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~subject:"Multivariate Verteilung"
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Search: subject:"Value at Risk"
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Subject
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Multivariate Verteilung
Risikomaß
7,465
Risk measure
7,439
Theorie
3,619
Theory
3,574
Portfolio-Management
2,721
Portfolio selection
2,703
Risikomanagement
2,281
Risk management
2,244
Risk
2,078
Risiko
2,076
Messung
1,170
Measurement
1,149
Statistische Verteilung
1,121
Statistical distribution
1,113
Schätzung
1,110
Estimation
1,094
ARCH-Modell
1,030
ARCH model
1,020
Volatility
978
Volatilität
970
Prognoseverfahren
912
Forecasting model
904
Value-at-Risk
771
Kapitaleinkommen
765
Capital income
763
Value at Risk
658
Kreditrisiko
639
Credit risk
621
Bankrisiko
563
Bank risk
560
Basel Accord
519
Basler Akkord
505
Outliers
493
Ausreißer
491
Schätztheorie
488
Estimation theory
484
Financial crisis
473
Finanzkrise
467
Multivariate distribution
457
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222
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134
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Article
349
Book / Working Paper
108
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Article in journal
331
Aufsatz in Zeitschrift
331
Graue Literatur
53
Non-commercial literature
53
Arbeitspapier
48
Working Paper
48
Aufsatz im Buch
16
Book section
16
Hochschulschrift
15
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10
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3
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1
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1
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1
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1
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1
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1
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1
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English
450
German
7
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Härdle, Wolfgang
8
Okhrin, Ostap
8
Tiwari, Aviral Kumar
8
Hammoudeh, Shawkat
7
Ji, Qiang
7
Shahzad, Syed Jawad Hussain
7
Tian, Maoxi
7
Giacomini, Enzo
6
Valdesogo, Alfonso
6
Weiß, Gregor
6
Berger, Theo
5
Bormann, Carsten
5
Ghorbel, Ahmed
5
Heinen, Andréas
5
Karmakar, Madhusudan
5
Mensi, Walid
5
Reboredo, Juan Carlos
5
Schienle, Melanie
5
Braun, Valentin
4
Fantazzini, Dean
4
Huggenberger, Markus
4
Lee, Seung-Hwan
4
Liu, Bing-Yue
4
Manner, Hans
4
Muteba Mwamba, John
4
Righi, Marcelo Brutti
4
Sahamkhadam, Maziar
4
Shim, Jeungbo
4
Trück, Stefan
4
Weigert, Florian
4
Al-Yahyaee, Khamis Hamed
3
Allen, David E.
3
Alshater, Muneer Maher
3
Belkacem, Lotfi
3
Bouri, Elie
3
Chabi-Yo, Fousseni
3
Chollete, Lorán
3
Czado, Claudia
3
De Luca, Giovanni
3
Embrechts, Paul
3
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Bergische Universität Wuppertal
1
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Insurance / Mathematics & economics
22
Energy economics
15
The North American journal of economics and finance : a journal of financial economics studies
14
Applied economics
12
Journal of banking & finance
11
Risks : open access journal
11
Economic modelling
10
Journal of risk and financial management : JRFM
10
SFB 649 discussion paper
10
International review of financial analysis
9
Journal of risk
7
Computational economics
6
Finance research letters
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
European journal of operational research : EJOR
5
Pacific-Basin finance journal
5
The European journal of finance
5
International Journal of Financial Studies : open access journal
4
International journal of forecasting
4
International review of economics & finance : IREF
4
Journal of international financial markets, institutions & money
4
Quantitative finance
4
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
4
Agricultural finance review
3
Applied economics letters
3
Economics letters
3
Financial innovation : FIN
3
Journal of empirical finance
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Journal of forecasting
3
Journal of mathematical finance
3
Quantitative finance and economics
3
Reihe Quantitative Ökonomie : Ökon
3
Review of quantitative finance and accounting
3
Risk management : a journal of risk, crisis and disaster
3
Astin bulletin : the journal of the International Actuarial Association
2
CORE discussion paper : DP
2
Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies
2
Computers & operations research : and their applications to problems of world concern ; an international journal
2
Discussion paper
2
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ECONIS (ZBW)
457
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1
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457
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1
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:
2
Assessing portfolio vulnerability to systemic risk : a vine copula and APARCH-DCC approach
Mba, Jules Clement
- In:
Financial innovation : FIN
10
(
2024
),
pp. 1-36
This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional
Value-at-Risk
(CoVaR …
Persistent link: https://www.econbiz.de/10014532413
Saved in:
3
On the diversification effect in solvency II for extremely dependent risks
Chen, Yongzhao
;
Cheung, Ka Chun
;
Yam, Sheung Chi Phillip
; …
- In:
Risks : open access journal
11
(
2023
)
8
,
pp. 1-22
three maximum domains of attraction. We show that
Value-at-Risk
(V@R) under extreme-value copulas is asymptotically …
Persistent link: https://www.econbiz.de/10014370410
Saved in:
4
Remarks on a copula-based conditional
value
at
risk
for the portfolio problem
Molina Barreto, Andres Mauricio
;
Ishimura, Naoyuki
- In:
Intelligent systems in accounting, finance & management
30
(
2023
)
3
,
pp. 150-170
Persistent link: https://www.econbiz.de/10014375330
Saved in:
5
Portfolio optimization based on forecasting models using vine copulas : an empirical assessment for global financial crises
Sahamkhadam, Maziar
;
Stephan, Andreas
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 2139-2166
Persistent link: https://www.econbiz.de/10014432866
Saved in:
6
Formulating MCoVaR to quantify joint transmissions of systemic risk across crypto and non-crypto markets : a multivariate copula approach
Hakim, Arief
;
Syuhada, Khreshna
- In:
Risks : open access journal
11
(
2023
)
2
,
pp. 1-45
-called multivariate conditional
value-at-risk
(MCoVaR), which measures the tail risk of a targeted asset from each market conditional on a …
Persistent link: https://www.econbiz.de/10014234393
Saved in:
7
Modeling the optimal combination of proportional and stop-loss reinsurance with dependent claim and stochastic insurance premium
Sari, Suci Fratma
;
Hakim, Arief
;
Magdalena, Ikha
; …
- In:
Journal of risk and financial management : JRFM
16
(
2023
)
2
,
pp. 1-20
premium, we use the minimization of the
Value-at-Risk
(VaR) of the insurer’s net cost. When determining the optimal proportion …
Persistent link: https://www.econbiz.de/10014305958
Saved in:
8
Risk management of stock portfolios with jumps at exogenous default events
Herbertsson, Alexander
-
2023
Persistent link: https://www.econbiz.de/10014431441
Saved in:
9
Dependent metaverse risk forecasts with heteroskedastic models and ensemble learning
Syuhada, Kreshna
;
Tjahjono, Venansius
;
Hakim, Arief
- In:
Risks : open access journal
11
(
2023
)
2
,
pp. 1-25
combination of aggregate
value-at-risk
(AggVaR) and aggregate expected shortfall (AggES). To capture their dependence, we employed …
Persistent link: https://www.econbiz.de/10014234332
Saved in:
10
Extreme dependencies and spillovers between gold and stock markets : evidence from MENA countries
Mensi, Walid
;
Maitra, Debasish
;
Selmi, Refk
;
Xuan Vinh Vo
- In:
Financial innovation : FIN
9
(
2023
)
1
,
pp. 1-27
North Africa (MENA) region and (ii) using the copula-quantile-on-quantile and conditional
value
at
risk
methods to detail …
Persistent link: https://www.econbiz.de/10014289027
Saved in:
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