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~isPartOf:"Journal of banking & finance"
~subject:"Schätzung"
~subject:"Statistical distribution"
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Search: subject:"Value at Risk"
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Schätzung
Statistical distribution
Risikomaß
181
Risk measure
181
Theorie
83
Theory
83
Portfolio selection
77
Portfolio-Management
77
Risikomanagement
52
Risk management
52
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45
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45
Statistische Verteilung
30
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25
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23
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22
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Messung
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Finanzdienstleistung
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Forecasting model
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English
48
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Paterlini, Sandra
3
Dias, Alexandra
2
McNeil, Alexander J.
2
Weiß, Gregor
2
Alles, Lakshman
1
Anand, Abhinav
1
Bali, Turan G.
1
Bernard, Carole
1
Biffi, Paola
1
Bonaccolto, Giovanni
1
Boubaker, Heni
1
Brechmann, Eike
1
Brownlees, Christian
1
Candelon, Bertrand
1
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1
Chabot, Ben
1
Chan, Kam Fong
1
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1
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1
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1
Czado, Claudia
1
DiTraglia, Francis J.
1
Düllmann, Klaus
1
Embrechts, Paul
1
Ergün, Tolga A.
1
Escanciano, Juan Carlos
1
Fabozzi, Frank J.
1
Faff, Robert W.
1
Fermanian, Jean-David
1
Gagnon, Marie-Hélène
1
García-Céspedes, Rubén
1
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1
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1
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1
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1
Hua, Jian
1
Härdle, Wolfgang
1
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1
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Journal of banking & finance
Insurance / Mathematics & economics
80
Finance research letters
38
Journal of risk
38
International journal of forecasting
36
Risks : open access journal
30
Economic modelling
29
Discussion paper / Tinbergen Institute
28
International review of financial analysis
28
Applied economics
27
The North American journal of economics and finance : a journal of financial economics studies
26
Journal of econometrics
25
Journal of empirical finance
25
The journal of risk model validation
25
Energy economics
24
The journal of operational risk
20
Journal of financial econometrics
19
Quantitative finance
19
Working papers
19
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
18
Journal of risk and financial management : JRFM
18
SFB 649 discussion paper
16
International review of economics & finance : IREF
15
Journal of financial econometrics : official journal of the Society for Financial Econometrics
15
Journal of forecasting
15
Computational economics
13
European journal of operational research : EJOR
13
Pacific-Basin finance journal
12
Research in international business and finance
12
Scandinavian actuarial journal
11
Journal of mathematical finance
10
Research paper series / Swiss Finance Institute
10
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
10
Applied economics letters
9
Astin bulletin : the journal of the International Actuarial Association
9
CFS working paper series
9
Econometric Institute research papers
9
Journal of international financial markets, institutions & money
9
Swiss Finance Institute Research Paper
9
The European journal of finance
9
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ECONIS (ZBW)
48
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1
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10
of
48
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date (oldest first)
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
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:
3
Sensitivity-implied tail-correlation matrices
Paulusch, Joachim
;
Schlütter, Sebastian
- In:
Journal of banking & finance
134
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013400104
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
The gradient allocation principle based on the higher moment risk measure
Gómez, Fabio
;
Tang, Qihe
;
Tong, Zhiwei
- In:
Journal of banking & finance
143
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013530990
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
Modelling extremal dependence for operational risk by a bipartite graph
Kley, Oliver
;
Klüppelberg, Claudia
;
Paterlini, Sandra
- In:
Journal of banking & finance
117
(
2020
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012495775
Saved in:
10
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:
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