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subject:"Risk measure"
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Risk measure
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Journal of empirical finance
Insurance / Mathematics & economics
22
Journal of banking & finance
13
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9
Discussion paper / Tinbergen Institute
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International review of financial analysis
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The North American journal of economics and finance : a journal of financial economics studies
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Forecasting tail risk measures for financial time series : an extreme value approach with covariates
James, Robert
;
Leung, Henry
;
Leung, Jessica Wai Yin
; …
- In:
Journal of empirical finance
71
(
2023
),
pp. 29-50
Persistent link: https://www.econbiz.de/10014292519
Saved in:
2
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:
3
Realizing the extremes : estimation of tail-risk measures from a high-frequency perspective
Bee, Marco
;
Dupuis, Debbie J.
;
Trapin, Luca
- In:
Journal of empirical finance
36
(
2016
),
pp. 86-99
Persistent link: https://www.econbiz.de/10011662757
Saved in:
4
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:
5
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:
6
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:
7
Value at risk forecasts by extreme value models in a conditional duration framework
Herrera, Rodrigo
;
Schipp, Bernhard
- In:
Journal of empirical finance
23
(
2013
),
pp. 33-47
Persistent link: https://www.econbiz.de/10010221789
Saved in:
8
Predicting tail-related risk measures : the consequences of using GARCH filters for non-GARCH data
Jalal, Amine
;
Rockinger, Michael
- In:
Journal of empirical finance
15
(
2008
)
5
,
pp. 868-877
Persistent link: https://www.econbiz.de/10003776390
Saved in:
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