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~isPartOf:"Astin bulletin : the journal of the International Actuarial Association"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"Journal of mathematical finance"
~subject:"Measurement"
~type:"article"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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Measurement
Risikomaß
76
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25
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Bee, Marco
1
Boonen, Tim J.
1
Bücher, Axel
1
Chen, Zengjing
1
Dupuis, Debbie J.
1
Eraker, Bjørn
1
Feng, Runhuan
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Astin bulletin : the journal of the International Actuarial Association
Journal of financial econometrics
Journal of mathematical finance
Insurance / Mathematics & economics
104
European journal of operational research : EJOR
28
Risks : open access journal
28
Journal of risk
25
Journal of banking & finance
21
Mathematics of operations research
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Finance and stochastics
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Mathematics and financial economics
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Quantitative finance
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Finance research letters
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International journal of theoretical and applied finance
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Scandinavian actuarial journal
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Mathematical finance : an international journal of mathematics, statistics and financial theory
10
The journal of risk model validation
10
International review of financial analysis
9
Operations research
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Management science : journal of the Institute for Operations Research and the Management Sciences
8
Operations research letters
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ASTIN bulletin : the journal of the International Actuarial Association
7
Computational economics
7
Journal of risk and financial management : JRFM
7
Mathematical finance : an international journal of mathematics, statistics and financial economics
7
The journal of operational risk
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Applied economics letters
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International review of economics & finance : IREF
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Risk measures for the 21st century
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Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
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Applied economics
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Journal of forecasting
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INFORMS journal on computing : JOC
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of economic dynamics & control
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Journal of mathematical economics
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Journal of risk management in financial institutions
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ECONIS (ZBW)
18
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18
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1
Market maker inventory, bid-ask spreads, and the computation of option implied risk measures
Eraker, Bjørn
;
Osterrieder, Daniela
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1820-1851
Persistent link: https://www.econbiz.de/10014444758
Saved in:
2
A new tail-based correlation measure and its application in global equity markets
Liu, Jinjing
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 959-987
Persistent link: https://www.econbiz.de/10014314844
Saved in:
3
Measuring systemic risk using multivariate quantile-located ES models
Garcia-Jorcano, Laura
;
Sanchis-Marco, Lidia
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 1-72
Persistent link: https://www.econbiz.de/10013542847
Saved in:
4
Limit theory for forecasts of extreme distortion risk measures and expectiles
Hoga, Yannick
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 18-44
Persistent link: https://www.econbiz.de/10012878185
Saved in:
5
Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi
;
Lu, Jin
;
Pelletier, Denis
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
Saved in:
6
Using the extremal index for value-at-risk backtesting
Bücher, Axel
;
Posch, Peter N.
;
Schmidtke, Philipp
- In:
Journal of financial econometrics
18
(
2020
)
3
,
pp. 556-584
Persistent link: https://www.econbiz.de/10012316700
Saved in:
7
Optimal reciprocal reinsurance under GlueVaR distortion risk measures
Huang, Yuxia
;
Yin, Chuancun
- In:
Journal of mathematical finance
9
(
2019
)
1
,
pp. 11-24
Persistent link: https://www.econbiz.de/10012116658
Saved in:
8
Realized peaks over threshold : a time-varying extreme value approach with high-frequency-based measures
Bee, Marco
;
Dupuis, Debbie J.
;
Trapin, Luca
- In:
Journal of financial econometrics
17
(
2019
)
2
,
pp. 254-283
Persistent link: https://www.econbiz.de/10012054440
Saved in:
9
Fast computation of risk measures for variable annuities with additional earnings by conditional moment matching
Privault, Nicolas
;
Wei, Xiao
- In:
Astin bulletin : the journal of the International …
48
(
2018
)
1
,
pp. 171-196
Persistent link: https://www.econbiz.de/10011875595
Saved in:
10
Asymptotic analysis for spectral risk measures parameterized by confidence level
Kato, Takashi
- In:
Journal of mathematical finance
8
(
2018
)
1
,
pp. 197-226
Persistent link: https://www.econbiz.de/10011846379
Saved in:
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