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~isPartOf:"Applied economics"
~isPartOf:"Série des documents de travail / Centre de Recherche en Économie et Statistique"
~subject:"Estimation theory"
~subject:"Outliers"
~subject:"Portfolio selection"
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Search: subject:"Value at Risk"
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Estimation theory
Outliers
Portfolio selection
Risikomaß
64
Risk measure
64
Theorie
27
Theory
27
Portfolio-Management
25
ARCH model
23
ARCH-Modell
23
Estimation
18
Schätzung
18
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16
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16
Statistical distribution
16
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16
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15
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extreme value theory
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9
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2
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2
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37
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Gouriéroux, Christian
6
Barbi, Massimiliano
2
Francq, Christian
2
Hammoudeh, Shawkat
2
Hernandez, Jose Arreola
2
Liu, Wei
2
Powell, Robert
2
Romagnoli, Silvia
2
Wang, Yi-Hsien
2
Zakoïan, Jean-Michel
2
Al-Yahyaee, Khamis Hamed
1
Allen, David E.
1
Alles, Lakshman
1
Alqahtani, Faisal
1
Barrosa, Marcelo Rosário da
1
Borges, Maria Rosa
1
Božović, Miloš
1
Cao, Hong
1
Chang, Kuang-liang
1
Chang, Matthew C.
1
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1
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1
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1
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1
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1
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1
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1
Duc Hong Vo
1
Díaz Hernández, Adán
1
Ergen, Ibrahim
1
Feng, Wenjun
1
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1
Fretheim, Torun
1
Gagliardini, Patrick
1
Geman, Hélyette
1
Gendreau, Brian C.
1
Geng, Wenjing
1
Goodwin, Barry K.
1
Guan, Dabo
1
Gubareva, Mariya
1
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Applied economics
Série des documents de travail / Centre de Recherche en Économie et Statistique
Insurance / Mathematics & economics
134
Journal of banking & finance
84
Journal of risk
70
European journal of operational research : EJOR
65
Risks : open access journal
55
Finance research letters
48
Quantitative finance
39
Economic modelling
36
The North American journal of economics and finance : a journal of financial economics studies
35
International review of financial analysis
33
Discussion paper / Tinbergen Institute
32
Journal of risk and financial management : JRFM
30
The journal of risk model validation
28
International journal of theoretical and applied finance
27
Journal of empirical finance
25
Computational economics
24
Journal of econometrics
24
The European journal of finance
23
International journal of forecasting
22
Journal of economic dynamics & control
21
Research in international business and finance
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Energy economics
18
Finance and stochastics
18
Journal of forecasting
18
Journal of mathematical finance
18
Operations research
17
Research paper series / Swiss Finance Institute
17
Scandinavian actuarial journal
17
The journal of operational risk
17
International review of economics & finance : IREF
16
Journal of financial econometrics
16
Journal of international financial markets, institutions & money
16
Management science : journal of the Institute for Operations Research and the Management Sciences
16
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
15
SFB 649 discussion paper
15
The journal of asset management
15
Working papers
15
Journal of risk management in financial institutions
14
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ECONIS (ZBW)
37
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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
Research on extreme risk measurement in the international carbon emission futures market, based on a two-component Beta-Skew-t-EGARCH-POT model
Geng, Wenjing
;
Zhao, Xin
;
Zhou, Xiaoxiao
- In:
Applied economics
55
(
2023
)
36
,
pp. 4194-4203
Persistent link: https://www.econbiz.de/10014299610
Saved in:
3
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:
4
Flexible modelling of multivariate risks in pricing margin protection insurance : modelling portfolio risks with mixtures of mixtures
Moosavian, Seyyed Ali Zeytoon Nejad
;
Goodwin, Barry K.
- In:
Applied economics
53
(
2021
)
4
,
pp. 411-440
Persistent link: https://www.econbiz.de/10012416054
Saved in:
5
The impact of liquidity on portfolio
value-at-risk
forecasts
Hung, Jui-Cheng
;
Su, Jung-bin
;
Chang, Matthew C.
;
Wang, …
- In:
Applied economics
52
(
2020
)
3
,
pp. 242-259
Persistent link: https://www.econbiz.de/10012197387
Saved in:
6
Diamonds and precious metals for reduction of portfolio tail risk
Barbi, Massimiliano
;
Geman, Hélyette
;
Romagnoli, Silvia
- In:
Applied economics
52
(
2020
)
26
,
pp. 2841-2861
Persistent link: https://www.econbiz.de/10012221456
Saved in:
7
Value-at-risk
and expected shortfall in cryptocurrencies' portfolio : a vine copula–based approach
Trucíos, Carlos
;
Tiwari, Aviral Kumar
;
Alqahtani, Faisal
- In:
Applied economics
52
(
2020
)
24
,
pp. 2580-2593
Persistent link: https://www.econbiz.de/10012210957
Saved in:
8
Measuring quantile risk hedging effectiveness : a GO-GARCH-EVT-copula approach
Karnakar, Madhusudan
;
Sharma, Udayan
- In:
Applied economics
52
(
2020
)
48
,
pp. 5244-5262
Persistent link: https://www.econbiz.de/10012307213
Saved in:
9
Tail dependence risk exposure and diversification potential of Islamic and conventional banks
Hernandez, Jose Arreola
;
Al-Yahyaee, Khamis Hamed
; …
- In:
Applied economics
51
(
2019
)
44
,
pp. 4856-4869
Persistent link: https://www.econbiz.de/10012197121
Saved in:
10
conditional
value-at-risk
-linear absolute shrink-age selection operator
Gendreau, Brian C.
;
Jin, Yong
;
Nimalendran, Mahendrarajah
; …
- In:
Applied economics
51
(
2019
)
52
,
pp. 5637-5651
Persistent link: https://www.econbiz.de/10012197263
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