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subject:"ARCH model"
subject:"Risikomaß"
~isPartOf:"Insurance / Mathematics & economics"
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ARCH model
Risikomaß
Risk management
217
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116
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98
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Mao, Tiantian
6
Cossette, Hélène
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Hu, Taizhong
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Tan, Ken Seng
4
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4
Cai, Jun
3
Cheung, Ka Chun
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Insurance / Mathematics & economics
Risks : open access journal
57
Journal of banking & finance
53
European journal of operational research : EJOR
40
Journal of risk
40
Finance research letters
33
Energy economics
29
Economic modelling
27
The journal of operational risk
27
The North American journal of economics and finance : a journal of financial economics studies
24
The journal of risk model validation
23
International review of financial analysis
21
Journal of risk management in financial institutions
21
Quantitative finance
20
Discussion paper / Tinbergen Institute
17
International review of economics & finance : IREF
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International journal of theoretical and applied finance
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Journal of risk and financial management : JRFM
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Applied economics
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The European journal of finance
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International journal of forecasting
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SpringerLink / Bücher
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Journal of empirical finance
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Research in international business and finance
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International journal of finance & economics : IJFE
10
International journal of risk assessment and management : IJRAM
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Journal of international financial markets, institutions & money
10
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
10
Journal of financial econometrics
9
Journal of mathematical finance
9
Pacific-Basin finance journal
9
Scandinavian actuarial journal
9
The journal of credit risk : published quarterly by Incisive Media
9
Applied economics letters
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Astin bulletin : the journal of the International Actuarial Association
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ECONIS (ZBW)
93
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1
Two-stage nested simulation of tail risk measurement : a likelihood ratio approach
Dang, Ou
;
Feng, Mingbin
;
Hardy, Mary Rosalyn
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013534507
Saved in:
2
Inf-convolution and optimal allocations for mixed-VaRs
Xia, Zichao
;
Zou, Zhenfeng
;
Hu, Taizhong
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 156-164
Persistent link: https://www.econbiz.de/10013534516
Saved in:
3
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
Mao, Tiantian
;
Stupfler, Gilles
;
Yang, Fan
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 173-192
Persistent link: https://www.econbiz.de/10014317144
Saved in:
4
Empirical tail risk management with model-based annealing random search
Fan, Qi
;
Tan, Ken Seng
;
Zhang, Jinggong
- In:
Insurance / Mathematics & economics
110
(
2023
),
pp. 106-124
Persistent link: https://www.econbiz.de/10014282478
Saved in:
5
Risk aggregation and capital allocation using a new generalized Archimedean copula
Marri, Fouad
;
Moutanabbir, Khouzeima
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 75-90
Persistent link: https://www.econbiz.de/10013271960
Saved in:
6
Systemic risk : conditional distortion risk measures
Dhaene, Jan
;
Laeven, Roger J. A.
;
Zhang, Yiying
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 126-145
Persistent link: https://www.econbiz.de/10013271967
Saved in:
7
Risk aggregation under dependence uncertainty and an order constraint
Chen, Yuyu
;
Lin, Liyuan
;
Wang, Ruodu
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 169-187
Persistent link: https://www.econbiz.de/10013271969
Saved in:
8
Statistical inference for tail-based cumulative residual entropy
Sun, Hongfang
;
Chen, Yu
;
Hu, Taizhong
- In:
Insurance / Mathematics & economics
103
(
2022
),
pp. 66-95
Persistent link: https://www.econbiz.de/10013198327
Saved in:
9
Estimating and backtesting risk under heavy tails
Pitera, Marcin
;
Schmidt, Thorsten
- In:
Insurance / Mathematics & economics
104
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013264930
Saved in:
10
On capital allocation for a risk measure derived from ruin theory
Delsing, G. A.
;
Mandjes, Michel
;
Spreij, P. J. C.
; …
- In:
Insurance / Mathematics & economics
104
(
2022
),
pp. 76-98
Persistent link: https://www.econbiz.de/10013264939
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