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isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~isPartOf:"Computational economics"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Theory"
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Risikomaß
126
Risk measure
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Portfolio selection
50
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Asai, Manabu
3
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The journal of derivatives : the official publication of the International Association of Financial Engineers
Computational economics
The North American journal of economics and finance : a journal of financial economics studies
Insurance / Mathematics & economics
173
European journal of operational research : EJOR
85
Journal of banking & finance
83
Risks : open access journal
69
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40
Economic modelling
36
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34
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International journal of forecasting
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Scandinavian actuarial journal
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SFB 649 discussion paper
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Mathematical finance : an international journal of mathematics, statistics and financial theory
22
Research paper series / Swiss Finance Institute
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The European journal of finance
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Journal of econometrics
21
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The journal of credit risk : published quarterly by Incisive Media
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The journal of risk model validation
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Journal of economic dynamics & control
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Operations research letters
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Astin bulletin : the journal of the International Actuarial Association
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SpringerLink / Bücher
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Energy economics
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Journal of risk management in financial institutions
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Dresdner Beiträge zu quantitativen Verfahren
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ECONIS (ZBW)
43
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1
Comparison of Value at Risk (VaR) multivariate forecast models
Müller, Fernanda Maria
;
Righi, Marcelo Brutti
- In:
Computational economics
63
(
2024
)
1
,
pp. 75-110
Persistent link: https://www.econbiz.de/10014471980
Saved in:
2
Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis
Afuecheta, Emmanuel
;
Okorie, Idika E.
;
Nadarajah, Saralees
- In:
Computational economics
63
(
2024
)
1
,
pp. 271-304
Persistent link: https://www.econbiz.de/10014472109
Saved in:
3
Importance sampling for calculating the Value-at-Risk and expected shortfall of the quadratic portfolio with t-distributed risk factors
Teng, Huei-Wen
- In:
Computational economics
62
(
2023
)
3
,
pp. 1125-1154
Persistent link: https://www.econbiz.de/10014382887
Saved in:
4
Deviation-based model risk measures
Berkhouch, Mohammed
;
Müller, Fernanda Maria
;
Lakhnati, …
- In:
Computational economics
59
(
2022
)
2
,
pp. 527-547
Persistent link: https://www.econbiz.de/10013169017
Saved in:
5
Inaccurate value at risk estimations : bad modeling or inappropriate data?
Vasileiou, Evangelos
- In:
Computational economics
59
(
2022
)
3
,
pp. 1155-1171
Persistent link: https://www.econbiz.de/10013169235
Saved in:
6
Early warning of Chinese Yuan's exchange rate fluctuation and value at risk measure using neural network joint optimization algorithm
Xu, Zhaoyi
;
Zeng, Yuqing
;
Xue, Yangrong
;
Yang, Shenggang
- In:
Computational economics
60
(
2022
)
4
,
pp. 1293-1315
Persistent link: https://www.econbiz.de/10013445750
Saved in:
7
Estimation of expected shortfall using quantile regression : a comparison study
Christou, Eliana
;
Grabchak, Michael
- In:
Computational economics
60
(
2022
)
2
,
pp. 725-753
Persistent link: https://www.econbiz.de/10013380827
Saved in:
8
Network VAR models to measure financial contagion
Ahelegbey, Daniel Felix
;
Giudici, Paolo
;
Hashem, Shatha …
- In:
The North American journal of economics and finance : a …
55
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012668002
Saved in:
9
Sample average approximation of CVaR-based hedging problem with a deep-learning solution
Peng, Cheng
;
Li, Shuang
;
Zhao, Yanlong
;
Bao, Ying
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012821981
Saved in:
10
On a bivariate hysteretic AR-GARCH model with conditional asymmetry in correlations
Chen, Cathy W. S.
;
Than-Thi, Hong
;
Asai, Manabu
- In:
Computational economics
58
(
2021
)
2
,
pp. 413-433
Persistent link: https://www.econbiz.de/10012615031
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