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~isPartOf:"Astin bulletin : the journal of the International Actuarial Association"
~isPartOf:"Journal of financial econometrics"
~subject:"Ausreißer"
~subject:"Measurement"
~subject:"value-at-risk"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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Ausreißer
Measurement
value-at-risk
Risikomaß
50
Risk measure
50
Theorie
33
Theory
33
Statistical distribution
21
Statistische Verteilung
21
Risiko
17
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value at risk
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Furman, Edward
2
Hoga, Yannick
2
Su, Jianxi
2
Barendse, Sander
1
Bee, Marco
1
Boonen, Tim J.
1
Bücher, Axel
1
Cai, Jun
1
Castillo, Joan del
1
Chen Zhou
1
Chuliá, Helena
1
Daoudi, Jalila
1
Dijk, Dick van
1
Duan, Fang
1
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1
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1
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1
Floryszczak, A.
1
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1
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1
Grønneberg, Steffen
1
Guillén, Montserrat
1
Hambuckers, Julien
1
Han, Heejoon
1
Hürlimann, Werner
1
Inoue, Atsushi
1
Jung, Whayoung
1
Khalaf, Lynda
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Kneib, Thomas
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Kole, Erik
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Leccadito, Arturo
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1
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1
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1
Lu, Jin
1
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1
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1
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1
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Astin bulletin : the journal of the International Actuarial Association
Journal of financial econometrics
Insurance / Mathematics & economics
115
Risks : open access journal
47
Journal of risk
33
Journal of banking & finance
30
European journal of operational research : EJOR
29
Applied economics
20
Finance research letters
20
Journal of risk and financial management : JRFM
19
Mathematics of operations research
19
Quantitative finance
19
Finance and stochastics
17
International journal of theoretical and applied finance
17
Mathematics and financial economics
17
Scandinavian actuarial journal
17
The journal of operational risk
17
The journal of risk model validation
17
International review of financial analysis
14
Applied economics letters
13
Economic modelling
13
The European journal of finance
13
Discussion paper / Tinbergen Institute
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
Operations research
11
The North American journal of economics and finance : a journal of financial economics studies
11
Journal of forecasting
10
Computational economics
9
Energy economics
9
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
9
Journal of empirical finance
9
Journal of mathematical finance
9
Mathematical finance : an international journal of mathematics, statistics and financial economics
9
Research paper series / Swiss Finance Institute
9
ASTIN bulletin : the journal of the International Actuarial Association
8
International journal of forecasting
8
Journal of econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
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1
Backtesting value-at-risk and expected shortfall in the presence of estimation error
Barendse, Sander
;
Kole, Erik
;
Dijk, Dick van
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 528-568
Persistent link: https://www.econbiz.de/10014314760
Saved in:
2
Estimation and inference of quantile impulse response functions by local projections : with applications to VaR dynamics
Han, Heejoon
;
Jung, Whayoung
;
Lee, Ji Hyung
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014526299
Saved in:
3
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
Saved in:
4
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:
5
Smooth-transition regression models for non-stationary extremes
Hambuckers, Julien
;
Kneib, Thomas
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 445-484
Persistent link: https://www.econbiz.de/10014314754
Saved in:
6
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:
7
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:
8
Improving value-at-risk prediction under model uncertainty
Peng, Shige
;
Yang, Shuzhen
;
Yao, Jianfeng
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 228-259
Persistent link: https://www.econbiz.de/10013542865
Saved in:
9
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:
10
Model and moment selection in factor copula models
Duan, Fang
;
Manner, Hans
;
Wied, Dominik
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 45-75
Persistent link: https://www.econbiz.de/10012878186
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