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~subject:"Estimation theory"
~subject:"Risk"
~subject:"Theorie"
~type_genre:"Amtsdruckschrift"
~type_genre:"Aufsatz im Buch"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject:"Value at Risk"
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Estimation theory
Risk
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Risikomaß
4,834
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4,834
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2,265
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1,851
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1,851
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13
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12
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11
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11
Guillén, Montserrat
11
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10
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10
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10
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10
Nadarajah, Saralees
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10
Tan, Ken Seng
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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8
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8
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8
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8
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96
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66
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International review of financial analysis
45
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44
International journal of forecasting
44
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42
The journal of risk model validation
39
Applied economics
36
International journal of theoretical and applied finance
36
Journal of econometrics
36
Journal of risk and financial management : JRFM
33
Computational economics
31
Energy economics
31
Finance and stochastics
29
Scandinavian actuarial journal
29
The European journal of finance
29
The North American journal of economics and finance : a journal of financial economics studies
28
Journal of forecasting
26
Journal of economic dynamics & control
25
Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
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25
The journal of operational risk
25
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
24
Journal of financial econometrics
24
Mathematical finance : an international journal of mathematics, statistics and financial theory
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Mathematics of operations research
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Operations research letters
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Journal of mathematical finance
22
The journal of credit risk : published quarterly by Incisive Media
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International review of economics & finance : IREF
21
Journal of risk management in financial institutions
21
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ECONIS (ZBW)
3,106
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1
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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
Dynamic robust portfolio selection under market distress
Jiang, Yifu
;
Olmo, Jose
;
Atwi, Majed
- In:
The North American journal of economics and finance : a …
69
(
2024
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10014445636
Saved in:
3
Value-at-Risk
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:
4
Multivariate spectral backtests of forecast distributions under unknown dependencies
Balter, Janine
;
McNeil, Alexander J.
- In:
Risks : open access journal
12
(
2024
)
1
,
pp. 1-15
-desk
value-at-risk
(VaR) backtest as a special case. The spectral tests make use of realised probability integral transform …
Persistent link: https://www.econbiz.de/10014480976
Saved in:
5
Assessing financial stability in turbulent times : a study of generalized autoregressive conditional heteroskedasticity-type
Value-at-Risk
model performance in Thailand's transport...
Danai Likitratcharoen
;
Lucksuda Suwannamalik
- In:
Risks : open access journal
12
(
2024
)
3
,
pp. 1-19
The
Value-at-Risk
(VaR) metric serves as a pivotal tool for quantifying market risk, offering an estimation of …
Persistent link: https://www.econbiz.de/10014497424
Saved in:
6
Testing the correct specification of a system of spatial dependence models for stock returns
Kutzker, Tim
;
Wied, Dominik
- In:
Empirical economics : a quarterly journal of the …
66
(
2024
)
5
,
pp. 2083-2103
Persistent link: https://www.econbiz.de/10014520115
Saved in:
7
A robust ordered weighted averaging loss model for portfolio optimization
Benati, Stefano
;
Sánchez Conde, Eduardo
- In:
Computers & operations research : an international journal
167
(
2024
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014566418
Saved in:
8
Robust insurance design with distortion risk measures
Boonen, Tim J.
;
Jiang, Wenjun
- In:
European journal of operational research : EJOR
316
(
2024
)
2
,
pp. 694-706
Persistent link: https://www.econbiz.de/10014575576
Saved in:
9
Good risk measures, bad statistical assumptions, ugly risk forecasts
Michaelides, Michael
;
Poudyal, Niraj
- In:
The financial review : the official publication of the …
59
(
2024
)
2
,
pp. 519-543
Persistent link: https://www.econbiz.de/10014543997
Saved in:
10
Estimating
Value
at
Risk
and expected shortfall : a Kalman filter approach
Lecq, Max van der
;
Van Vuuren, Gary
- In:
International journal of economics and financial issues …
14
(
2024
)
1
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014567063
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