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~subject:"VAR-Modell"
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On the consistent use of VaR i...
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VAR-Modell
Theorie
622,279
Theory
607,191
USA
44,210
Portfolio-Management
43,714
Portfolio selection
43,366
United States
43,004
Schätzung
33,475
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17,023
Prognoseverfahren
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Forecasting model
14,916
Zeitreihenanalyse
13,883
Wirtschaftswachstum
13,822
VAR model
13,664
Time series analysis
13,468
Economic growth
13,211
Börsenkurs
13,160
Kapitaleinkommen
13,067
Capital income
13,027
Share price
12,941
Spieltheorie
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Volatilität
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Game theory
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Volatility
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Experiment
11,398
CAPM
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Lütkepohl, Helmut
160
Pesaran, M. Hashem
121
Mumtaz, Haroon
101
Marcellino, Massimiliano
99
Gupta, Rangan
93
Gambetti, Luca
84
Kilian, Lutz
82
Castelnuovo, Efrem
81
Koop, Gary
79
Huber, Florian
74
Carriero, Andrea
73
Canova, Fabio
72
Chudik, Alexander
66
Caggiano, Giovanni
65
Clark, Todd E.
65
Schorfheide, Frank
64
Giannone, Domenico
63
Theodoridis, Konstantinos
60
Benati, Luca
53
Österholm, Pär
53
Fève, Patrick
52
Korobilis, Dimitris
48
Jusélius, Katarina
47
Kapetanios, George
47
Kim, So-yŏng
47
Baumeister, Christiane
45
Saikkonen, Pentti
45
Smith, L. Vanessa
45
Belke, Ansgar
44
Johansen, Søren
44
Feldkircher, Martin
42
Nielsen, Morten Ørregaard
42
Minford, Patrick
40
Chan, Joshua
38
Lenza, Michele
38
Peersman, Gert
38
Forni, Mario
37
Rubio-Ramírez, Juan Francisco
36
Sala, Luca
36
Afonso, António
35
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National Bureau of Economic Research
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
24
European University Institute / Department of Economics
16
European University Institute / Department of Law
13
Federal Reserve Bank of St. Louis
11
Københavns Universitet / Økonomisk Institut
8
International Monetary Fund
7
Leibniz-Institut für Wirtschaftsforschung Halle
6
University of Strathclyde / Department of Economics
6
School of Finance and Business Economics <Perth, Western Australia>
5
University of Southampton / Department of Economics
5
Ekonomiska forskningsinstitutet <Stockholm>
4
Federal Reserve Bank of San Francisco
4
Innocenzo Gasparini Institute for Economic Research <Mailand>
4
Narodna Banka na Republika Makedonija
4
Task Force on Low Inflation (LIFT)
4
University of Leicester / Department of Economics
4
Center for Economic Research <Tilburg>
3
Escola de Pós-Graduação em Economia <Rio de Janeiro>
3
National Institute of Economic and Social Research
3
Nuffield College
3
Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes
3
University of California Davis / Department of Economics
3
University of Glasgow / Department of Economics
3
Brown University / Department of Economics
2
Centre for Analytical Finance <Århus>
2
Christian-Albrechts-Universität zu Kiel
2
Econometrisch Instituut <Rotterdam>
2
Institut für Weltwirtschaft
2
Institut national de la statistique et des études économiques <Frankreich> / Direction des études et synthèses économiques
2
Instituto Valenciano de Investigaciones Económicas
2
Konjunkturinstitutet <Stockholm>
2
Nationaløkonomiske Instituttet <Århus>
2
Panepistēmio Kypru / Kentro Oikonomikōn Ereunōn
2
Rijksuniversiteit Gent / Faculteit Economie en Bedrijfskunde
2
Robert Schuman Centre for Advanced Studies
2
Rutgers University / Department of Economics
2
Scuola superiore Sant'Anna di studi universitari e di perfezionamento / Laboratory of Economics and Management
2
Svenska Handelshögskolan <Helsinki>
2
Türkiye Cumhuriyet Merkez Bankası
2
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Applied economics
195
Economic modelling
194
Working paper series / European Central Bank
185
Working paper
182
Economics letters
165
Energy economics
159
ECB Working Paper
156
Discussion paper / Centre for Economic Policy Research
155
CESifo working papers
138
Journal of international money and finance
132
Journal of econometrics
125
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
117
CAMA working paper series
114
IMF working papers
112
Journal of economic dynamics & control
102
International journal of forecasting
92
Working paper / National Bureau of Economic Research, Inc.
90
Journal of macroeconomics
88
NBER working paper series
88
Applied economics letters
87
Discussion papers / CEPR
81
Macroeconomic dynamics
80
Journal of applied econometrics
77
International Journal of Energy Economics and Policy : IJEEP
75
International review of economics & finance : IREF
72
Discussion paper
70
Discussion papers / Deutsches Institut für Wirtschaftsforschung
70
NBER Working Paper
69
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
68
Journal of monetary economics
68
The North American journal of economics and finance : a journal of financial economics studies
60
Finance research letters
54
Working paper series
54
Journal of forecasting
52
IMF Working Paper
48
European economic review : EER
47
Journal of banking & finance
47
Working papers
47
CESifo Working Paper
45
Journal of money, credit and banking : JMCB
45
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ECONIS (ZBW)
13,421
EconStor
378
OLC EcoSci
9
ArchiDok
8
RePEc
5
BASE
1
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1
Return or position-based value at risk?
Huillard d'Aignaux, Jérôme
;
Baranne, Benjamin
;
Fuchs, …
- In:
International Journal of Portfolio Analysis and Management
1
(
2014
)
4
,
pp. 301-313
Persistent link: https://www.econbiz.de/10010472817
Saved in:
2
VAR without correlations for portfolios of derivative securities
Barone-Adesi, Giovanni
;
Giannopoulos, Kostas
;
Vosper, Les
- In:
The journal of futures markets
19
(
1999
)
5
,
pp. 583-602
Persistent link: https://www.econbiz.de/10001410433
Saved in:
3
Equivalence of robust VaR and CVaR optimization
Lofti, Somayyeh
;
Zenios, Stauros Andrea
-
2016
-
Date of first version: April 4, 2016
Persistent link: https://www.econbiz.de/10011539339
Saved in:
4
A
theory
of risk capital
Erel, Isil
;
Myers, Stewart C.
;
Read, James A.
- In:
Journal of financial economics
118
(
2015
)
3
,
pp. 620-635
Persistent link: https://www.econbiz.de/10011480544
Saved in:
5
Modelling portfolio capital flows in a global framework : multilateral implications of capital controls
Boero, Gianna
;
Mandalinci, Zeyyad
;
Taylor, Mark P.
- In:
Journal of international money and finance
90
(
2019
),
pp. 142-160
Persistent link: https://www.econbiz.de/10012132969
Saved in:
6
Optimal stop-loss reinsurance under the VaR and CTE risk measures : variable transformation method
Du, Junhong
;
Li, Zhiming
;
Wu, Lijun
- In:
Computational economics
53
(
2019
)
3
,
pp. 1133-1151
Persistent link: https://www.econbiz.de/10012135119
Saved in:
7
Multi-moment risk, hedging strategies, & the business cycle
Racicot, François-Éric
;
Théoret, Raymond
- In:
International review of economics & finance : IREF
58
(
2018
),
pp. 637-675
Persistent link: https://www.econbiz.de/10012034253
Saved in:
8
Portfolio optimization through Kriging methods
Barrosa, Marcelo Rosário da
;
Salles, Arthur Valle
; …
- In:
Applied economics
48
(
2016
)
49/51
,
pp. 4894-4905
Persistent link: https://www.econbiz.de/10011641047
Saved in:
9
Solutions to the portfolio choice problem with VAR objective functions
Wilson, Linus
- In:
Economics, management and financial markets
10
(
2015
)
4
,
pp. 29-46
Persistent link: https://www.econbiz.de/10011555113
Saved in:
10
VaR performance during the subprime and sovereign debt crises : an application to emerging markets
Brio, Esther B. del
;
Mora-Valencia, Andrés
;
Perote, Javier
- In:
Emerging markets review
20
(
2014
),
pp. 23-41
Persistent link: https://www.econbiz.de/10010419480
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