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~isPartOf:"International review of financial analysis"
~isPartOf:"Quantitative finance"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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Zeitreihenanalyse
Risikomaß
131
Risk measure
131
Portfolio selection
71
Portfolio-Management
71
Theorie
67
Theory
67
Risiko
50
Risk
50
Risikomanagement
40
Risk management
40
Capital income
30
Kapitaleinkommen
30
Estimation
27
Schätzung
27
Volatility
27
Volatilität
27
Measurement
26
Messung
26
Statistical distribution
25
Statistische Verteilung
25
ARCH model
24
ARCH-Modell
24
Forecasting model
24
Prognoseverfahren
24
Value-at-risk
20
Expected shortfall
19
Aktienmarkt
15
Stock market
15
Multivariate Verteilung
14
Multivariate distribution
14
Systemic risk
14
Systemrisiko
14
Ausreißer
12
Outliers
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Time series analysis
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Welt
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12
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Alexander, Carol
1
Bee, Marco
1
Bouchard, Bruno
1
Chen, Xiang
1
Chrétien, Stéphane
1
Coggins, Frank
1
Degiannakis, Stavros
1
Dent, Pamela
1
Fan, Caiyun
1
Fang, Yi
1
Floros, Christos
1
Gerlach, Richard
1
Kaibuchi, Hibiki
1
Kawasaki, Yoshinori
1
Lazar, Emese
1
Li, Handong
1
Liu, Zhenya
1
Lu, Shanglin
1
Naimoli, Antonio
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Ouyang, Ruolan
1
Pourkhanali, Armin
1
Reghai, Adil
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Scheffer, Marcus
1
Song, Shijia
1
Stanescu, Silvia
1
Storti, Giuseppe
1
Stupfler, G.
1
Tafakori, Laleh
1
Virrion, Benjamin
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Wang, Shixuan
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Weiß, Gregor
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Xu, Yixiong
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International review of financial analysis
Quantitative finance
International journal of forecasting
9
Journal of econometrics
8
Journal of empirical finance
8
Finance research letters
7
Journal of banking & finance
7
SFB 649 discussion paper
7
Discussion paper / Tinbergen Institute
6
Economic modelling
5
Energy economics
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
5
Journal of financial econometrics
5
Journal of forecasting
5
Research in international business and finance
5
The North American journal of economics and finance : a journal of financial economics studies
5
Applied economics
4
Computational economics
4
Journal of risk
4
Research paper series / Swiss Finance Institute
4
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
4
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
3
Global business & economics review
3
International review of economics & finance : IREF
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Journal of risk and financial management : JRFM
3
The European journal of finance
3
The econometrics journal
3
The journal of risk model validation
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Umeå economic studies
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Working papers
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Applied economics letters
2
Applied quantitative finance
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Cambridge working papers in economics
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Discussion papers / CEPR
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ECARES working paper
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Econometrics : open access journal
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IMA journal of management mathematics
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ECONIS (ZBW)
12
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1
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
2
Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect
Pourkhanali, Armin
;
Tafakori, Laleh
;
Bee, Marco
- In:
International review of financial analysis
89
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014467094
Saved in:
3
Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment
Zhang, Feipeng
;
Xu, Yixiong
;
Fan, Caiyun
- In:
International review of financial analysis
90
(
2023
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014469910
Saved in:
4
Systemic risk of commodity markets : a dynamic factor copula approach
Ouyang, Ruolan
;
Chen, Xiang
;
Fang, Yi
;
Zhao, Yang
- In:
International review of financial analysis
82
(
2022
),
pp. 1-10
Persistent link: https://www.econbiz.de/10013431229
Saved in:
5
Predicting VaR for China's stock market : a score-driven model based on normal inverse Gaussian distribution
Song, Shijia
;
Li, Handong
- In:
International review of financial analysis
82
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013426497
Saved in:
6
Computation of expected shortfall by fast detection of worst scenarios
Bouchard, Bruno
;
Reghai, Adil
;
Virrion, Benjamin
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1087-1108
Persistent link: https://www.econbiz.de/10012588021
Saved in:
7
Asymmetry, tail risk and time series momentum
Liu, Zhenya
;
Lu, Shanglin
;
Wang, Shixuan
- In:
International review of financial analysis
78
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013255854
Saved in:
8
Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
Gerlach, Richard
;
Naimoli, Antonio
;
Storti, Giuseppe
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1849-1878
Persistent link: https://www.econbiz.de/10012295647
Saved in:
9
Extreme dependence in investor attention and stock returns : consequences for forecasting stock returns and measuring systemic risk
Scheffer, Marcus
;
Weiß, Gregor
- In:
Quantitative finance
20
(
2020
)
3
,
pp. 425-446
Persistent link: https://www.econbiz.de/10012194900
Saved in:
10
Forecasting VaR using analytic higher moments for GARCH processes
Alexander, Carol
;
Lazar, Emese
;
Stanescu, Silvia
- In:
International review of financial analysis
30
(
2013
),
pp. 36-45
Persistent link: https://www.econbiz.de/10010460001
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