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~subject:"EVT"
~subject:"Value-at-Risk"
~subject:"Volatilität"
~subject:"credit risk"
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EVT
Value-at-Risk
Volatilität
credit risk
Risikomaß
7,521
Risk measure
7,499
Theorie
4,458
Theory
4,418
Kreditderivat
3,366
Credit derivative
3,363
Portfolio-Management
2,973
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2,960
Credit risk
2,484
Kreditrisiko
2,466
Risk management
2,436
Risikomanagement
2,429
Risk
2,215
Risiko
2,206
Schätzung
1,488
Estimation
1,474
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1,256
Messung
1,210
Statistische Verteilung
1,204
Statistical distribution
1,197
Measurement
1,190
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1,189
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1,178
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1,132
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1,126
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1,109
Finanzkrise
1,097
Prognoseverfahren
1,003
Forecasting model
1,000
Kapitaleinkommen
947
Capital income
944
Multivariate Verteilung
878
Multivariate distribution
878
Risikoprämie
779
Risk premium
775
Derivative
702
Derivat
701
Bank risk
674
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McAleer, Michael
64
Chang, Chia-Lin
29
Hammoudeh, Shawkat
23
Daníelsson, Jón
21
Allen, David E.
20
Caporin, Massimiliano
18
Gerlach, Richard
18
Härdle, Wolfgang
17
Mittnik, Stefan
16
Ardia, David
15
Vries, Casper G. de
14
Wang, Ruodu
14
Roszbach, Kasper
13
Bouri, Elie
12
Mensi, Walid
12
Paolella, Marc S.
12
Hoogerheide, Lennart F.
11
Shahzad, Syed Jawad Hussain
11
Hoogerheide, Lennart
10
Lindé, Jesper
10
Xu, Dinghai
10
Dijk, Herman K. van
9
Giot, Pierre
9
Jacobson, Tor
9
Jiménez-Martín, Juan-Ángel
9
Pérez Amaral, Teodosio
9
Walther, Thomas
9
Asai, Manabu
8
Bauwens, Luc
8
Byström, Hans N. E.
8
Francq, Christian
8
Gupta, Rangan
8
Hautsch, Nikolaus
8
Härdle, Wolfgang Karl
8
Ji, Qiang
8
Koopman, Siem Jan
8
Lucas, André
8
Puccetti, Giovanni
8
Scharth, Marcel
8
Wirjanto, Tony S.
8
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
26
HAL
16
Tinbergen Instituut
12
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
11
Business School, University of Sydney
8
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
7
Tinbergen Institute
7
EconWPA
6
Center for Financial Studies
5
Department of Economics and Finance, College of Business and Economics
5
International Monetary Fund (IMF)
5
Society for Computational Economics - SCE
5
Sveriges Riksbank
5
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
4
Institute of Economic Research, Kyoto University
4
Université Paris-Dauphine (Paris IX)
4
Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES)
3
Department of Economics, University of Crete
3
Economics Department, Fordham University
3
Faculteit der Economische Wetenschappen en Bedrijfskunde, Vrije Universiteit
3
Fakultät für Wirtschaftswissenschaften, Technische Universität München
3
Laboratoire d'Économie d'Orléans (LEO), Faculté de droit, d'économie et de gestion
3
VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics
3
de Nederlandsche Bank
3
Banca d'Italia
2
Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti
2
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
2
Departamento de Economía, Universidad Carlos III de Madrid
2
Department of Agribusiness and Applied Economics, North Dakota State University
2
Deutsche Bundesbank
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Duale Hochschule Baden-Württemberg Stuttgart
2
Fachbereich Rechts- und Wirtschaftswissenschaften, Technische Universität Darmstadt
2
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
2
Faculty of Economics, University of Cambridge
2
Finance Discipline Group, Business School
2
Hong Kong Monetary Authority
2
Institut d'Économie Appliquée, HEC Montréal (École des Hautes Études Commerciales)
2
Institut de Recerca en Economia Aplicada (IREA), Facultat d'Economia i Empresa
2
Institut ekonomických studií, Univerzita Karlova v Praze
2
Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
2
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Published in...
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Energy economics
54
Finance research letters
49
The North American journal of economics and finance : a journal of financial economics studies
41
Journal of banking & finance
37
International review of financial analysis
35
Discussion paper / Tinbergen Institute
27
Economic modelling
27
Applied economics
26
MPRA Paper
26
Insurance / Mathematics & economics
24
Risks : open access journal
23
International review of economics & finance : IREF
21
Journal of empirical finance
21
Tinbergen Institute Discussion Paper
21
International journal of forecasting
20
Tinbergen Institute Discussion Papers
19
Working paper
19
Journal of risk and financial management : JRFM
17
Journal of risk
16
Research in international business and finance
16
Journal of international financial markets, institutions & money
14
Quantitative finance
14
International journal of theoretical and applied finance
13
Journal of Banking & Finance
13
Journal of econometrics
13
The journal of risk model validation
13
Econometric Institute research papers
12
The European journal of finance
12
The journal of futures markets
12
CORE Discussion Papers
11
Journal of forecasting
11
Research paper series / Swiss Finance Institute
11
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
11
Computational economics
10
European journal of operational research : EJOR
10
Insurance: Mathematics and Economics
10
International Journal of Theoretical and Applied Finance (IJTAF)
10
Journal of mathematical finance
10
Working papers
10
Journal of Risk and Financial Management
9
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Source
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ECONIS (ZBW)
1,577
RePEc
388
EconStor
97
BASE
15
Other ZBW resources
7
USB Cologne (EcoSocSci)
2
Showing
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date (newest first)
date (oldest first)
1
Energy portfolio risk management using time-varying
copula
methods : application to bonds, interest rate and VIX
Abdelkafi, Samar Zlitni
;
Ghorbel, Ahmed
;
Khoufi, Walid
- In:
American journal of finance and accounting
5
(
2018
)
4
,
pp. 371-393
Persistent link: https://www.econbiz.de/10011966860
Saved in:
2
Dependence in credit default swap and equity markets : dynamic
copula
with Markov-switching
Fei, Fei
;
Fuertes, Ana María
;
Kalotychou, Elena
- In:
International journal of forecasting
33
(
2017
)
3
,
pp. 662-678
Persistent link: https://www.econbiz.de/10011746197
Saved in:
3
Application of
copula
-GARCH to estimate VaR of a portfolio with credit default swaps
Huang, Jhe-Jheng
;
So, Leh-Chyan
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 382-407
Persistent link: https://www.econbiz.de/10011874816
Saved in:
4
Copula
-MGARCH with continuous covariance decomposition
Herwartz, Helmut
;
Raters, Fabian H. C.
- In:
Economics letters
133
(
2015
),
pp. 73-76
Persistent link: https://www.econbiz.de/10011431988
Saved in:
5
Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
Siburg, Karl Friedrich
;
Stoimenov, Pavel
;
Weiß, Gregor
- In:
Journal of banking & finance
54
(
2015
),
pp. 129-140
Persistent link: https://www.econbiz.de/10011377805
Saved in:
6
Estimating dynamic
copula
dependence using intraday data
Grossmass, Lidan
;
Poon, Ser-Huang
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
4
,
pp. 501-529
Persistent link: https://www.econbiz.de/10011339412
Saved in:
7
A
copula
-GARCH model of conditional dependencies : estimating Tehran Market Stock Exchange value-at-risk
Shams, Sedigheh
;
Haghighi, Fatemeh K.
- In:
Journal of statistical and econometric methods
2
(
2013
)
2
,
pp. 39-50
based on fitting ARIMA, GARCH and ARMA-GARCH models and
copula
functions is applied. In such methodology, the dependency …
Persistent link: https://www.econbiz.de/10009769897
Saved in:
8
Is Bitcoin a better portfolio diversifier than gold? : a
copula
and sectoral analysis for China
Pho, Kim-Hung
;
Ly, Sel
;
Lu, Richard
;
Hoang, Thi Hong Van
; …
- In:
International review of financial analysis
74
(
2021
),
pp. 1-30
Persistent link: https://www.econbiz.de/10012803931
Saved in:
9
Dependency between risks and the insurer's economic capital : a
copula
-based GARCH model
Shim, Jeungbo
;
Lee, Seung-Hwan
- In:
Asia-Pacific journal of risk and insurance : APJRI
11
(
2017
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011671161
Saved in:
10
Estimating expected and unexpected losses for agricultural mortgage portfolios
Dressler, Jonathan B.
;
Tauer, Loren W.
- In:
American journal of agricultural economics
98
(
2016
)
5
,
pp. 1470-1485
Persistent link: https://www.econbiz.de/10011635556
Saved in:
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