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~isPartOf:"Journal of banking & finance"
~isPartOf:"The journal of risk model validation"
~subject:"Prognoseverfahren"
~subject:"Volatility"
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Search: subject_exact:"VaR (Value at Risk)"
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Prognoseverfahren
Volatility
Risikomaß
241
Risk measure
241
Theorie
104
Theory
104
Portfolio selection
95
Portfolio-Management
95
Risikomanagement
72
Risk management
72
Risiko
54
Risk
54
Statistical distribution
43
Statistische Verteilung
43
ARCH model
38
ARCH-Modell
38
Estimation
36
Schätzung
36
Credit risk
33
Kreditrisiko
33
Volatilität
32
Measurement
31
Messung
31
Forecasting model
25
Basel Accord
24
Basler Akkord
24
Financial crisis
24
Finanzkrise
24
Systemic risk
22
Systemrisiko
20
Capital income
19
Kapitaleinkommen
19
Bank risk
18
Bankrisiko
18
Financial services
18
Finanzdienstleistung
18
Estimation theory
17
Schätztheorie
17
Welt
17
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50
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Weiß, Gregor
3
Colucci, Stefano
2
McNeil, Alexander J.
2
Wied, Dominik
2
Yang, Bill Huajian
2
Ziggel, Daniel
2
Audrino, Francesco
1
Banulescu, Georgiana-Denisa
1
Barone-Adesi, Giovanni
1
Bedendo, Mascia
1
Berens, Tobias
1
Buczy´nski, Mateusz
1
Cesarone, Francesco
1
Chan, Kam Fong
1
Changchien, Chang-cheng
1
Chen, Fen-ying
1
Chen, Yi-Hsuan
1
Chiang, Thomas C.
1
Chiu, Wan-chien
1
Chlebus, Marcin
1
Choi, Sun-Yong
1
Costanzino, Nick
1
Cui, Kaijie
1
Curcic, Nikola
1
Curran, Mike
1
Daníelsson, Jón
1
Du, Zunwei
1
Dumitrescu, Elena-Ivona
1
Faff, Robert W.
1
Fałdziński, Marcin
1
Fei, Glenn
1
Gagnon, Marie-Hélène
1
Gjølberg, Ole
1
Gonpot, Preethee Nunkoo
1
Gordy, Michael B.
1
Gurrola-Perez, Pedro
1
Hammoudeh, Shawkat
1
Hodges, Stewart D.
1
Hong, KiHoon
1
Hua, Jian
1
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Journal of banking & finance
The journal of risk model validation
International journal of forecasting
48
Energy economics
38
Finance research letters
38
The North American journal of economics and finance : a journal of financial economics studies
35
Journal of forecasting
34
International review of financial analysis
25
Discussion paper / Tinbergen Institute
21
Journal of empirical finance
21
Journal of risk
21
Economic modelling
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
20
Applied economics
19
Journal of risk and financial management : JRFM
18
Risks : open access journal
18
Econometric Institute research papers
17
International review of economics & finance : IREF
15
Journal of financial econometrics
15
Working paper
15
Working papers
14
Computational economics
12
Journal of econometrics
12
Quantitative finance
12
The European journal of finance
12
Journal of international financial markets, institutions & money
11
CFS working paper series
9
European journal of operational research : EJOR
9
Journal of economic dynamics & control
9
Journal of mathematical finance
9
Pacific-Basin finance journal
9
Research paper series / Swiss Finance Institute
9
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
9
Applied economics letters
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Swiss Finance Institute Research Paper
7
CORE discussion papers : DP
6
Financial innovation : FIN
6
International journal of economics and financial issues : IJEFI
6
Journal of risk management in financial institutions
6
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ECONIS (ZBW)
50
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1
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:
2
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:
3
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:
4
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:
5
Evaluation of backtesting techniques on risk models with different horizons
Kontaxis, Grigorios
;
Tsolas, Ioannis E.
- In:
The journal of risk model validation
15
(
2021
)
4
,
pp. 29-50
Persistent link: https://www.econbiz.de/10013173367
Saved in:
6
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:
7
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:
8
International Financial Reporting Standard 9 expected credit loss estimation : advanced models for estimating portfolio loss and weighting scenario losses
Yang, Bill Huajian
;
Wu, Biao
;
Cui, Kaijie
;
Du, Zunwei
; …
- In:
The journal of risk model validation
14
(
2020
)
1
,
pp. 19-34
Persistent link: https://www.econbiz.de/10014335910
Saved in:
9
Old-fashioned parametric models are still the best : a comparison of value-at-risk approaches in several volatility states
Buczy´nski, Mateusz
;
Chlebus, Marcin
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014335934
Saved in:
10
An empirical evaluation of large dynamic covariance models in portfolio value-at-risk estimation
Law, Keith K. F.
;
Li, Wai Keung
;
Yu, Philip L. H.
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 21-39
Persistent link: https://www.econbiz.de/10014335946
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