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~isPartOf:"Computational economics"
~isPartOf:"International review of economics & finance : IREF"
~subject:"Prognoseverfahren"
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Prognoseverfahren
Risikomaß
73
Risk measure
73
Portfolio selection
33
Portfolio-Management
33
Theorie
31
Theory
31
Risk
25
Risiko
24
Risikomanagement
24
Risk management
24
Volatility
21
Volatilität
21
ARCH model
18
ARCH-Modell
18
Statistical distribution
17
Statistische Verteilung
17
Estimation
15
Schätzung
14
Financial crisis
13
Finanzkrise
13
Forecasting model
13
Measurement
13
Messung
13
Capital income
11
Kapitaleinkommen
11
Systemic risk
10
Multivariate Verteilung
9
Multivariate distribution
9
Welt
9
World
9
Expected shortfall
8
Systemrisiko
8
VAR model
8
VAR-Modell
8
Value at risk
8
Time series analysis
7
Value-at-risk
7
Zeitreihenanalyse
7
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English
13
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Asai, Manabu
2
McAleer, Michael
2
Afuecheta, Emmanuel
1
Avdoulas, Christos
1
Ballini, Rosangela
1
Beaumont, Paul Michael
1
Bekiros, Stelios
1
Caldeira, João F.
1
Caporin, Massimiliano
1
Chan, Jennifer So-Kuen
1
Chen, Cathy W. S.
1
Chen, Guojin
1
Cheng, Nick Ying-pin
1
Chiang, Shu-mei
1
Eleftheriadis, Iordanis
1
Fang, Yuantao
1
Gao, Yu
1
Gomide, Fernando
1
Hossain, Md. Alamgir
1
Jimenez-Martin, Juan-Angel
1
Kok Haur Ng
1
Liu, Hung-Chun
1
Liu, Yanzhen
1
Loukeris, Nikolaos
1
Lu, Chunyi
1
Maciel, Leandro
1
Moura, Guilherme Valle
1
Müller, Fernanda Maria
1
Nadarajah, Saralees
1
Nzeribe, Geraldine E.
1
Okorie, Idika E.
1
Pérez Amaral, Teodosio
1
Ragell, Rachel
1
Righi, Marcelo Brutti
1
Santos, André A. P.
1
Teng, Zhuoqi
1
Than-Thi, Hong
1
Tzeng, Yu-Ying
1
Wu, Renhong
1
Zhang, Yu
1
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Computational economics
International review of economics & finance : IREF
International journal of forecasting
45
Journal of forecasting
32
Finance research letters
22
Discussion paper / Tinbergen Institute
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
17
Journal of banking & finance
14
Journal of empirical finance
14
Risks : open access journal
14
International review of financial analysis
13
Econometric Institute research papers
11
Journal of financial econometrics
11
Journal of risk
11
The North American journal of economics and finance : a journal of financial economics studies
11
The journal of risk model validation
11
Quantitative finance
10
Applied economics
9
Energy economics
9
Journal of risk and financial management : JRFM
8
Working paper
8
Applied economics letters
7
Economic modelling
7
Journal of economic dynamics & control
7
The European journal of finance
7
Working papers
7
CFS working paper series
6
European journal of operational research : EJOR
6
Journal of econometrics
6
Journal of risk management in financial institutions
6
Research paper series / Swiss Finance Institute
5
Discussion papers / CEPR
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Journal of commodity markets
4
Pacific-Basin finance journal
4
Research in international business and finance
4
SFB 649 discussion paper
4
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
4
Annals of financial economics
3
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ECONIS (ZBW)
13
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1
Comparison of Value at Risk (VaR) multivariate forecast models
Müller, Fernanda Maria
;
Righi, Marcelo Brutti
- In:
Computational economics
63
(
2024
)
1
,
pp. 75-110
Persistent link: https://www.econbiz.de/10014471980
Saved in:
2
Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis
Afuecheta, Emmanuel
;
Okorie, Idika E.
;
Nadarajah, Saralees
- In:
Computational economics
63
(
2024
)
1
,
pp. 271-304
Persistent link: https://www.econbiz.de/10014472109
Saved in:
3
Analysis of early warning of RMB exchange rate fluctuation and value at risk measurement based on deep learning
Lu, Chunyi
;
Teng, Zhuoqi
;
Gao, Yu
;
Wu, Renhong
; …
- In:
Computational economics
59
(
2022
)
4
,
pp. 1501-1524
Persistent link: https://www.econbiz.de/10013261898
Saved in:
4
Systemic risk measures and distribution forecasting of macroeconomic shocks
Chen, Guojin
;
Liu, Yanzhen
;
Zhang, Yu
- In:
International review of economics & finance : IREF
75
(
2021
),
pp. 178-196
Persistent link: https://www.econbiz.de/10012692464
Saved in:
5
On a bivariate hysteretic AR-GARCH model with conditional asymmetry in correlations
Chen, Cathy W. S.
;
Than-Thi, Hong
;
Asai, Manabu
- In:
Computational economics
58
(
2021
)
2
,
pp. 413-433
Persistent link: https://www.econbiz.de/10012615031
Saved in:
6
Tail-related risk measurement and forecasting in equity markets
Bekiros, Stelios
;
Loukeris, Nikolaos
;
Eleftheriadis, …
- In:
Computational economics
53
(
2019
)
2
,
pp. 783-816
Persistent link: https://www.econbiz.de/10012134868
Saved in:
7
Bayesian return forecasts using realised range and asymmetric CARR model with various distribution assumptions
Chan, Jennifer So-Kuen
;
Kok Haur Ng
;
Ragell, Rachel
- In:
International review of economics & finance : IREF
61
(
2019
),
pp. 188-212
Persistent link: https://www.econbiz.de/10012205409
Saved in:
8
Time series simulation with randomized quasi-monte carlo methods : an application to value at risk and expected shortfall
Tzeng, Yu-Ying
;
Beaumont, Paul Michael
;
Ökten, Giray
- In:
Computational economics
52
(
2018
)
1
,
pp. 55-77
Persistent link: https://www.econbiz.de/10012052921
Saved in:
9
Evolving fuzzy-GARCH approach for financial volatility modeling and forecasting
Maciel, Leandro
;
Gomide, Fernando
;
Ballini, Rosangela
- In:
Computational economics
48
(
2016
)
3
,
pp. 379-398
Persistent link: https://www.econbiz.de/10011712504
Saved in:
10
Measuring risk in fixed income portfolios using yield curve models
Caldeira, João F.
;
Moura, Guilherme Valle
;
Santos, …
- In:
Computational economics
46
(
2015
)
1
,
pp. 65-82
Persistent link: https://www.econbiz.de/10011441011
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