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~isPartOf:"Applied economics"
~isPartOf:"Série des documents de travail / Centre de Recherche en Économie et Statistique"
~subject:"Estimation theory"
~subject:"Theorie"
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Search: subject:"Value at Risk"
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Estimation theory
Theorie
Risikomaß
64
Risk measure
64
Theory
27
Portfolio selection
25
Portfolio-Management
25
ARCH model
23
ARCH-Modell
23
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18
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Gouriéroux, Christian
4
Blazsek, Szabolcs
2
Francq, Christian
2
Liu, Wei
2
Wang, Yi-Hsien
2
Zakoïan, Jean-Michel
2
Abuzayed, Bana
1
Al-Fayoumi, Nedal
1
Allen, David E.
1
Barbi, Massimiliano
1
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1
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1
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1
Chang, Matthew C.
1
Charfeddine, Lanouar
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
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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
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1
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1
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1
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1
Huang, Alex
1
Hui, Yongchang
1
Hung, Jui-Cheng
1
Hung, Jui-cheng
1
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1
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Applied economics
Série des documents de travail / Centre de Recherche en Économie et Statistique
Insurance / Mathematics & economics
199
European journal of operational research : EJOR
92
Journal of banking & finance
91
Risks : open access journal
75
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61
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40
Discussion paper / Tinbergen Institute
38
Finance research letters
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38
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37
International journal of forecasting
35
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33
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32
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30
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29
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28
SFB 649 discussion paper
28
Scandinavian actuarial journal
28
Computational economics
27
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26
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25
The European journal of finance
24
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
22
Journal of economic dynamics & control
22
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
22
Operations research letters
22
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The journal of operational risk
22
Astin bulletin : the journal of the International Actuarial Association
21
Journal of financial econometrics
21
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21
The journal of credit risk : published quarterly by Incisive Media
21
Mathematics of operations research
20
Journal of mathematical finance
18
SpringerLink / Bücher
18
The North American journal of economics and finance : a journal of financial economics studies
18
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ECONIS (ZBW)
32
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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
Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution : evidence from China
Wang, Donghua
;
Ding, Jin
;
Chu, Guoqing
;
Xu, Dinghai
; …
- In:
Applied economics
53
(
2021
)
7
,
pp. 781-804
Persistent link: https://www.econbiz.de/10012416088
Saved in:
5
Measuring systemic risk with a dynamic copula-based approach
Jang, Hyun Jin
;
Pan, Xiao
;
Park, Sumin
- In:
Applied economics
53
(
2021
)
50
,
pp. 5843-5863
Persistent link: https://www.econbiz.de/10012627102
Saved in:
6
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:
7
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:
8
Portfolio selection through Maslow's need hierarchy theory
Li, Zongxin
;
Chen, Zhiping
;
Hui, Yongchang
- In:
Applied economics
51
(
2019
)
4
,
pp. 364-372
Persistent link: https://www.econbiz.de/10012160546
Saved in:
9
Score-driven Markov-switching EGARCH models : an application to systematic risk analysis
Blazsek, Szabolcs
;
Ho, Han-Chiang
;
Liu, Su-Ping
- In:
Applied economics
50
(
2018
)
56
,
pp. 6047-6060
Persistent link: https://www.econbiz.de/10012063386
Saved in:
10
Dynamic conditional score models of degrees of freedom : filtering with score-driven heavy tails
Blazsek, Szabolcs
;
Monteros, Luis Antonio
- In:
Applied economics
49
(
2017
)
53
,
pp. 5426-5440
Persistent link: https://www.econbiz.de/10011845187
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