin : the journal of the International …
46
(
2016
)
1
,
pp. 165-190
Persistent link: https://www.econbiz.de/10011485145
Saved in:
9
What attitudes to risk underlie distortion risk measure choices?
Belles-Sampera, Jaume
;
Guillén, Montserrat
;
Santolino, …
- In:
Insurance / Mathematics & economics
68
(
2016
),
pp. 101-109
Persistent link: https://www.econbiz.de/10011492606
Saved in:
10
Co-dependence of extreme events in high frequency FX returns
Polanski, Arnold
;
Stoja, Evarist
- In:
Journal of international money and finance
44
(
2014
),
pp. 164-178
Persistent link: https://www.econbiz.de/10010391066
Saved in:
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