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~isPartOf:"Applied economics"
~isPartOf:"Journal of forecasting"
~isPartOf:"Operations research"
~subject:"Estimation theory"
~subject:"coherent risk measures"
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Estimation theory
coherent risk measures
Risikomaß
121
Risk measure
121
Theorie
62
Theory
62
Portfolio selection
48
Portfolio-Management
48
Forecasting model
42
Prognoseverfahren
42
Risiko
39
Risk
39
ARCH model
35
ARCH-Modell
35
Estimation
28
Schätzung
28
Statistical distribution
25
Statistische Verteilung
25
Volatility
25
Volatilität
25
Risikomanagement
23
Risk management
23
Measurement
19
Messung
19
Capital income
18
Kapitaleinkommen
18
Multivariate Verteilung
15
Multivariate distribution
15
expected shortfall
14
Ausreißer
13
Outliers
13
value-at-risk
12
Mathematical programming
11
Mathematische Optimierung
11
value at risk
11
Börsenkurs
10
Financial crisis
10
Finanzkrise
10
Robust statistics
10
Robustes Verfahren
10
Schätztheorie
10
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13
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English
13
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Broadie, Mark
1
Chiu, Yen-Chen
1
Chuang, I-Yuan
1
Chun, So Yeon
1
Du, Yiping
1
Díaz Hernández, Adán
1
Hong, L. Jeff
1
Hu, Yu-pin
1
Iqbal, Farhat
1
Jeon, Jooyoung
1
Juneja, Sandeep
1
Ke, Tsung-han
1
Li, Jonathan Yu-Meng
1
Liu, Guangwu
1
Moallemi, Ciamac C.
1
Mukherjee, Kanchan
1
Nolasco Jáuregui, Oralia
1
Noyan, Nilay
1
Pajhede, Thor
1
Polanski, Arnold
1
Quezada-Téllez, Luis Alberto
1
Rudolf, Gábor
1
Salazar Flores, Yuri
1
Shapiro, Alex
1
Shapiro, Alexander
1
Stoja, Evarist
1
Taylor, James W.
1
Uryasev, Stan
1
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Applied economics
Journal of forecasting
Operations research
Insurance / Mathematics & economics
24
Journal of risk
22
Journal of econometrics
13
The journal of risk model validation
11
Finance research letters
10
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
Journal of financial econometrics : official journal of the Society for Financial Econometrics
9
Journal of banking & finance
8
Risks : open access journal
8
Discussion paper / Tinbergen Institute
7
Journal of financial econometrics
7
Computational economics
6
Dresdner Beiträge zu quantitativen Verfahren
6
European journal of operational research : EJOR
6
International journal of theoretical and applied finance
6
SFB 649 discussion paper
6
The journal of operational risk
6
International journal of forecasting
5
Mathematics of operations research
5
Quantitative finance
5
Série des documents de travail / Centre de Recherche en Économie et Statistique
5
The North American journal of economics and finance : a journal of financial economics studies
5
Working papers series in theoretical and applied economics
5
Finance and economics discussion series
4
International journal of monetary economics and finance
4
Journal of mathematical finance
4
Journal of risk and financial management : JRFM
4
Working papers / TSE : WP
4
Econometrics : open access journal
3
Journal of empirical finance
3
Mathematical finance : an international journal of mathematics, statistics and financial economics
3
Scandinavian actuarial journal
3
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
The econometrics journal
3
Working papers
3
CAEPR working papers
2
Econometric reviews
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ECONIS (ZBW)
13
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13
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1
The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization
Salazar Flores, Yuri
;
Díaz Hernández, Adán
; …
- In:
Applied economics
55
(
2023
)
37
,
pp. 4289-4303
Persistent link: https://www.econbiz.de/10014301231
Saved in:
2
Unconditional density vs conditional density functions in estimating
value-at-risk
Chiu, Yen-Chen
;
Chuang, I-Yuan
- In:
Applied economics
53
(
2021
)
4
,
pp. 482-494
Persistent link: https://www.econbiz.de/10012416070
Saved in:
3
Optimization with stochastic preferences based on a general class of scalarization functions
Noyan, Nilay
;
Rudolf, Gábor
- In:
Operations research
66
(
2018
)
2
,
pp. 463-486
Persistent link: https://www.econbiz.de/10011845995
Saved in:
4
Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
Li, Jonathan Yu-Meng
- In:
Operations research
66
(
2018
)
6
,
pp. 1533-1541
Persistent link: https://www.econbiz.de/10011971655
Saved in:
5
Kernel smoothing for nested estimation with application to portfolio risk measurement
Hong, L. Jeff
;
Juneja, Sandeep
;
Liu, Guangwu
- In:
Operations research
65
(
2017
)
3
,
pp. 657-673
Persistent link: https://www.econbiz.de/10011691391
Saved in:
6
Rectangular sets of probability measures
Shapiro, Alexander
- In:
Operations research
64
(
2016
)
2
,
pp. 528-541
Persistent link: https://www.econbiz.de/10011485624
Saved in:
7
Risk estimation via regression
Broadie, Mark
;
Du, Yiping
;
Moallemi, Ciamac C.
- In:
Operations research
63
(
2015
)
5
,
pp. 1077-1097
Persistent link: https://www.econbiz.de/10011397803
Saved in:
8
Using CAViaR models with implied volatility for
value-at-risk
estimation
Jeon, Jooyoung
;
Taylor, James W.
- In:
Journal of forecasting
32
(
2013
)
1
,
pp. 62-74
Persistent link: https://www.econbiz.de/10009758719
Saved in:
9
Forecasting volatility with many predictors
Ke, Tsung-han
;
Hu, Yu-pin
- In:
Journal of forecasting
32
(
2013
)
8
,
pp. 743-754
Persistent link: https://www.econbiz.de/10010344461
Saved in:
10
Conditional
value-at-risk
and average
value-at-risk
: estimation and asymptotics
Chun, So Yeon
;
Shapiro, Alex
;
Uryasev, Stan
- In:
Operations research
60
(
2012
)
4
,
pp. 739-756
Persistent link: https://www.econbiz.de/10009627501
Saved in:
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