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~isPartOf:"Applied economics letters"
~isPartOf:"Operations research"
~subject:"Estimation theory"
~subject:"value-at-risk"
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Estimation theory
value-at-risk
Risikomaß
56
Risk measure
56
Theorie
32
Theory
32
Portfolio selection
25
Portfolio-Management
25
Risiko
24
Risk
24
Measurement
15
Messung
15
Risikomanagement
14
Risk management
14
Mathematical programming
9
Mathematische Optimierung
9
Robust statistics
9
Robustes Verfahren
9
Systemic risk
9
Systemrisiko
9
ARCH model
8
ARCH-Modell
8
Estimation
7
Forecasting model
7
Prognoseverfahren
7
Schätzung
7
value at risk
6
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5
Finanzkrise
5
Statistical distribution
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Stochastischer Prozess
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systemic risk
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4
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China
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Financial Engineering
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4
Schätztheorie
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12
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Embrechts, Paul
2
Wang, Ruodu
2
Almudhaf, Fahad
1
Ardia, David
1
Atamtürk, Alper
1
Broadie, Mark
1
Chun, So Yeon
1
Diao, Xundi
1
Du, Yiping
1
Gómez, Andrés
1
Hong, L. Jeff
1
Hoogerheide, Lennart F.
1
Hsu Ku, Yuan-Hung
1
Juneja, Sandeep
1
Kou, Steven
1
Lai, Catherine C.
1
Li, Matthew C.
1
Liu, Guangwu
1
Liu, Haiyan
1
Moallemi, Ciamac C.
1
Peng, Xianhua
1
Schied, Alexander
1
Shapiro, Alex
1
Tong, Bin
1
Uryasev, Stan
1
Wang, Jai Jen
1
Xiao, Ling
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Applied economics letters
Operations research
Journal of risk
25
Insurance / Mathematics & economics
24
Risks : open access journal
19
The journal of risk model validation
15
Journal of econometrics
13
Journal of Risk and Financial Management
12
Journal of financial econometrics
12
Journal of risk and financial management : JRFM
12
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
The European journal of finance
11
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
Discussion paper / Tinbergen Institute
9
Econometric Institute Research Papers
9
International Journal of Monetary Economics and Finance
9
Journal of forecasting
9
Finance research letters
8
Journal of banking & finance
8
Risks
8
SFB 649 discussion paper
8
Scandinavian actuarial journal
8
The journal of operational risk
8
MPRA Paper
7
The European Journal of Finance
7
Applied economics
6
Computational economics
6
Dresdner Beiträge zu quantitativen Verfahren
6
Econometric Institute Report
6
European journal of operational research : EJOR
6
International journal of theoretical and applied finance
6
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
6
Documentos de Trabajo del ICAE
5
International Journal of Financial Services Management
5
International journal of forecasting
5
International journal of monetary economics and finance
5
Journal of risk management in financial institutions
5
Management Science
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Monash Econometrics and Business Statistics Working Papers
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ECONIS (ZBW)
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1
Did COVID-19 increase equity market risk exposure? : evidence from China, the UK, and the US
Li, Matthew C.
;
Lai, Catherine C.
;
Xiao, Ling
- In:
Applied economics letters
29
(
2022
)
6
,
pp. 567-571
Persistent link: https://www.econbiz.de/10012873353
Saved in:
2
Robustness in the optimization of risk measures
Embrechts, Paul
;
Schied, Alexander
;
Wang, Ruodu
- In:
Operations research
70
(
2022
)
1
,
pp. 95-110
Persistent link: https://www.econbiz.de/10012820643
Saved in:
3
Backtesting expected shortfall : evidence from European securitized real estate
Almudhaf, Fahad
- In:
Applied economics letters
25
(
2018
)
3
,
pp. 176-182
Persistent link: https://www.econbiz.de/10011853830
Saved in:
4
Quantile-based risk sharing
Embrechts, Paul
;
Liu, Haiyan
;
Wang, Ruodu
- In:
Operations research
66
(
2018
)
4
,
pp. 936-949
Persistent link: https://www.econbiz.de/10011916624
Saved in:
5
Maximizing a class of utility functions over the vertices of a polytope
Atamtürk, Alper
;
Gómez, Andrés
- In:
Operations research
65
(
2017
)
2
,
pp. 433-445
Persistent link: https://www.econbiz.de/10011673166
Saved in:
6
On the measurement of economic tail risk
Kou, Steven
;
Peng, Xianhua
- In:
Operations research
64
(
2016
)
5
,
pp. 1056-1072
Persistent link: https://www.econbiz.de/10011594638
Saved in:
7
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:
8
Forecasting intraday volatility and VaR using multiplicative component GARCH model
Diao, Xundi
;
Tong, Bin
- In:
Applied economics letters
22
(
2015
)
16/18
,
pp. 1457-1464
Persistent link: https://www.econbiz.de/10011380317
Saved in:
9
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:
10
Worldwide equity risk prediction
Ardia, David
;
Hoogerheide, Lennart F.
- In:
Applied economics letters
20
(
2013
)
13/15
,
pp. 1333-1339
Persistent link: https://www.econbiz.de/10010202894
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