//--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~accessRights:"free"
~person:"Daníelsson, Jón"
~person:"Mittnik, Stefan"
~type_genre:"Article in journal"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Value at Risk"
Narrow search
Delete all filters
| 4 applied filters
Year of publication
From:
To:
Subject
All
ARCH model
1
ARCH-Modell
1
Capital income
1
GARCH model
1
Kapitaleinkommen
1
Markov chain
1
Markov regime-switching model
1
Markov-Kette
1
Portfolio selection
1
Portfolio-Management
1
Risikomaß
1
Risk measure
1
Statistical distribution
1
Statistische Verteilung
1
Theorie
1
Theory
1
Volatility
1
Volatilität
1
conditional drawdown-at-risk
1
conditional value-at-risk
1
normal tempered stable distribution
1
portfolio optimization
1
more ...
less ...
Online availability
All
Free
Undetermined
1
Type of publication
All
Article
1
Type of publication (narrower categories)
All
Article in journal
Working Paper
24
Arbeitspapier
14
Graue Literatur
13
Non-commercial literature
13
Article
1
Aufsatz in Zeitschrift
1
more ...
less ...
Language
All
English
1
Author
All
Daníelsson, Jón
Mittnik, Stefan
Nadarajah, Saralees
5
Chlebus, Marcin
4
Hofert, Marius
4
Uryasev, Stan
4
Frahm, Gabriel
3
Gutiérrez, Raúl de Jesús
3
Hakim, Arief
3
McAleer, Michael
3
Muteba Mwamba, John
3
Powell, Robert
3
Rossello, Damiano
3
Syuhada, Khreshna
3
Vasileiou, Evangelos
3
Abbara, Omar
2
Allen, David E.
2
Almeida, Caio
2
Altun, Emrah
2
Alwan, Layth C.
2
Ammari, Mustapha
2
Arias-Serna, M. Andrea
2
Balbás de la Corte, Alejandro
2
Baresa, Suzana
2
Bogdan, Sinisa
2
Bräutigam, Marcel
2
Buberkoku, Onder
2
Caro-Lopera, Francisco J.
2
Ceretta, Paulo Sergio
2
Chan, Stephen
2
Cheridito, Patrick
2
Cheung, Yun-hsing
2
Chikobvu, Delson
2
Costabile, Massimo
2
Cummins, Mark
2
Czado, Claudia
2
Delage, Erick
2
Desmettre, Sascha
2
Dimitriadis, Timo
2
Ding, Rui
2
Ernst, Dietmar
2
Garrido, José
2
more ...
less ...
Published in...
All
Journal of risk and financial management : JRFM
1
Source
All
ECONIS (ZBW)
1
Showing
1
-
1
of
1
Sort
Relevance
Date (newest first)
Date (oldest first)
1
Portfolio optimization on multivariate regime-switching garch model with normal tempered stable innovation
Peng, Cheng
;
Kim, Young Shin
;
Mittnik, Stefan
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
5
,
pp. 1-23
Hidden Markov Model. (ii) We use tail risk measures, namely conditional
value-at-risk
(CVaR) and conditional drawdown …
Persistent link: https://www.econbiz.de/10013273511
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->