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~isPartOf:"Journal of econometrics"
~subject:"Prognoseverfahren"
~subject:"Risk"
~type_genre:"Article in journal"
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Prognoseverfahren
Risk
Risikomaß
41
Risk measure
41
Theorie
21
Theory
21
Estimation
15
Schätzung
15
Statistical distribution
15
Statistische Verteilung
15
Portfolio selection
13
Portfolio-Management
13
Estimation theory
12
Risikomanagement
12
Risk management
12
Schätztheorie
12
ARCH model
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ARCH-Modell
11
Capital income
9
Kapitaleinkommen
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Time series analysis
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Volatilität
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Risiko
7
Ausreißer
6
Forecasting model
6
Outliers
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Stochastic process
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Stochastischer Prozess
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Value at risk
6
Extreme value theory
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Nichtparametrisches Verfahren
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Nonparametric statistics
5
Regression analysis
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Regressionsanalyse
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4
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4
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English
13
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Bandi, Federico M.
1
Borowska, Agnieszka
1
Calvet, Laurent E.
1
Chan, Thomas W. C.
1
Chen, Rui
1
Chen, Yu
1
Chu, Amanda M. Y.
1
Czellar, Veronika
1
Daouia, Abdelaati
1
Dijk, Herman K. van
1
Duong, Diep
1
Egorov, Alexej V.
1
Fan, Jianqing
1
Francq, Christian
1
Girard, Stéphane
1
Guidolin, Massimo
1
Hong, Yongmiao
1
Hoogerheide, Lennart
1
Ke, Yuan
1
Koopman, Siem Jan
1
Li, Haitao
1
Liao, Yuan
1
Mykland, Per A.
1
Patton, Andrew J.
1
Renò, Roberto
1
So, Mike Ka-pui
1
Stupfler, Gilles
1
Swanson, Norman R.
1
Timmermann, Allan
1
Wang, Zhicheng
1
Zakoïan, Jean-Michel
1
Zhang, Zhengjun
1
Ziegel, Johanna F.
1
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Journal of econometrics
Insurance / Mathematics & economics
126
Risks : open access journal
59
Journal of banking & finance
57
European journal of operational research : EJOR
56
Finance research letters
50
International journal of forecasting
45
Journal of risk
36
Quantitative finance
36
Journal of forecasting
33
International review of financial analysis
29
Energy economics
26
Economic modelling
25
Journal of empirical finance
24
The North American journal of economics and finance : a journal of financial economics studies
23
Applied economics
22
Finance and stochastics
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
21
Mathematics of operations research
21
International review of economics & finance : IREF
19
Journal of risk and financial management : JRFM
19
Scandinavian actuarial journal
19
The journal of risk model validation
19
Computational economics
18
International journal of theoretical and applied finance
17
Mathematics and financial economics
17
Operations research
17
Journal of financial econometrics
16
The European journal of finance
16
Management science : journal of the Institute for Operations Research and the Management Sciences
15
Pacific-Basin finance journal
15
Journal of economic dynamics & control
14
Journal of mathematical finance
14
Mathematical finance : an international journal of mathematics, statistics and financial theory
14
Applied economics letters
13
Astin bulletin : the journal of the International Actuarial Association
12
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
12
Journal of risk management in financial institutions
12
Journal of international financial markets, institutions & money
10
Research in international business and finance
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing
;
Ke, Yuan
;
Liao, Yuan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
Saved in:
5
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
6
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:
7
Dynamic semiparametric models for expected shortfall (and Value-at-Risk)
Patton, Andrew J.
;
Ziegel, Johanna F.
;
Chen, Rui
- In:
Journal of econometrics
211
(
2019
)
2
,
pp. 388-413
Persistent link: https://www.econbiz.de/10012303806
Saved in:
8
Combining statistical intervals and market prices : The worst case state price distribution
Mykland, Per A.
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 272-285
Persistent link: https://www.econbiz.de/10012303929
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
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
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