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~isPartOf:"Journal of econometrics"
~subject:"Financial crisis"
~subject:"Portfolio selection"
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Search: subject:"Expected Shortfall"
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Financial crisis
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Risikomaß
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15
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15
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Journal of econometrics
Insurance / Mathematics & economics
105
Journal of banking & finance
93
European journal of operational research : EJOR
64
Finance research letters
63
Journal of risk
62
Risks : open access journal
50
Economic modelling
41
Quantitative finance
40
International review of financial analysis
39
The North American journal of economics and finance : a journal of financial economics studies
36
Discussion paper / Tinbergen Institute
34
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29
Journal of economic dynamics & control
26
Applied economics
25
The European journal of finance
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International journal of theoretical and applied finance
23
International review of economics & finance : IREF
22
Research in international business and finance
22
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21
The journal of risk model validation
21
Journal of empirical finance
20
Journal of international financial markets, institutions & money
20
Finance and stochastics
18
Management science : journal of the Institute for Operations Research and the Management Sciences
18
Research paper series / Swiss Finance Institute
18
Operations research
17
International journal of forecasting
16
The journal of asset management
16
Working paper
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Applied economics letters
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Econometric Institute research papers
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Energy economics
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Journal of risk management in financial institutions
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The journal of credit risk : published quarterly by Incisive Media
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Scandinavian actuarial journal
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Working papers
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Pacific-Basin finance journal
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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1
PELVE : probability equivalent level of VaR and ES
Li, Hengxin
;
Wang, Ruodu
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 353-370
Persistent link: https://www.econbiz.de/10014364915
Saved in:
2
ß in the tails
Bandi, Federico M.
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
Saved in:
3
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:
4
ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupfler, Gilles
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 97-117
Persistent link: https://www.econbiz.de/10012618802
Saved in:
5
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:
6
Network quantile autoregression
Zhu, Xuening
;
Wang, Weining
;
Wang, Hansheng
;
Härdle, …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 345-358
Persistent link: https://www.econbiz.de/10012303979
Saved in:
7
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:
8
Mark to market value at risk
Chen, Yu
;
Wang, Zhicheng
;
Zhang, Zhengjun
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 299-321
Persistent link: https://www.econbiz.de/10012145015
Saved in:
9
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:
10
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
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