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Search: subject:"Value at Risk"
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ARCH-Modell
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41
Risk measure
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21
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Francq, Christian
3
Zakoïan, Jean-Michel
3
Chan, Ngai Hang
1
Chan, Thomas W. C.
1
Chen, Rong
1
Chu, Amanda M. Y.
1
Deng, Shi-jie
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Duong, Diep
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Hill, Jonathan B.
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Liu, Shouwei
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Wang, Chuan-Sheng
1
Xia, Zhendong
1
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Journal of econometrics
Energy economics
29
Journal of empirical finance
27
The North American journal of economics and finance : a journal of financial economics studies
26
Journal of banking & finance
23
Economic modelling
22
Finance research letters
22
International journal of forecasting
22
Journal of risk
22
Applied economics
20
Journal of risk and financial management : JRFM
16
International review of financial analysis
15
The journal of risk model validation
15
Working papers
15
Journal of forecasting
14
International review of economics & finance : IREF
11
Research in international business and finance
11
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
10
Discussion paper / Tinbergen Institute
9
Journal of international financial markets, institutions & money
9
Econometric Institute research papers
8
Journal of financial econometrics
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Risks : open access journal
8
The European journal of finance
8
Applied economics letters
7
CORE discussion paper : DP
7
Computational economics
7
Insurance / Mathematics & economics
7
International journal of economics and financial issues : IJEFI
7
Journal of mathematical finance
7
Pacific-Basin finance journal
7
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7
Research paper series / Swiss Finance Institute
7
Risk management : a journal of risk, crisis and disaster
7
CFS working paper series
6
Review of quantitative finance and accounting
6
Annals of financial economics
5
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1
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
2
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
3
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
Saved in:
4
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
5
Modeling maxima with autoregressive conditional Fréchet model
Zhao, Zifeng
;
Zhang, Zhengjun
;
Chen, Rong
- In:
Journal of econometrics
207
(
2018
)
2
,
pp. 325-351
Persistent link: https://www.econbiz.de/10012116357
Saved in:
6
Conditional
Value-at-Risk
: semiparametric estimation and inference
Wang, Chuan-Sheng
;
Zhao, Zhibiao
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 86-103
Persistent link: https://www.econbiz.de/10011705234
Saved in:
7
Intraday
Value-at-Risk
: an asymmetric autoregressive conditional duration approach
Liu, Shouwei
;
Tse, Yiu Kuen
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 437-446
Persistent link: https://www.econbiz.de/10011504612
Saved in:
8
Risk-parameter estimation in volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
Saved in:
9
GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
Hill, Jonathan B.
;
Prokhorov, Artem
- In:
Journal of econometrics
190
(
2016
)
1
,
pp. 18-45
Persistent link: https://www.econbiz.de/10011591613
Saved in:
10
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep
;
Swanson, Norman R.
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
Saved in:
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