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~isPartOf:"Computational economics"
~isPartOf:"Journal of banking & finance"
~subject:"Prognoseverfahren"
~subject:"Statistische Verteilung"
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Prognoseverfahren
Statistische Verteilung
Risikomaß
219
Risk measure
219
Theorie
103
Theory
103
Portfolio selection
95
Portfolio-Management
95
Risikomanagement
62
Risk management
62
Risk
56
Risiko
55
Statistical distribution
39
Estimation
31
ARCH model
30
ARCH-Modell
30
Schätzung
30
Volatility
29
Volatilität
29
Measurement
28
Messung
28
Credit risk
25
Kreditrisiko
25
Financial crisis
24
Finanzkrise
24
Forecasting model
22
Systemic risk
22
Basel Accord
19
Basler Akkord
19
Capital income
19
Kapitaleinkommen
19
Systemrisiko
19
Bank risk
18
Bankrisiko
18
Expected shortfall
18
Financial services
16
Finanzdienstleistung
16
Multivariate Verteilung
16
Multivariate distribution
16
Welt
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English
52
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Weiß, Gregor
4
Dias, Alexandra
2
McNeil, Alexander J.
2
Paterlini, Sandra
2
Teng, Huei-Wen
2
Wied, Dominik
2
Ziggel, Daniel
2
Afuecheta, Emmanuel
1
Alvarez, Susana
1
Anand, Abhinav
1
Asai, Manabu
1
Avdoulas, Christos
1
Baixauli, J. Samuel
1
Bali, Turan G.
1
Ballini, Rosangela
1
Banulescu, Georgiana-Denisa
1
Beaumont, Paul Michael
1
Bekiros, Stelios
1
Berens, Tobias
1
Bernard, Carole
1
Biffi, Paola
1
Boubaker, Heni
1
Brechmann, Eike
1
Caldeira, João F.
1
Candelon, Bertrand
1
Chan, Kam Fong
1
Chen, Cathy W. S.
1
Consigli, Giorgio
1
Czado, Claudia
1
DiTraglia, Francis J.
1
Dumitrescu, Elena-Ivona
1
Eleftheriadis, Iordanis
1
Embrechts, Paul
1
Ergün, Tolga A.
1
Fabozzi, Frank J.
1
Faff, Robert W.
1
Fang, Yuantao
1
Fermanian, Jean-David
1
Fuh, Cheng-Der
1
Gagnon, Marie-Hélène
1
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Computational economics
Journal of banking & finance
Insurance / Mathematics & economics
79
International journal of forecasting
50
Risks : open access journal
34
Journal of forecasting
33
Discussion paper / Tinbergen Institute
32
Finance research letters
31
Journal of empirical finance
25
Journal of risk
25
Applied economics
22
International review of financial analysis
22
The journal of risk model validation
22
Journal of econometrics
20
Journal of financial econometrics
19
Quantitative finance
19
The journal of operational risk
19
Economic modelling
18
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
The North American journal of economics and finance : a journal of financial economics studies
17
Journal of risk and financial management : JRFM
16
Energy economics
15
European journal of operational research : EJOR
15
SFB 649 discussion paper
15
Econometric Institute research papers
14
Working papers
13
The European journal of finance
12
Applied economics letters
11
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
11
Journal of risk management in financial institutions
11
Research paper series / Swiss Finance Institute
11
Scandinavian actuarial journal
11
Working paper
11
Astin bulletin : the journal of the International Actuarial Association
10
International review of economics & finance : IREF
10
Pacific-Basin finance journal
9
Research in international business and finance
9
Swiss Finance Institute Research Paper
9
Journal of economic dynamics & control
8
Journal of international financial markets, institutions & money
7
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ECONIS (ZBW)
52
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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
Importance sampling for calculating the Value-at-Risk and expected shortfall of the quadratic portfolio with t-distributed risk factors
Teng, Huei-Wen
- In:
Computational economics
62
(
2023
)
3
,
pp. 1125-1154
Persistent link: https://www.econbiz.de/10014382887
Saved in:
4
Horizon-adaptive extreme risk quantification for cryptocurrency assets
Tzagkarakis, George
;
Maurer, Frantz
- In:
Computational economics
62
(
2023
)
3
,
pp. 1251-1286
Persistent link: https://www.econbiz.de/10014382906
Saved in:
5
The sum of all fears : forecasting international returns using option-implied risk measures
Gagnon, Marie-Hélène
;
Power, Gabriel J.
;
Toupin, Dominique
- In:
Journal of banking & finance
146
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014248207
Saved in:
6
What can we learn from firm-level jump-induced tail risk around earnings announcements?
Liu, Mengxi
;
Chan, Kam Fong
;
Faff, Robert W.
- In:
Journal of banking & finance
138
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013461866
Saved in:
7
Forecasting value at risk and expected shortfall using a model with a dynamic omega ratio
Taylor, James W.
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013463062
Saved in:
8
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:
9
The gradient allocation principle based on the higher moment risk measure
Gómez, Fabio
;
Tang, Qihe
;
Tong, Zhiwei
- In:
Journal of banking & finance
143
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013530990
Saved in:
10
Sensitivity-implied tail-correlation matrices
Paulusch, Joachim
;
Schlütter, Sebastian
- In:
Journal of banking & finance
134
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013400104
Saved in:
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