//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~isPartOf:"Computational economics"
~isPartOf:"Journal of risk"
~isPartOf:"Operations research"
~subject:"Estimation theory"
~subject:"coherent risk measures"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Value at Risk"
Narrow search
Delete all filters
| 5 applied filters
Year of publication
From:
To:
Subject
All
Estimation theory
coherent risk measures
Risikomaß
189
Risk measure
189
Portfolio selection
94
Portfolio-Management
94
Theorie
82
Theory
82
Risikomanagement
56
Risk
56
Risk management
56
Risiko
55
Measurement
41
Messung
41
ARCH model
32
ARCH-Modell
32
Estimation
32
Schätzung
31
Schätztheorie
30
Statistical distribution
27
Statistische Verteilung
27
Volatility
23
Volatilität
23
Forecasting model
22
Prognoseverfahren
22
value-at-risk (VaR)
18
Credit risk
16
Kreditrisiko
16
Bank risk
14
Bankrisiko
14
Basel Accord
14
Basler Akkord
14
Capital income
14
Kapitaleinkommen
14
Mathematical programming
14
Mathematische Optimierung
14
Financial services
13
Finanzdienstleistung
13
Multivariate Verteilung
13
Multivariate distribution
13
Simulation
12
more ...
less ...
Online availability
All
Undetermined
22
Type of publication
All
Article
34
Type of publication (narrower categories)
All
Article in journal
34
Aufsatz in Zeitschrift
34
Language
All
English
34
Author
All
Martin, R. Douglas
2
Abad, Pilar
1
Afuecheta, Emmanuel
1
Ally, Abdallah K.
1
Alvarez, Susana
1
Ardia, David
1
Arias-Sema, María A.
1
Arora, Rohit
1
Arunachalam, Viswanathan
1
Auer, Benjamin R.
1
Baixauli, J. Samuel
1
Baysal, Rafet Evren
1
Belhad, Ahmed
1
Benito Muela, Sonia
1
Berens, Tobias
1
Broadie, Mark
1
Butler, Andrew
1
Caro-Lopera, Francisco J.
1
Ceretta, Paulo Sergio
1
Chan, Stephen
1
Chun, So Yeon
1
Dallakyan, Aramayis
1
Deng, Xue
1
Du, Yiping
1
Feng, Yuanhua
1
Gatarek, Lukasz
1
Guo, Zi-Yi
1
Hand, D. J.
1
Hansen, James V.
1
Hong, L. Jeff
1
Hoogerheide, Lennart
1
Jiménez, José Alfredo
1
Juneja, Sandeep
1
Kabaila, Paul
1
Kwon, Roy H.
1
Lamb, John D.
1
Larsen, Brad J.
1
Lauria, Davide
1
Letmathe, Sebastian
1
Li, Jonathan Yu-Meng
1
more ...
less ...
Published in...
All
Computational economics
Journal of risk
Operations research
Insurance / Mathematics & economics
24
Journal of econometrics
13
The journal of risk model validation
11
Finance research letters
10
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
Journal of financial econometrics : official journal of the Society for Financial Econometrics
9
Journal of banking & finance
8
Risks : open access journal
8
Discussion paper / Tinbergen Institute
7
Journal of financial econometrics
7
Dresdner Beiträge zu quantitativen Verfahren
6
European journal of operational research : EJOR
6
International journal of theoretical and applied finance
6
SFB 649 discussion paper
6
The journal of operational risk
6
International journal of forecasting
5
Journal of forecasting
5
Mathematics of operations research
5
Quantitative finance
5
Série des documents de travail / Centre de Recherche en Économie et Statistique
5
The North American journal of economics and finance : a journal of financial economics studies
5
Working papers series in theoretical and applied economics
5
Finance and economics discussion series
4
International journal of monetary economics and finance
4
Journal of mathematical finance
4
Journal of risk and financial management : JRFM
4
Working papers / TSE : WP
4
Econometrics : open access journal
3
Journal of empirical finance
3
Mathematical finance : an international journal of mathematics, statistics and financial economics
3
Scandinavian actuarial journal
3
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
The econometrics journal
3
Working papers
3
Applied economics
2
CAEPR working papers
2
Econometric reviews
2
more ...
less ...
Source
All
ECONIS (ZBW)
34
Showing
1
-
10
of
34
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Robust portfolio optimization based on semi-parametric ARMA-TGARCH-EVT model with mixed copula using WCVaR
Deng, Xue
;
Liang, Ying
- In:
Computational economics
61
(
2023
)
1
,
pp. 267-294
Persistent link: https://www.econbiz.de/10014228426
Saved in:
2
Semiparametric GARCH models with long memory applied to
value-at-risk
and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Saved in:
3
Nonparametric estimation of systemic risk via conditional
value-at-risk
Belhad, Ahmed
;
Lauria, Davide
;
Trindade, A. Alexandre
- In:
Journal of risk
25
(
2022
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10013549675
Saved in:
4
Correlated idiosyncratic volatility shocks
Qiao, Xiao
;
Wang, Yongning
- In:
Journal of risk
23
(
2021
)
5
,
pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
Saved in:
5
Covariance estimation for risk-based portfolio optimization : an integrated approach
Butler, Andrew
;
Kwon, Roy H.
- In:
Journal of risk
24
(
2021
)
2
,
pp. 11-41
Persistent link: https://www.econbiz.de/10013284828
Saved in:
6
Are there multiple independent risk anomalies in the cross section of stock returns?
Auer, Benjamin R.
;
Schuhmacher, Frank
- In:
Journal of risk
24
(
2021
)
2
,
pp. 43-87
Persistent link: https://www.econbiz.de/10013284832
Saved in:
7
A statistical analysis of global economies using time varying copulas
Afuecheta, Emmanuel
;
Nadarajah, Saralees
;
Chan, Stephen
- In:
Computational economics
58
(
2021
)
4
,
pp. 1167-1194
Persistent link: https://www.econbiz.de/10012697904
Saved in:
8
Nonparanormal structural VAR for non-Gaussian data
Dallakyan, Aramayis
- In:
Computational economics
57
(
2021
)
4
,
pp. 1093-1113
Persistent link: https://www.econbiz.de/10012543263
Saved in:
9
Risk measures : a generalization from the univariate to the matrix-variate
Arias-Sema, María A.
;
Caro-Lopera, Francisco J.
; …
- In:
Journal of risk
23
(
2021
)
4
,
pp. 1-20
Persistent link: https://www.econbiz.de/10012593431
Saved in:
10
Bias-corrected estimators for the Vasicek model : an application in risk measure estimation
Guo, Zi-Yi
- In:
Journal of risk
23
(
2020/2021
)
2
,
pp. 71-104
Persistent link: https://www.econbiz.de/10012500264
Saved in:
1
2
3
4
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->