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~isPartOf:"Journal of banking & finance"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Kapitaleinkommen"
~subject:"Volatility"
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Search: subject_exact:"Value at risk"
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Kapitaleinkommen
Volatility
Risikomaß
198
Risk measure
198
Theorie
94
Theory
94
Portfolio selection
82
Portfolio-Management
82
Risikomanagement
54
Risk management
54
Risiko
47
Risk
47
Estimation
34
Schätzung
34
ARCH model
33
ARCH-Modell
33
Statistical distribution
33
Statistische Verteilung
33
Volatilität
30
Capital income
25
Credit risk
22
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22
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22
Kreditrisiko
22
Measurement
22
Messung
22
Systemic risk
19
Basel Accord
18
Basler Akkord
18
Forecasting model
18
Prognoseverfahren
18
Systemrisiko
17
Bank risk
15
Bankrisiko
15
Multivariate Verteilung
15
Multivariate distribution
15
Financial services
14
Finanzdienstleistung
14
Value-at-Risk
14
Welt
14
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43
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English
43
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Fabozzi, Frank J.
2
Abbara, Omar
1
Aknouche, Abdelhakim
1
Audrino, Francesco
1
Avdulaj, Krenar
1
Baek, Seungho
1
Bali, Turan G.
1
Barone-Adesi, Giovanni
1
Barunik, Jozef
1
Bauwens, Luc
1
Bedendo, Mascia
1
Bilson, John F.
1
Boubaker, Heni
1
Candelon, Bertrand
1
Chan, Jennifer So Kuen
1
Chan, Kam Fong
1
Chen, Yi-Hsuan
1
Chiang, Thomas C.
1
Chiu, Wan-chien
1
Chou, Ray Yeutien
1
Chung, Huimin
1
Daníelsson, Jón
1
Demmouche, Nacer
1
DiTraglia, Francis J.
1
Dimitrakopoulos, Stefanos
1
Faff, Robert W.
1
Focardi, Sergio M.
1
Gagnon, Marie-Hélène
1
Gerlach, Jeffrey R.
1
Gokcan, Suleyman
1
Gordy, Michael B.
1
Grossmass, Lidan
1
Guo, Jia-hau
1
Hammoudeh, Shawkat
1
Hodges, Stewart D.
1
Hua, Jian
1
Huang, Dashan
1
Härdle, Wolfgang
1
Kiesel, Rüdiger
1
Kok Haur Ng
1
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Journal of banking & finance
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Energy economics
39
The North American journal of economics and finance : a journal of financial economics studies
38
Finance research letters
37
International review of financial analysis
29
Journal of empirical finance
23
International journal of forecasting
22
Applied economics
21
Journal of risk
21
Economic modelling
19
Insurance / Mathematics & economics
17
International review of economics & finance : IREF
17
Journal of risk and financial management : JRFM
17
Journal of econometrics
14
Journal of financial econometrics : official journal of the Society for Financial Econometrics
14
Econometric Institute research papers
13
Journal of forecasting
13
Journal of international financial markets, institutions & money
13
Research in international business and finance
13
The journal of risk model validation
13
Discussion paper / Tinbergen Institute
12
Pacific-Basin finance journal
12
Working paper
12
Risks : open access journal
11
Computational economics
10
Quantitative finance
10
The European journal of finance
10
Journal of mathematical finance
9
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
8
Journal of financial econometrics
8
Journal of financial economics
8
Research paper series / Swiss Finance Institute
8
Working papers
8
International journal of finance & economics : IJFE
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Review of quantitative finance and accounting
7
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
7
European journal of operational research : EJOR
6
International journal of theoretical and applied finance
6
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ECONIS (ZBW)
43
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1
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
2
Modelling and forecasting stock volatility and return : a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model
Tan, Shay Kee
;
Chan, Jennifer So Kuen
;
Kok Haur Ng
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 437-474
Persistent link: https://www.econbiz.de/10013334835
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
What can we learn from firm-level jump-induced tail risk around earnings announcements?
Liu, Mengxi
;
Chan, Kam Fong
;
Faff, Robert W.
- In:
Journal of banking & finance
138
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013461866
Saved in:
5
Bayesian analysis of periodic asymmetric power GARCH models
Aknouche, Abdelhakim
;
Demmouche, Nacer
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
24
(
2020
)
4
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012299605
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
Downside risk and the performance of volatility-managed portfolios
Wang, Feifei
;
Yan, Xuemin Sterling
- In:
Journal of banking & finance
131
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013365948
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
Comparing high-dimensional conditional covariance matrices : implications for portfolio selection
Moura, Guilherme Valle
;
Santos, André A. P.
;
Ruiz, Esther
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012521005
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