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~isPartOf:"Computational economics"
~isPartOf:"Operations research"
~subject:"Estimation theory"
~subject:"coherent risk measures"
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Estimation theory
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
Expected shortfall
5
Multivariate Verteilung
5
Multivariate distribution
5
Optimization
5
Systemic risk
5
Value at risk
5
Bank risk
4
Bankrisiko
4
Credit risk
4
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12
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12
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12
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English
12
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Afuecheta, Emmanuel
1
Alvarez, Susana
1
Baixauli, J. Samuel
1
Broadie, Mark
1
Chan, Stephen
1
Chun, So Yeon
1
Dallakyan, Aramayis
1
Deng, Xue
1
Du, Yiping
1
Hansen, James V.
1
Hong, L. Jeff
1
Juneja, Sandeep
1
Larsen, Brad J.
1
Li, Jonathan Yu-Meng
1
Liang, Ying
1
Liu, Guangwu
1
McDonald, James B.
1
Moallemi, Ciamac C.
1
Nadarajah, Saralees
1
Noyan, Nilay
1
Rudolf, Gábor
1
Shapiro, Alex
1
Shapiro, Alexander
1
Sun, Edward W.
1
Theodossiou, Panayiotis
1
Uryasev, Stan
1
Wang, Yu-Jen
1
Yu, Min-Teh
1
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Computational economics
Operations research
Insurance / Mathematics & economics
24
Journal of risk
22
Journal of econometrics
13
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
The journal of risk model validation
9
Finance research letters
8
Journal of banking & finance
8
Discussion paper / Tinbergen Institute
7
Journal of financial econometrics
7
Risks : open access journal
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
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ECONIS (ZBW)
12
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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
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:
3
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:
4
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:
5
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:
6
Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
Li, Jonathan Yu-Meng
- In:
Operations research
66
(
2018
)
6
,
pp. 1533-1541
Persistent link: https://www.econbiz.de/10011971655
Saved in:
7
Kernel smoothing for nested estimation with application to portfolio risk measurement
Hong, L. Jeff
;
Juneja, Sandeep
;
Liu, Guangwu
- In:
Operations research
65
(
2017
)
3
,
pp. 657-673
Persistent link: https://www.econbiz.de/10011691391
Saved in:
8
Rectangular sets of probability measures
Shapiro, Alexander
- In:
Operations research
64
(
2016
)
2
,
pp. 528-541
Persistent link: https://www.econbiz.de/10011485624
Saved in:
9
Risk estimation via regression
Broadie, Mark
;
Du, Yiping
;
Moallemi, Ciamac C.
- In:
Operations research
63
(
2015
)
5
,
pp. 1077-1097
Persistent link: https://www.econbiz.de/10011397803
Saved in:
10
Implied severity density estimation : an extended semiparametric method to compute credit
value
at
risk
Baixauli, J. Samuel
;
Alvarez, Susana
- In:
Computational economics
40
(
2012
)
2
,
pp. 115-129
Persistent link: https://www.econbiz.de/10009627482
Saved in:
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