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~isPartOf:"Journal of forecasting"
~isPartOf:"Journal of risk management in financial institutions"
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~subject:"Systemrisiko"
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TWO-COMPONENT EXTREME VALUE DI...
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Machine learning in risk measurement : Gaussian process regression for value-at-risk and expected shortfall
Wilkens, Sascha
- In:
Journal of risk management in financial institutions
12
(
2019
)
3
,
pp. 374-383
Persistent link: https://www.econbiz.de/10012131743
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2
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
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3
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
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4
Using truncated Lévy flight to estimate downside risk
Xiong, James X.
- In:
Journal of risk management in financial institutions
3
(
2009/10
)
3
,
pp. 231-242
Persistent link: https://www.econbiz.de/10003991439
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How valuable is your VaR? : large sample confidence intervals for normal VaR
Moraux, Franck
- In:
Journal of risk management in financial institutions
4
(
2010/11
)
2
,
pp. 189-200
Persistent link: https://www.econbiz.de/10009154314
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6
Market BuVaR : a countercyclical risk metric
Wong, Max
- In:
Journal of risk management in financial institutions
4
(
2010/11
)
3
,
pp. 419-432
Persistent link: https://www.econbiz.de/10009508301
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7
Forecasting VaR models under different volatility processes and distributions of return innovations
Dendramis, Yiannis
;
Spungin, Giles E.
;
Tzavalis, Elias
- In:
Journal of forecasting
33
(
2014
)
7
,
pp. 515-531
Persistent link: https://www.econbiz.de/10011282095
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8
Extreme value analysis of electricity demand in the UK
Chan, Stephen
;
Nadarajah, Saralees
- In:
Applied economics letters
22
(
2015
)
13/15
,
pp. 1246-1251
Persistent link: https://www.econbiz.de/10011312714
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9
On the evaluation of marginal expected shortfall
Caporin, Massimiliano
;
Santucci de Magistris, Paolo
- In:
Applied economics letters
19
(
2012
)
1/3
,
pp. 175-179
Persistent link: https://www.econbiz.de/10009412621
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10
Measuring systemic risk in the Colombian financial system : a systemic contingent claims approach
Capera Romero, Laura
(
contributor
); …
- In:
Journal of risk management in financial institutions
6
(
2012/13
)
3
,
pp. 253-279
Persistent link: https://www.econbiz.de/10010197075
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