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~subject:"Forecasting model"
~subject:"Portfolio selection"
~subject:"Schätzung"
~subject:"Welt"
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Search: subject:"Expected Shortfall"
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Forecasting model
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69
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27
Pérez Amaral, Teodosio
26
Wang, Ruodu
26
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24
Stoja, Evarist
24
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21
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19
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18
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17
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16
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15
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15
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15
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14
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11
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2
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Journal of risk
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Finance research letters
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65
European journal of operational research : EJOR
64
International journal of forecasting
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International review of financial analysis
51
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49
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46
Discussion paper / Tinbergen Institute
42
Energy economics
42
Applied economics
39
The journal of risk model validation
38
Journal of forecasting
37
Journal of empirical finance
34
Journal of risk and financial management : JRFM
34
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29
International review of economics & finance : IREF
28
Journal of financial econometrics : official journal of the Society for Financial Econometrics
27
Journal of economic dynamics & control
26
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25
The European journal of finance
25
International journal of theoretical and applied finance
24
Research in international business and finance
24
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23
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21
Journal of risk management in financial institutions
21
Journal of international financial markets, institutions & money
20
Applied economics letters
19
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19
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19
Pacific-Basin finance journal
18
Finance and stochastics
17
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
17
Operations research
17
The journal of asset management
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ECONIS (ZBW)
4,079
EconStor
3
RePEc
1
Showing
1
-
10
of
4,083
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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
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
Saved in:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
Systemically important financial institutions and drivers of systemic risk : evidence from India
Narayan, Shivani
;
Kumar, Dilip
;
Bouri, Elie
- In:
Pacific-Basin finance journal
82
(
2023
),
pp. 1-25
Persistent link: https://www.econbiz.de/10014463391
Saved in:
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