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Bayesian Tail Risk Forecasting...
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Risk management
14,103
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4,474
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4,132
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Ivanov, Dmitry
46
Gleißner, Werner
42
McAleer, Michael
34
Fabozzi, Frank J.
31
Hammoudeh, Shawkat
30
Wang, Ruodu
29
Broll, Udo
27
Righi, Marcelo Brutti
26
Gatzert, Nadine
25
Dolgui, Alexandre
23
Dionne, Georges
21
Sawik, Tadeusz
21
Eling, Martin
20
Tan, Ken Seng
20
Tiwari, Aviral Kumar
20
Boonen, Tim J.
19
Gupta, Rangan
19
Ji, Qiang
19
Mensi, Walid
19
Li, Jianping
18
Guillén, Montserrat
17
Härdle, Wolfgang
17
Račev, Svetlozar T.
17
Turvey, Calum Greig
17
Uryasev, Stan
17
Wagner, Stephan M.
17
Kang, Sang Hoon
16
McConnell, Patrick
16
Mußhoff, Oliver
16
Romeike, Frank
16
Talluri, Srinivas
16
Todorov, Viktor
16
Van Vuuren, Gary
16
Weiß, Gregor
16
Caporin, Massimiliano
15
Cheung, Ka Chun
15
Choi, Tsan-Ming
15
Liu, Shan
15
Nguyen, Duc Khuong
15
Parast, Mahour Mellat
15
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Asian Development Bank
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Associacija Menedžerov
1
Bank für Internationalen Zahlungsausgleich
1
Basel Committee on Banking Supervision
1
Capgemini S.A. <Paris>
1
Conference on Emerging Markets Risk Management <2012, Hongkong>
1
Conference on Liquidity Risk Management <2012, New York, NY>
1
Crop Insurance and Risk Management Workshop <2007, Rehoboth Beach, Del.>
1
Erich-Schmidt-Verlag <Berlin>
1
Financial Markets Conference - Hedge Funds: Creators of Risk? <2006, Atlanta, Ga.>
1
Financial Markets Conference, Credit Derivatives: Where's the Risk? <2007, Atlanta, Ga.>
1
Fordham University
1
HFDF <2, 1998, Zürich>
1
IARFIC <2., 2013, Vancouver, British Columbia>
1
International Risk Management Conference <5, 2012, Rom>
1
Internationaler Währungsfonds
1
Northeastern Agricultural and Resource Economics Association
1
Oesterreichische Nationalbank / Abteilung für Finanzmarktanalyse
1
Oesterreichische Nationalbank / Auslands-Analyse-Abteilung
1
Philippine Institute for Development Studies <Makati>
1
Risk Management Conference <2008, Singapur>
1
Risk Management Reform of Banking Regulation Conference <2013, Peking>
1
Seminar on Statistical and Computational Problems in Risk Management: VaR and Beyond VaR <2001, Rom>
1
Slovensko društvo informatika
1
Università degli studi di Roma "La Sapienza"
1
Weltbank
1
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Journal of banking & finance
348
Insurance / Mathematics & economics
343
European journal of operational research : EJOR
297
Journal of risk management in financial institutions
296
Risks : open access journal
292
Finance research letters
279
International journal of production research
253
Journal of risk and financial management : JRFM
218
International journal of production economics
197
Energy economics
184
International review of financial analysis
181
Risiko-Manager
170
Journal of risk
162
The journal of operational risk
161
International journal of risk assessment and management : IJRAM
142
Economic modelling
123
Applied economics
122
The North American journal of economics and finance : a journal of financial economics studies
118
International journal of project management : the journal of The International Project Management Association
111
International review of economics & finance : IREF
101
Quantitative finance
100
Journal of econometrics
98
Management science : journal of the Institute for Operations Research and the Management Sciences
95
Research in international business and finance
93
Journal of empirical finance
91
The journal of risk model validation
91
Risk management : a journal of risk, crisis and disaster
88
The European journal of finance
86
Agricultural finance review
81
Applied economics letters
81
Journal of international financial markets, institutions & money
75
Zeitschrift für das gesamte Kreditwesen : Pflichtblatt der Frankfurter Wertpapierbörse
75
International journal of forecasting
74
The Geneva papers on risk and insurance - issues and practice : an official journal of the Geneva Association
73
International journal of economics and financial issues : IJEFI
71
International journal of theoretical and applied finance
70
Transportation research / E : an international journal
70
Pacific-Basin finance journal
69
Die Bank
67
Journal of financial economics
66
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ECONIS (ZBW)
18,533
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1
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10
of
18,533
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date (oldest first)
1
Neural network predictive modeling on dynamic portfolio management : a simulation-based portfolio optimization approach
Yu, Jiayang
;
Chang, Kuo-Chu
- In:
Journal of risk and financial management : JRFM
13
(
2020
)
11/285
,
pp. 1-23
-based Predictive Model (EFPM). Then, we combine it with the Copula-
GARCH
simulation model and the Mean-Conditional Value at Risk (Mean-
CVaR
…, Sharpe ratio, maximum drawdown, and 99%
CVaR
. …
Persistent link: https://www.econbiz.de/10012388728
Saved in:
2
Forecasting Bitcoin risk measures : a robust approach
Trucíos, Carlos
- In:
International journal of forecasting
35
(
2019
)
3
,
pp. 836-847
Persistent link: https://www.econbiz.de/10012305182
Saved in:
3
Impact of non-normal return and market capitalization on estimation of VaR
Sinha, Pankaj
;
Agnihotri, Shalini
- In:
Journal of Indian business research
7
(
2015
)
3
,
pp. 222-242
Persistent link: https://www.econbiz.de/10011413255
Saved in:
4
A differential evolution copula-based approach for a multi-period cryptocurrency portfolio optimization
Mba, Jules Clement
;
Pindza, Edson
;
Koumba, Ur
- In:
Financial markets and portfolio management
32
(
2018
)
4
,
pp. 399-418
Persistent link: https://www.econbiz.de/10011952000
Saved in:
5
Hedge funds portfolio optimisation using a vine copula-
GARCH-EVT-CVaR
model
Bedoui, Rihab
;
Noiali, Sameh
;
Hamdi, Haykel
- In:
International journal of entrepreneurship and small …
39
(
2020
)
1/2
,
pp. 121-148
Persistent link: https://www.econbiz.de/10012176750
Saved in:
6
Portfolio optimization through hybrid deep learning and genetic algorithms vine Copula-
GARCH-EVT-CVaR
model
Bedoui, Rihab
;
Benkraiem, Ramzi
;
Guesmi, Khaled
; …
- In:
Technological forecasting & social change : an …
197
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014468847
Saved in:
7
A practitioner's guide to address fat tails and downside risk in portfolio construction
Xu, Eva A.
;
Tarkin, Eric L.
- In:
Journal of investment management : JOIM
21
(
2023
)
2
,
pp. 4-20
Persistent link: https://www.econbiz.de/10014390390
Saved in:
8
The relationship between conditional value at risk and option prices with a closed-form solution
Mitra, Sovan
- In:
The European journal of finance
21
(
2015
)
4/6
,
pp. 400-425
Persistent link: https://www.econbiz.de/10010528975
Saved in:
9
Optimal allocation of retirement portfolios
Maritato, Kevin
;
Lane, Morton
;
Murphy, Matthew
; …
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
2
,
pp. 1-17
with risk measured by
CVaR
and additional sophisticated constraints. The cash outflow shortages are penalized in the …
Persistent link: https://www.econbiz.de/10013206042
Saved in:
10
Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach
Wing, Jean Paul Chung
;
Gonpot, Preethee Nunkoo
- In:
The journal of risk model validation
9
(
2015
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011410313
Saved in:
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