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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Statistical distribution"
~subject:"Volatility"
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Search: subject_exact:"Value at risk"
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Statistical distribution
Volatility
Risikomaß
46
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Ané, Thierry
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International journal of theoretical and applied finance
Insurance / Mathematics & economics
77
Journal of banking & finance
46
Energy economics
39
Finance research letters
37
International journal of forecasting
37
The North American journal of economics and finance : a journal of financial economics studies
37
Journal of risk
30
Economic modelling
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Risks : open access journal
29
Applied economics
28
Discussion paper / Tinbergen Institute
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International review of financial analysis
28
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28
Journal of risk and financial management : JRFM
23
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The journal of operational risk
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International review of economics & finance : IREF
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Journal of forecasting
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European journal of operational research : EJOR
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Journal of international financial markets, institutions & money
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SFB 649 discussion paper
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
11
Journal of mathematical finance
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Pacific-Basin finance journal
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Scandinavian actuarial journal
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Astin bulletin : the journal of the International Actuarial Association
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International journal of finance & economics : IJFE
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1
Coherent risk measures and normal mixture distributions with applications in portfolio optimization
Shi, Xiang
;
Kim, Young Shin
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012652709
Saved in:
2
Drawdown measures and return moments
Möller, Philipp M.
- In:
International journal of theoretical and applied finance
21
(
2018
)
7
,
pp. 1-42
Persistent link: https://www.econbiz.de/10011957033
Saved in:
3
The stress-dependent random walk
Gremm, Martin
- In:
International journal of theoretical and applied finance
18
(
2015
)
8
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011419399
Saved in:
4
Riding with the four horsemen and the multivariate normal tempered stable model
Bianchi, Michele Leonardo
;
Tassinari, Gian Luca
; …
- In:
International journal of theoretical and applied finance
19
(
2016
)
4
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011523819
Saved in:
5
Multivariate heavy-tailed models for value-at-risk estimation
Marinelli, Carlo
;
D'Addona, Stefano
;
Račev, Svetlozar T.
- In:
International journal of theoretical and applied finance
15
(
2012
)
4
,
pp. 1-32
Persistent link: https://www.econbiz.de/10009624462
Saved in:
6
VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang
;
Liu, Wei-han
;
Chen, Tzu-ying
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-35
Persistent link: https://www.econbiz.de/10010363922
Saved in:
7
Value-at-risk computations in stochastic volatility models using second-order weak approximation schemes
Lütkebohmert-Holtz, Eva
;
Matchie, Lydienne
- In:
International journal of theoretical and applied finance
17
(
2014
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10010363958
Saved in:
8
Two-component extreme value distribution for Asia-Pacific stock index returns
Ané, Thierry
- In:
International journal of theoretical and applied finance
9
(
2006
)
5
,
pp. 643-671
Persistent link: https://www.econbiz.de/10003378957
Saved in:
9
Value-at-risk and expected shortfall for linear portfolios with elliptically distributed risk factors
Kamdem, Jules Sadefo
- In:
International journal of theoretical and applied finance
8
(
2005
)
5
,
pp. 537-551
Persistent link: https://www.econbiz.de/10003058599
Saved in:
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