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~isPartOf:"Journal of banking & finance"
~subject:"Prognoseverfahren"
~subject:"Schätzung"
~type:"article"
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Search: subject_exact:"Value at risk"
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Prognoseverfahren
Schätzung
Risikomaß
180
Risk measure
180
Theorie
83
Theory
83
Portfolio selection
77
Portfolio-Management
77
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52
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33
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Weiß, Gregor
4
McNeil, Alexander J.
2
Wied, Dominik
2
Ziggel, Daniel
2
Alles, Lakshman
1
Banulescu, Georgiana-Denisa
1
Berens, Tobias
1
Bonaccolto, Giovanni
1
Brownlees, Christian
1
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1
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1
Gordy, Michael B.
1
Hua, Jian
1
Härdle, Wolfgang
1
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1
Kratz, Marie
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Leiss, Matthias
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Li, Qingyuan
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López-Espinosa, Germán
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Merlo, Luca
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Journal of banking & finance
International journal of forecasting
48
Journal of forecasting
35
Finance research letters
33
Journal of risk
30
The North American journal of economics and finance : a journal of financial economics studies
27
International review of financial analysis
24
Applied economics
23
Journal of empirical finance
23
Risks : open access journal
23
Journal of financial econometrics : official journal of the Society for Financial Econometrics
22
Energy economics
21
The journal of risk model validation
21
Economic modelling
20
Journal of econometrics
18
Journal of financial econometrics
17
Quantitative finance
17
Journal of risk and financial management : JRFM
15
Insurance / Mathematics & economics
14
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
14
International review of economics & finance : IREF
13
Research in international business and finance
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
13
Journal of economic dynamics & control
12
Computational economics
11
Pacific-Basin finance journal
10
Applied economics letters
9
The European journal of finance
9
Journal of international financial markets, institutions & money
8
Journal of risk management in financial institutions
8
Economics letters
7
European journal of operational research : EJOR
7
Journal of mathematical finance
7
Management science : journal of the Institute for Operations Research and the Management Sciences
7
Empirical economics : a quarterly journal of the Institute for Advanced Studies
6
Journal of risk : JOR
6
Review of financial economics : RFE
6
Review of quantitative finance and accounting
6
Econometrics : open access journal
5
International journal of economics and finance
5
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ECONIS (ZBW)
33
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1
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:
2
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:
3
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:
4
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:
5
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:
6
Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie
;
Lok, Yen H.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
88
(
2018
),
pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
Saved in:
7
Back to the future : backtesting systemic risk measures during historical bank runs and the great depression
Brownlees, Christian
;
Chabot, Ben
;
Ghysels, Eric
;
Kurz, …
- In:
Journal of banking & finance
113
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012226121
Saved in:
8
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:
9
Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan
;
Ungeheuer, Michael
;
Weigert, Florian
- In:
Journal of banking & finance
115
(
2020
),
pp. 1-31
Persistent link: https://www.econbiz.de/10012489163
Saved in:
10
Spectral backtests of forecast distributions with application to risk management
Gordy, Michael B.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
116
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012489248
Saved in:
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