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~isPartOf:"Annals of financial economics"
~subject:"Electronic money"
~subject:"Prognoseverfahren"
~subject:"Risikomaß"
~type_genre:"Article in journal"
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Risk measure
9
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Paolella, Marc S.
2
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Annals of financial economics
Insurance / Mathematics & economics
217
Journal of banking & finance
181
Journal of risk
123
Finance research letters
114
European journal of operational research : EJOR
113
Risks : open access journal
108
Energy economics
74
International review of financial analysis
74
Economic modelling
71
The North American journal of economics and finance : a journal of financial economics studies
67
The journal of risk model validation
67
International journal of forecasting
59
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55
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Journal of risk and financial management : JRFM
52
International journal of theoretical and applied finance
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The journal of operational risk
47
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International review of economics & finance : IREF
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Research in international business and finance
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Journal of economic dynamics & control
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Applied economics letters
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Journal of international financial markets, institutions & money
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Scandinavian actuarial journal
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Pacific-Basin finance journal
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Operations research letters
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1
Density and risk prediction with non-Gaussian COMFORT models
Paolella, Marc S.
;
Polak, Pawel
- In:
Annals of financial economics
18
(
2023
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10014442390
Saved in:
2
Universal risk budgeting
Garivaltis, Alex
- In:
Annals of financial economics
16
(
2021
)
3
,
pp. 1-18
Persistent link: https://www.econbiz.de/10013185452
Saved in:
3
Evaluating the accuracy of tail risk forecasts for systemic risk measurement
Brownlees, Christian
;
Cavaliere, Giuseppe
;
Monti, Alice
- In:
Annals of financial economics
13
(
2018
)
2
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011931111
Saved in:
4
Modeling the dynamis of international agricultural commodity prices : a comparison of GARCH and stochastic volatility models
Yang, Lu
;
Hamori, Shigeyuki
- In:
Annals of financial economics
13
(
2018
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011958469
Saved in:
5
A statistical risk assessment of bitcoin and its extreme tail behavior
Osterrieder, Joerg
;
Lorenz, Julian
- In:
Annals of financial economics
12
(
2017
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011716049
Saved in:
6
Market risk of investment in us subprime crisis : comparison of a pure diffusion and a pure jump model
Mozumder, Sharif
;
Rahman, Arafatur
- In:
Annals of financial economics
11
(
2016
)
3
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011685729
Saved in:
7
Improved detection of rare-event risk of a portfolio with US REITs
So, Leh-Chyan
;
Yu, Jun-Yang
- In:
Annals of financial economics
10
(
2015
)
2
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011408574
Saved in:
8
Forecasting value-at-risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework
Gabrielsen, Alexandros
;
Kirchner, Axel
;
Liu, Zhuoshi
; …
- In:
Annals of financial economics
10
(
2015
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011382540
Saved in:
9
Fast methods for large-scale non-elliptical portfolio optimization
Paolella, Marc S.
- In:
Annals of financial economics
9
(
2014
)
2
,
pp. 1-32
Persistent link: https://www.econbiz.de/10010489123
Saved in:
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