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language:"eng"
subject:"Risikomaß"
~isPartOf:"Journal of empirical finance"
~subject:"Katastrophe"
~subject:"Schätzung"
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Risikomaß
Katastrophe
Schätzung
Risikomanagement
31
Risk management
31
Theorie
21
Theory
21
Portfolio selection
13
Portfolio-Management
13
Risk measure
12
Risiko
11
Risk
11
Statistical distribution
6
Statistische Verteilung
6
Credit risk
5
Hedging
5
Kreditrisiko
5
Capital income
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Extreme value theory
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ARCH-Modell
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English
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Allen, David
1
Almeida, Helena Tenório Veiga de
1
Bernardi, Mauro
1
Cai, Jun
1
Changchien, Chang-Cheng
1
Chen Zhou
1
Christoffersen, Peter F.
1
Du, Jiangze
1
Fabozzi, Frank J.
1
Fries, Christian
1
Grané, Aurea
1
Haghani, Shermineh
1
Hahn, Jinyong
1
Hanson, Samuel G.
1
Hsu, Yuan-Teng
1
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1
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1
Kao, Tzu-Chuan
1
Kao, Wei-Shun
1
Lin, Chu-Hsiung
1
Lizieri, Colin
1
Mainik, Georg
1
Marcus, Alan J.
1
Maruotti, Antonello
1
Mitov, Georgi
1
Nigbur, Tobias
1
Ortobelli, Sergio
1
Pesaran, M. Hashem
1
Petrella, Lea
1
Račev, Svetlozar T.
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Rhee, S. Ghon
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Rüschendorf, Ludger
1
Satchell, Stephen
1
Schuermann, Til
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Seeger, Norman
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Sun, Pengfei
1
Wang, Jying-Nan
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Journal of empirical finance
Insurance / Mathematics & economics
99
Risks : open access journal
61
Journal of banking & finance
57
European journal of operational research : EJOR
44
World Bank E-Library Archive
43
Journal of risk
42
Economic modelling
29
Energy economics
28
Finance research letters
28
The journal of operational risk
28
The North American journal of economics and finance : a journal of financial economics studies
27
International review of financial analysis
24
Journal of risk management in financial institutions
22
The journal of risk model validation
21
International journal of risk assessment and management : IJRAM
20
Discussion paper / Tinbergen Institute
19
Quantitative finance
18
Risk and Vulnerability Assessment
18
SpringerLink / Bücher
17
Applied economics
16
International journal of theoretical and applied finance
16
International review of economics & finance : IREF
16
Journal of risk and financial management : JRFM
16
The European journal of finance
14
Research paper series / Swiss Finance Institute
13
Working paper / National Bureau of Economic Research, Inc.
13
Working papers
13
Finance and stochastics
12
International journal of forecasting
12
Journal of econometrics
12
Journal of international financial markets, institutions & money
12
NBER working paper series
12
Pacific-Basin finance journal
12
The Geneva papers on risk and insurance - issues and practice : an official journal of the Geneva Association
12
Working paper
12
Computational economics
11
Other Financial Sector Study
11
World Bank Policy Research Working Paper
11
International journal of production research
10
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ECONIS (ZBW)
14
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1
Bank stocks, risk factors, and tail behavior
Yang, Huan
;
Cai, Jun
;
Huang, Lin
;
Marcus, Alan J.
- In:
Journal of empirical finance
63
(
2021
),
pp. 203-229
Persistent link: https://www.econbiz.de/10013259284
Saved in:
2
A comparison of non-Gaussian VaR estimation and portfolio construction techniques
Allen, David
;
Lizieri, Colin
;
Satchell, Stephen
- In:
Journal of empirical finance
58
(
2020
),
pp. 356-368
Persistent link: https://www.econbiz.de/10012430709
Saved in:
3
Conditional extreme risk, black swan hedging, and asset prices
Rhee, S. Ghon
;
Wu, Feng
- In:
Journal of empirical finance
58
(
2020
),
pp. 412-435
Persistent link: https://www.econbiz.de/10012430713
Saved in:
4
Measuring long-term tail risk : evaluating the performance of the square-root-of-time rule
Wang, Jying-Nan
;
Du, Jiangze
;
Hsu, Yuan-Teng
- In:
Journal of empirical finance
47
(
2018
),
pp. 120-138
Persistent link: https://www.econbiz.de/10012103480
Saved in:
5
Multiple risk measures for multivariate dynamic heavy-tailed models
Bernardi, Mauro
;
Maruotti, Antonello
;
Petrella, Lea
- In:
Journal of empirical finance
43
(
2017
),
pp. 1-32
Persistent link: https://www.econbiz.de/10011817885
Saved in:
6
Displaced relative changes in historical simulation : application to risk measures of interest rates with phases of negative rates
Fries, Christian
;
Nigbur, Tobias
;
Seeger, Norman
- In:
Journal of empirical finance
42
(
2017
),
pp. 175-198
Persistent link: https://www.econbiz.de/10011808562
Saved in:
7
Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz
Mainik, Georg
;
Mitov, Georgi
;
Rüschendorf, Ludger
- In:
Journal of empirical finance
32
(
2015
),
pp. 115-134
Persistent link: https://www.econbiz.de/10011556804
Saved in:
8
High-order moments and extreme value approach for value-at-risk
Lin, Chu-Hsiung
;
Changchien, Chang-Cheng
;
Kao, Tzu-Chuan
; …
- In:
Journal of empirical finance
29
(
2014
),
pp. 421-434
Persistent link: https://www.econbiz.de/10011300450
Saved in:
9
Diagnosing the distribution of GARCH innovations
Sun, Pengfei
;
Chen Zhou
- In:
Journal of empirical finance
29
(
2014
),
pp. 287-303
Persistent link: https://www.econbiz.de/10011300465
Saved in:
10
Modeling hedge fund lifetimes : a dependent competing risks framework with latent exit types
Haghani, Shermineh
- In:
Journal of empirical finance
28
(
2014
),
pp. 291-320
Persistent link: https://www.econbiz.de/10011285627
Saved in:
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