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subject:"Risk measure"
subject:"Theorie"
~accessRights:"restricted"
~isPartOf:"Journal of econometrics"
~subject:"Hedging"
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Risk measure
Theorie
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Risikomanagement
14
Risk management
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9
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7
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7
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7
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5
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11
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Patton, Andrew J.
2
Zhang, Zhengjun
2
Bandi, Federico M.
1
Catania, Leopoldo
1
Chan, Thomas W. C.
1
Chang, Chia-Lin
1
Chen, Rong
1
Chen, Rui
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
Vickers, Byron
1
Wang, Weining
1
Wang, Zhicheng
1
Yu, Lining
1
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1
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Journal of econometrics
Insurance / Mathematics & economics
124
European journal of operational research : EJOR
93
SpringerLink / Bücher
68
Finance research letters
54
Journal of banking & finance
46
Energy economics
42
Journal of risk
34
The journal of operational risk
34
Quantitative finance
27
Management science : journal of the Institute for Operations Research and the Management Sciences
25
The North American journal of economics and finance : a journal of financial economics studies
22
Applied economics
21
Economic modelling
20
International review of financial analysis
20
Scandinavian actuarial journal
19
Discussion paper / Centre for Economic Policy Research
18
International review of economics & finance : IREF
18
The journal of risk model validation
18
Journal of Risk Finance
17
International journal of production research
16
International journal of production economics
15
The journal of portfolio management : JPM
15
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
15
Journal of empirical finance
14
Springer eBook Collection / Business and Economics
14
Computational economics
13
Pacific-Basin finance journal
13
Research in international business and finance
13
Springer eBook Collection
13
The European journal of finance
13
International journal of theoretical and applied finance
12
Journal of economic dynamics & control
12
North American actuarial journal : NAAJ ; leading the way with original research and innovative applications for actuarial science
12
Astin bulletin : the journal of the International Actuarial Association
10
Finance and stochastics
10
International journal of financial engineering
10
International journal of forecasting
10
Journal of financial stability
10
Journal of international financial markets, institutions & money
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1
Semiparametric modeling of multiple quantiles
Catania, Leopoldo
;
Luati, Alessandra
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10014471520
Saved in:
2
Dynamic factor copula models with estimated cluster assignments
Oh, Dong Hwan
;
Patton, Andrew J.
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014471820
Saved in:
3
ß in the tails
Bandi, Federico M.
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
Saved in:
4
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
5
ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupfler, Gilles
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 97-117
Persistent link: https://www.econbiz.de/10012618802
Saved in:
6
Mark to market value at risk
Chen, Yu
;
Wang, Zhicheng
;
Zhang, Zhengjun
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 299-321
Persistent link: https://www.econbiz.de/10012145015
Saved in:
7
Dynamic semiparametric models for expected shortfall (and Value-at-Risk)
Patton, Andrew J.
;
Ziegel, Johanna F.
;
Chen, Rui
- In:
Journal of econometrics
211
(
2019
)
2
,
pp. 388-413
Persistent link: https://www.econbiz.de/10012303806
Saved in:
8
Modeling maxima with autoregressive conditional Fréchet model
Zhao, Zifeng
;
Zhang, Zhengjun
;
Chen, Rong
- In:
Journal of econometrics
207
(
2018
)
2
,
pp. 325-351
Persistent link: https://www.econbiz.de/10012116357
Saved in:
9
TENET : Tail-Event driven NETwork risk
Härdle, Wolfgang
;
Wang, Weining
;
Yu, Lining
- In:
Journal of econometrics
192
(
2016
)
2
,
pp. 499-513
Persistent link: https://www.econbiz.de/10011704738
Saved in:
10
Robust inference of risks of large portfolios
Fan, Jianqing
;
Han, Fang
;
Liu, Han
;
Vickers, Byron
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 298-308
Persistent link: https://www.econbiz.de/10011705149
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