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~isPartOf:"Empirical economics : a quarterly journal of the Institute for Advanced Studies"
~isPartOf:"Journal of banking & finance"
~subject:"Prognoseverfahren"
~type:"article"
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Search: subject_exact:"Value at risk"
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Prognoseverfahren
Risikomaß
188
Risk measure
188
Theorie
86
Theory
86
Portfolio selection
79
Portfolio-Management
79
Risikomanagement
54
Risk management
54
Risiko
45
Risk
45
Statistical distribution
32
Statistische Verteilung
32
Estimation
29
Schätzung
29
ARCH model
26
ARCH-Modell
26
Volatility
24
Volatilität
24
Credit risk
22
Financial crisis
22
Finanzkrise
22
Kreditrisiko
22
Measurement
21
Messung
21
Capital income
20
Kapitaleinkommen
20
Systemic risk
20
Basel Accord
18
Basler Akkord
18
Systemrisiko
18
Forecasting model
17
Bank risk
16
Bankrisiko
16
Financial services
14
Finanzdienstleistung
14
Value-at-Risk
14
Welt
14
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14
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17
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17
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Weiß, Gregor
3
McNeil, Alexander J.
2
Wied, Dominik
2
Ziggel, Daniel
2
Banulescu, Georgiana-Denisa
1
Berens, Tobias
1
Cataldo, James M.
1
Cheng, Jie
1
Dumitrescu, Elena-Ivona
1
Gagnon, Marie-Hélène
1
Gordy, Michael B.
1
Hua, Jian
1
Kiesel, Rüdiger
1
Kratz, Marie
1
León Valle, Ángel Manuel
1
Li, Yi
1
Lok, Yen H.
1
Lönnbark, Carl
1
Manzan, Sebastiano
1
Merlo, Luca
1
Nonejad, Nima
1
Petrella, Lea
1
Power, Gabriel J.
1
Rahe, Florentin
1
Raponi, Valentina
1
Supper, Hendrik
1
Taylor, James W.
1
Toupin, Dominique
1
Tsafack, Georges
1
Wang, Pengfei
1
Xiong, Xiong
1
Zhang, Wei
1
Ñíguez, Trino-Manuel
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
Journal of banking & finance
International journal of forecasting
45
Journal of forecasting
33
Finance research letters
22
Journal of financial econometrics : official journal of the Society for Financial Econometrics
17
Journal of empirical finance
15
Risks : open access journal
14
International review of financial analysis
13
The North American journal of economics and finance : a journal of financial economics studies
12
Journal of financial econometrics
11
Journal of risk
11
The journal of risk model validation
11
Energy economics
10
Quantitative finance
10
Applied economics
9
Computational economics
8
Journal of risk and financial management : JRFM
8
Applied economics letters
7
Economic modelling
7
Journal of economic dynamics & control
7
The European journal of finance
7
European journal of operational research : EJOR
6
Journal of econometrics
6
Journal of risk management in financial institutions
6
International review of economics & finance : IREF
5
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
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
4
Annals of financial economics
3
Econometrics : open access journal
3
Insurance / Mathematics & economics
3
International journal of finance & economics : IJFE
3
Journal of applied econometrics
3
Journal of risk : JOR
3
Journal of risk finance : the convergence of financial products and insurance
3
Review of financial economics : RFE
3
Review of quantitative finance and accounting
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ECONIS (ZBW)
17
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1
Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies
Cheng, Jie
- In:
Empirical economics : a quarterly journal of the …
65
(
2023
)
2
,
pp. 899-924
Persistent link: https://www.econbiz.de/10014329089
Saved in:
2
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:
3
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:
4
Using the conditional volatility channel to improve the accuracy of aggregate equity return predictions
Nonejad, Nima
- In:
Empirical economics : a quarterly journal of the …
61
(
2021
)
2
,
pp. 973-1009
Persistent link: https://www.econbiz.de/10012616915
Saved in:
5
Backtesting and estimation error : value-at-risk overviolation rate
Tsafack, Georges
;
Cataldo, James M.
- In:
Empirical economics : a quarterly journal of the …
61
(
2021
)
3
,
pp. 1351-1396
Persistent link: https://www.econbiz.de/10012616952
Saved in:
6
Downside risk and the cross-section of cryptocurrency returns
Zhang, Wei
;
Li, Yi
;
Xiong, Xiong
;
Wang, Pengfei
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013256328
Saved in:
7
Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation
Merlo, Luca
;
Petrella, Lea
;
Raponi, Valentina
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013256440
Saved in:
8
Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie
;
Lok, Yen H.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
88
(
2018
),
pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
Saved in:
9
Modeling asset returns under time-varying semi-nonparametric distributions
León Valle, Ángel Manuel
;
Ñíguez, Trino-Manuel
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012520880
Saved in:
10
Spectral backtests of forecast distributions with application to risk management
Gordy, Michael B.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
116
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012489248
Saved in:
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