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~subject:"ARCH model"
~subject:"Credit risk"
~subject:"Portfolio selection"
~subject:"Schätzung"
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Search: subject:"Expected Shortfall"
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70
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36
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26
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24
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23
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22
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21
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21
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20
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20
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19
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17
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16
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14
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13
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12
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11
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3
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2
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1
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Edward Elgar Publishing
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Fachverlag für Wirtschafts- und Steuerrecht Schäffer <Stuttgart>
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1
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1
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110
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81
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European journal of operational research : EJOR
66
Risks : open access journal
62
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58
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53
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46
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46
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44
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42
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42
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42
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41
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39
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36
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29
International journal of theoretical and applied finance
29
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27
Journal of forecasting
27
Research in international business and finance
27
Journal of economic dynamics & control
26
The European journal of finance
26
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25
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25
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Journal of international financial markets, institutions & money
24
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23
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23
The journal of credit risk : published quarterly by Incisive Media
21
Management science : journal of the Institute for Operations Research and the Management Sciences
20
Journal of risk management in financial institutions
19
Finance and stochastics
18
Working paper
18
Applied economics letters
17
Journal of mathematical finance
17
Operations research
17
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
16
Journal of financial econometrics
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ECONIS (ZBW)
4,204
EconStor
3
RePEc
3
Showing
1
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10
of
4,210
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date (newest first)
date (oldest first)
1
A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao
;
Gerlach, Richard
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
Saved in:
2
The quantum harmonic oscillator
expected
shortfall
model
Markovic, Vladimir M.
;
Radivojevic, Nikola
;
Ivanovic, …
- In:
Estudios de economía
50
(
2023
)
2
,
pp. 233-261
This paper presents a new
Expected
Shortfall
(ES) model based on the Quantum Harmonic Oscillator (QHO). It is used to …
Persistent link: https://www.econbiz.de/10014450737
Saved in:
3
Some optimisation problems in insurance with a terminal distribution constraint
Colaneri, Katia
;
Eisenberg, Julia
;
Salterini, Benedetta
- In:
Scandinavian actuarial journal
2023
(
2023
)
7
,
pp. 655-678
Persistent link: https://www.econbiz.de/10014383890
Saved in:
4
Stylized facts, volatility dynamics and risk measures of cryptocurrencies
Bruzgė, Rasa
;
Černevičienė, Jurgita
; …
- In:
Journal of business economics and management
24
(
2023
)
3
,
pp. 527-550
. Sensitivity analysis and measures of Value-at-Risk (VaR) and
Expected
Shortfall
(ES) show the amount of losses investors can …
Persistent link: https://www.econbiz.de/10014420375
Saved in:
5
Modeling uncertainty in financial tail risk : a forecast combination and weighted quantile approach
Storti, Giuseppe
;
Wang, Chao
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1648-1663
Persistent link: https://www.econbiz.de/10014432743
Saved in:
6
Less disagreement, better forecasts : adjusted risk measures in the energy futures market
Zhang, Ning
;
Gong, Yujing
;
Xue, Xiaohan
- In:
The journal of futures markets
43
(
2023
)
10
,
pp. 1332-1372
Persistent link: https://www.econbiz.de/10014339438
Saved in:
7
Backtesting value-at-risk and
expected
shortfall
in the presence of estimation error
Barendse, Sander
;
Kole, Erik
;
Dijk, Dick van
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 528-568
Persistent link: https://www.econbiz.de/10014314760
Saved in:
8
Systemic risk : a comparative study between public and private banks
Mselmi, Aymen
;
Mahmoud, Imen
- In:
International journal of economics and financial issues …
13
(
2023
)
3
,
pp. 117-125
Persistent link: https://www.econbiz.de/10014288652
Saved in:
9
Calibrating the magnitude of the countercyclical capital buffer using market-based stress tests
Oordt, Maarten R. C. van
- In:
Journal of money, credit and banking : JMCB
55
(
2023
)
2/3
,
pp. 465-501
Persistent link: https://www.econbiz.de/10014305980
Saved in:
10
Financial risk optimisation methods : a survey
Chiper, Alexandra-Maria
- In:
The review of economic and business studies : REBS
16
(
2023
)
1
,
pp. 155-168
Persistent link: https://www.econbiz.de/10014529495
Saved in:
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