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subject:"Credit risk"
~isPartOf:"Journal of forecasting"
~isPartOf:"The European journal of finance"
~subject:"Volatilität"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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Credit risk
Volatilität
Risikomaß
80
Risk measure
80
Theorie
41
Theory
41
Forecasting model
39
Prognoseverfahren
39
Portfolio selection
30
Portfolio-Management
30
ARCH model
23
ARCH-Modell
23
Statistical distribution
19
Statistische Verteilung
19
Volatility
18
Risikomanagement
16
Risk management
16
Risiko
15
Risk
15
value-at-risk
13
Capital income
12
Kapitaleinkommen
12
value at risk
11
expected shortfall
10
Measurement
9
Messung
9
Estimation
8
Financial crisis
8
Finanzkrise
8
Multivariate Verteilung
8
Multivariate distribution
8
Schätzung
8
Time series analysis
8
Zeitreihenanalyse
8
Basel Accord
6
Basler Akkord
6
Estimation theory
6
Schätztheorie
6
Systemic risk
6
Systemrisiko
6
risk management
6
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2
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Article
23
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23
Conference paper
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English
23
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Chen, Cathy W. S.
2
Lin, Edward M. H.
2
Arteche, Josu
1
Barone-Adesi, Giovanni
1
Bernard, Carole
1
Bernardi, Mauro
1
Brio, Esther B. del
1
Catania, Leopoldo
1
Cheng, Yihan
1
Chondrogiannis, Ilias
1
Dendramis, Yiannis
1
Fall, Malick
1
Freeman, Mark
1
García-Enríquez, Javier
1
Giannopoulos, Kostas
1
Giot, Pierre
1
Han, Chulwoo
1
Hu, Yu-pin
1
Huang, Tara F. J.
1
Jeon, Jooyoung
1
Kaplanski, Guy
1
Ke, Tsung-han
1
Levy, Haim
1
Li, Chenxing
1
Li, Handong
1
Liu, Ruipeng
1
Louzis, Dimitrios P.
1
Lux, Thomas
1
Maheu, John M.
1
Mitra, Sovan
1
Mora-Valencia, Andrés
1
Perote, Javier
1
Petrella, Lea
1
Refenes, Apostolos-Paul
1
Rüschendorf, Ludger
1
Segnon, Mawuli
1
So, Mike Ka-pui
1
Song, Shijia
1
Spungin, Giles E.
1
Taylor, James W.
1
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Published in...
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Journal of forecasting
The European journal of finance
Journal of banking & finance
43
Energy economics
38
Finance research letters
38
The North American journal of economics and finance : a journal of financial economics studies
35
Journal of risk
26
The journal of risk model validation
24
International review of financial analysis
23
Economic modelling
21
International journal of forecasting
21
Risks : open access journal
19
The journal of credit risk : published quarterly by Incisive Media
19
Journal of empirical finance
17
Journal of international financial markets, institutions & money
17
Journal of risk and financial management : JRFM
17
Discussion paper / Tinbergen Institute
16
International review of economics & finance : IREF
16
Applied economics
14
Econometric Institute research papers
13
Working paper
13
Computational economics
12
European journal of operational research : EJOR
11
Journal of risk management in financial institutions
11
International journal of economics and financial issues : IJEFI
10
International journal of theoretical and applied finance
10
Research paper series / Swiss Finance Institute
10
Insurance / Mathematics & economics
9
Journal of econometrics
9
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Journal of financial services research : JFSR
8
Pacific-Basin finance journal
8
Quantitative finance
8
School of Accounting, Finance and Economics & FEMARC working paper series
8
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
8
Discussion paper / Deutsche Bundesbank
7
Journal of mathematical finance
7
Swiss Finance Institute Research Paper
7
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
7
Working papers
7
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ECONIS (ZBW)
23
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1
Are fund managers incentivised to ignore stock market jumps?
Chondrogiannis, Ilias
;
Freeman, Mark
;
Vivian, Andrew
- In:
The European journal of finance
29
(
2023
)
15
,
pp. 1793-1823
Persistent link: https://www.econbiz.de/10014388504
Saved in:
2
Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets
Wang, Man
;
Cheng, Yihan
- In:
Journal of forecasting
41
(
2022
)
8
,
pp. 1595-1607
Persistent link: https://www.econbiz.de/10013465725
Saved in:
3
Forecasting VaR and ES in emerging markets : the role of time-varying higher moments
Trung Hai Le
- In:
Journal of forecasting
43
(
2024
)
2
,
pp. 402-414
Persistent link: https://www.econbiz.de/10014475347
Saved in:
4
A multivariate GARCH-jump mixture model
Li, Chenxing
;
Maheu, John M.
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
Saved in:
5
A new model for forecasting VaR and ES using intraday returns aggregation
Song, Shijia
;
Li, Handong
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1039-1054
Persistent link: https://www.econbiz.de/10014338800
Saved in:
6
Singular spectrum analysis for value at risk in stochastic volatility models
Arteche, Josu
;
García-Enríquez, Javier
- In:
Journal of forecasting
41
(
2022
)
1
,
pp. 3-16
Persistent link: https://www.econbiz.de/10012796265
Saved in:
7
Bayesian quantile forecasting via the realized hysteretic GARCH model
Chen, Cathy W. S.
;
Lin, Edward M. H.
;
Huang, Tara F. J.
- In:
Journal of forecasting
41
(
2022
)
7
,
pp. 1317-1337
Persistent link: https://www.econbiz.de/10013465697
Saved in:
8
Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications
Brio, Esther B. del
;
Mora-Valencia, Andrés
;
Perote, Javier
- In:
The European journal of finance
25
(
2019
)
17
,
pp. 1746-1764
Persistent link: https://www.econbiz.de/10012207145
Saved in:
9
Estimating the joint tail risk under the filtered historical simulation : an application to the CCP's default and waterfall fund
Barone-Adesi, Giovanni
;
Giannopoulos, Kostas
;
Vosper, Les
- In:
The European journal of finance
24
(
2018
)
4/6
,
pp. 413-425
Persistent link: https://www.econbiz.de/10012244329
Saved in:
10
Forecasting market risk of portfolios: copula-Markov switching multifractal approach
Segnon, Mawuli
;
Trede, Mark
- In:
The European journal of finance
24
(
2018
)
14
,
pp. 1123-1143
Persistent link: https://www.econbiz.de/10012258877
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