//--> //--> //--> //-->
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:"Operations research"
~subject:"Estimation theory"
~subject:"Expected shortfall"
~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
Expected shortfall
coherent risk measures
Risikomaß
63
Risk measure
63
Theorie
39
Theory
39
Portfolio selection
35
Portfolio-Management
35
Risk
28
Risiko
27
Measurement
16
Messung
16
Risikomanagement
16
Risk management
16
Mathematical programming
11
Mathematische Optimierung
11
Robust statistics
10
Robustes Verfahren
10
Estimation
9
Schätztheorie
9
Statistical distribution
9
Statistische Verteilung
9
ARCH model
8
ARCH-Modell
8
Forecasting model
8
Prognoseverfahren
8
Schätzung
8
Volatility
8
Volatilität
8
Simulation
6
Stochastic process
6
Stochastischer Prozess
6
Multivariate Verteilung
5
Multivariate distribution
5
Optimization
5
Systemic risk
5
Value at risk
5
Value-at-risk
5
Bank risk
4
Bankrisiko
4
more ...
less ...
Online availability
All
Undetermined
13
Type of publication
All
Article
17
Type of publication (narrower categories)
All
Article in journal
17
Aufsatz in Zeitschrift
17
Language
All
English
17
Author
All
Chan, Stephen
2
Nadarajah, Saralees
2
Afuecheta, Emmanuel
1
Alvarez, Susana
1
Avdoulas, Christos
1
Baixauli, J. Samuel
1
Beaumont, Paul Michael
1
Bekiros, Stelios
1
Broadie, Mark
1
Christou, Eliana
1
Chun, So Yeon
1
Dallakyan, Aramayis
1
Deng, Xue
1
Du, Yiping
1
Eleftheriadis, Iordanis
1
Grabchak, Michael
1
Hansen, James V.
1
Hong, L. Jeff
1
Härdle, Wolfgang
1
Juneja, Sandeep
1
Larsen, Brad J.
1
Li, Jonathan Yu-Meng
1
Liang, Ying
1
Liu, Guangwu
1
Loukeris, Nikolaos
1
McDonald, James B.
1
Moallemi, Ciamac C.
1
Noyan, Nilay
1
Rudolf, Gábor
1
Shapiro, Alex
1
Shapiro, Alexander
1
Sun, Edward W.
1
Theodossiou, Panayiotis
1
Tzeng, Yu-Ying
1
Uryasev, Stan
1
Wang, Yu-Jen
1
Wesselhöfft, Niels
1
Yu, Min-Teh
1
Ökten, Giray
1
more ...
less ...
Published in...
All
Computational economics
Operations research
Insurance / Mathematics & economics
29
Journal of risk
22
Journal of banking & finance
20
International journal of forecasting
15
Journal of econometrics
13
Quantitative finance
13
Finance research letters
11
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
11
International review of financial analysis
10
European journal of operational research : EJOR
9
Journal of financial econometrics : official journal of the Society for Financial Econometrics
9
The journal of risk model validation
9
Discussion paper / Tinbergen Institute
8
Journal of financial econometrics
7
Risks : open access journal
7
The North American journal of economics and finance : a journal of financial economics studies
7
Dresdner Beiträge zu quantitativen Verfahren
6
International journal of theoretical and applied finance
6
Journal of empirical finance
6
Pacific-Basin finance journal
6
SFB 649 discussion paper
6
The journal of operational risk
6
Journal of forecasting
5
Mathematics of operations research
5
Série des documents de travail / Centre de Recherche en Économie et Statistique
5
Working papers / TSE : WP
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 economic dynamics & control
4
Journal of mathematical finance
4
Journal of risk and financial management : JRFM
4
Research in international business and finance
4
Asia-Pacific journal of financial studies
3
Econometrics : open access journal
3
Economic modelling
3
Economics letters
3
Finance and stochastics
3
more ...
less ...
Source
All
ECONIS (ZBW)
17
Showing
1
-
10
of
17
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
Estimation of expected shortfall using quantile regression : a comparison study
Christou, Eliana
;
Grabchak, Michael
- In:
Computational economics
60
(
2022
)
2
,
pp. 725-753
Persistent link: https://www.econbiz.de/10013380827
Saved in:
3
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:
4
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:
5
Risk-constrained Kelly portfolios under alpha-stable laws
Wesselhöfft, Niels
;
Härdle, Wolfgang
- In:
Computational economics
55
(
2020
)
3
,
pp. 801-826
Persistent link: https://www.econbiz.de/10012223676
Saved in:
6
Risk : an R package for financial risk measures
Chan, Stephen
;
Nadarajah, Saralees
- In:
Computational economics
53
(
2019
)
4
,
pp. 1337-1351
Persistent link: https://www.econbiz.de/10012135135
Saved in:
7
Integrated portfolio risk measure : estimation and asymptotics of multivariate geometric quantiles
Sun, Edward W.
;
Wang, Yu-Jen
;
Yu, Min-Teh
- In:
Computational economics
52
(
2018
)
2
,
pp. 627-652
Persistent link: https://www.econbiz.de/10012053017
Saved in:
8
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:
9
Optimization with stochastic preferences based on a general class of scalarization functions
Noyan, Nilay
;
Rudolf, Gábor
- In:
Operations research
66
(
2018
)
2
,
pp. 463-486
Persistent link: https://www.econbiz.de/10011845995
Saved in:
10
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:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->