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~isPartOf:"Insurance: Mathematics and Economics"
~isPartOf:"Journal of econometrics"
~subject:"Risikomanagement"
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Search: subject:"Value at Risk"
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Risikomanagement
Risikomaß
42
Risk measure
42
Theorie
22
Theory
22
Estimation
15
Schätzung
15
Statistical distribution
15
Statistische Verteilung
15
Value-at-Risk
15
Portfolio selection
14
Portfolio-Management
14
Value at risk
14
Estimation theory
13
Risk management
13
Schätztheorie
13
ARCH model
11
ARCH-Modell
11
Capital income
9
Kapitaleinkommen
9
Volatility
9
Volatilität
9
Risk
8
Time series analysis
8
Value-at-risk
8
Zeitreihenanalyse
8
Risiko
7
Stochastic process
7
Stochastischer Prozess
7
Ausreißer
6
Forecasting model
6
Optimal reinsurance
6
Outliers
6
Prognoseverfahren
6
Extreme value theory
5
Nichtparametrisches Verfahren
5
Nonparametric statistics
5
Regression analysis
5
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5
Risk measures
5
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1
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12
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English
13
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Hong, Yongmiao
2
Zhang, Zhengjun
2
Bandi, Federico M.
1
Catania, Leopoldo
1
Chan, Thomas W. C.
1
Chang, Chia-Lin
1
Chen, Rong
1
Chen, Rui
1
Chen, Yu
1
Chu, Amanda M. Y.
1
Daouia, Abdelaati
1
Diebold, Francis X.
1
Egorov, Alexej V.
1
Girard, Stéphane
1
Härdle, Wolfgang
1
Jiménez-Martín, Juan-Ángel
1
Li, Haitao
1
Liu, Yanhui
1
Luati, Alessandra
1
Luciano, Elisa
1
Maasoumi, Esfandiar
1
Patton, Andrew J.
1
Pérez Amaral, Teodosio
1
Regis, Luca
1
Renò, Roberto
1
So, Mike Ka-pui
1
Stupfler, Gilles
1
Wang, Shouyang
1
Wang, Weining
1
Wang, Zhicheng
1
Yu, Lining
1
Yılmaz, Kamil
1
Zhao, Zifeng
1
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1
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Insurance: Mathematics and Economics
Journal of econometrics
Insurance / Mathematics & economics
94
Journal of banking & finance
52
Risks : open access journal
52
Journal of risk
40
European journal of operational research : EJOR
38
Economic modelling
27
The journal of operational risk
27
Finance research letters
26
Energy economics
25
The North American journal of economics and finance : a journal of financial economics studies
22
Journal of risk management in financial institutions
20
The journal of risk model validation
20
International review of financial analysis
17
Quantitative finance
17
International journal of theoretical and applied finance
15
Applied economics
14
International review of economics & finance : IREF
14
Journal of risk and financial management : JRFM
13
Research paper series / Swiss Finance Institute
13
SpringerLink / Bücher
13
The European journal of finance
13
Discussion paper / Tinbergen Institute
12
Finance and stochastics
12
Journal of empirical finance
12
International journal of forecasting
11
Working papers
11
Computational economics
10
International journal of risk assessment and management : IJRAM
10
Journal of international financial markets, institutions & money
10
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
10
Astin bulletin : the journal of the International Actuarial Association
9
International journal of finance & economics : IJFE
9
Journal of mathematical finance
9
Pacific-Basin finance journal
9
Research in international business and finance
9
Scandinavian actuarial journal
9
Schriftenreihe Finanzmanagement
9
The journal of credit risk : published quarterly by Incisive Media
9
Applied economics letters
8
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ECONIS (ZBW)
13
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date (oldest first)
1
Semiparametric modeling of multiple quantiles
Catania, Leopoldo
;
Luati, Alessandra
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10014471520
Saved in:
2
ß in the tails
Bandi, Federico M.
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
Saved in:
3
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
4
ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupfler, Gilles
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 97-117
Persistent link: https://www.econbiz.de/10012618802
Saved in:
5
Mark to market
value
at
risk
Chen, Yu
;
Wang, Zhicheng
;
Zhang, Zhengjun
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 299-321
Persistent link: https://www.econbiz.de/10012145015
Saved in:
6
Dynamic semiparametric models for expected shortfall (and
Value-at-Risk
)
Patton, Andrew J.
;
Ziegel, Johanna F.
;
Chen, Rui
- In:
Journal of econometrics
211
(
2019
)
2
,
pp. 388-413
Persistent link: https://www.econbiz.de/10012303806
Saved in:
7
Efficient Versus Inefficient Hedging Strategies in the Presence of Financial and Longevity (
Value
at
)
Risk
Luciano, Elisa
-
2014
This paper provides a closed-form
Value-at-Risk
(VaR) for the net exposure of an annuity provider, taking into account …
Persistent link: https://www.econbiz.de/10013046884
Saved in:
8
Modeling maxima with autoregressive conditional Fréchet model
Zhao, Zifeng
;
Zhang, Zhengjun
;
Chen, Rong
- In:
Journal of econometrics
207
(
2018
)
2
,
pp. 325-351
Persistent link: https://www.econbiz.de/10012116357
Saved in:
9
A stochastic dominance approach to financial risk management strategies
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 472-485
Persistent link: https://www.econbiz.de/10011499744
Saved in:
10
TENET : Tail-Event driven NETwork risk
Härdle, Wolfgang
;
Wang, Weining
;
Yu, Lining
- In:
Journal of econometrics
192
(
2016
)
2
,
pp. 499-513
Persistent link: https://www.econbiz.de/10011704738
Saved in:
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