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~subject:"Multivariate distribution"
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Multivariate distribution
Risikomaß
7,488
Risk measure
7,462
Theorie
3,628
Theory
3,583
Portfolio-Management
2,731
Portfolio selection
2,713
Risikomanagement
2,286
Risk management
2,259
Risk
2,093
Risiko
2,089
Messung
1,176
Measurement
1,155
Statistische Verteilung
1,128
Statistical distribution
1,120
Schätzung
1,116
Estimation
1,100
ARCH-Modell
1,036
ARCH model
1,026
Volatility
986
Volatilität
976
Prognoseverfahren
919
Forecasting model
911
Value-at-Risk
779
Kapitaleinkommen
769
Capital income
767
Value at Risk
659
Kreditrisiko
640
Credit risk
622
Bankrisiko
566
Bank risk
563
Basel Accord
520
Basler Akkord
506
Outliers
496
Ausreißer
494
Schätztheorie
489
Estimation theory
485
Financial crisis
480
Finanzkrise
471
Multivariate Verteilung
457
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134
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349
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108
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450
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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
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:
4
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:
5
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:
6
Risk management of stock portfolios with jumps at exogenous default events
Herbertsson, Alexander
-
2023
Persistent link: https://www.econbiz.de/10014431441
Saved in:
7
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:
8
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:
9
Quantifying systemic risk in Morocco's banking system using Euler indicators and extreme dependence
Said, Khalil
;
El Qalli, Yassine
;
Fadlallah, Abdellali
- In:
Cogent business & management
10
(
2023
)
3
,
pp. 1-19
banks. We utilize indicators derived from Tail
Value
at
Risk
and expectiles risk measures, as introduced by El qalli and …
Persistent link: https://www.econbiz.de/10014505870
Saved in:
10
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:
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