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~isPartOf:"Journal of financial econometrics"
~isPartOf:"Operations research"
~subject:"Estimation theory"
~subject:"coherent risk measures"
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Estimation theory
coherent risk measures
Risikomaß
52
Risk measure
52
Theorie
32
Theory
32
Portfolio selection
23
Portfolio-Management
23
Risiko
23
Risk
23
Measurement
16
Messung
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14
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14
value-at-risk
13
Statistical distribution
12
Statistische Verteilung
12
Estimation
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11
Prognoseverfahren
11
Schätzung
11
expected shortfall
11
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10
ARCH model
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9
Mathematical programming
9
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9
Capital income
8
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8
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5
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Time series analysis
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Volatilität
5
Zeitreihenanalyse
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Financial Engineering
4
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4
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13
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Broadie, Mark
1
Cai, Charlie X.
1
Cai, Yuzhi
1
Chun, So Yeon
1
Du, Yiping
1
Grønneberg, Steffen
1
Han, Heejoon
1
Hoga, Yannick
1
Hong, L. Jeff
1
Hu, Xueping
1
Inoue, Atsushi
1
Jiang, Rong
1
Juneja, Sandeep
1
Jung, Whayoung
1
Kim, Minjoo
1
Lee, Ji Hyung
1
Li, Jonathan Yu-Meng
1
Liu, Guangwu
1
Lu, Jin
1
Moallemi, Ciamac C.
1
Noyan, Nilay
1
Pelletier, Denis
1
Rudolf, Gábor
1
Shapiro, Alex
1
Shapiro, Alexander
1
Shin, Yongcheol
1
Stander, Julian
1
Sucarrat, Genaro
1
Uryasev, Stan
1
Yu, Keming
1
Zhang, Qi
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Journal of financial econometrics
Operations research
Insurance / Mathematics & economics
24
Journal of risk
22
Journal of econometrics
13
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
Journal of financial econometrics : official journal of the Society for Financial Econometrics
9
The journal of risk model validation
9
Finance research letters
8
Journal of banking & finance
8
Discussion paper / Tinbergen Institute
7
Risks : open access journal
7
Computational economics
6
Dresdner Beiträge zu quantitativen Verfahren
6
European journal of operational research : EJOR
6
International journal of theoretical and applied finance
6
SFB 649 discussion paper
6
The journal of operational risk
6
International journal of forecasting
5
Journal of forecasting
5
Mathematics of operations research
5
Quantitative finance
5
Série des documents de travail / Centre de Recherche en Économie et Statistique
5
The North American journal of economics and finance : a journal of financial economics studies
5
Working papers series in theoretical and applied economics
5
Finance and economics discussion series
4
International journal of monetary economics and finance
4
Journal of mathematical finance
4
Journal of risk and financial management : JRFM
4
Working papers / TSE : WP
4
Econometrics : open access journal
3
Journal of empirical finance
3
Mathematical finance : an international journal of mathematics, statistics and financial economics
3
Scandinavian actuarial journal
3
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
The econometrics journal
3
Working papers
3
Applied economics
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CAEPR working papers
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Econometric reviews
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ECONIS (ZBW)
13
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1
Estimation and inference of quantile impulse response functions by local projections : with applications to VaR dynamics
Han, Heejoon
;
Jung, Whayoung
;
Lee, Ji Hyung
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014526299
Saved in:
2
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
3
Single-index expectile models for estimating conditional
value
at
risk
and expected shortfall
Jiang, Rong
;
Hu, Xueping
;
Yu, Keming
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 345-366
Persistent link: https://www.econbiz.de/10013187986
Saved in:
4
Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi
;
Lu, Jin
;
Pelletier, Denis
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
Saved in:
5
The threshold GARCH model : estimation and density forecasting for financial returns
Cai, Yuzhi
;
Stander, Julian
- In:
Journal of financial econometrics
18
(
2020
)
2
,
pp. 395-424
Persistent link: https://www.econbiz.de/10012232969
Saved in:
6
Extreme conditional tail moment estimation under serial dependence
Hoga, Yannick
- In:
Journal of financial econometrics
17
(
2019
)
4
,
pp. 587-615
Persistent link: https://www.econbiz.de/10012152234
Saved in:
7
FARVaR : functional autoregressive
value-at-risk
Cai, Charlie X.
;
Kim, Minjoo
;
Shin, Yongcheol
;
Zhang, Qi
- In:
Journal of financial econometrics
17
(
2019
)
2
,
pp. 284-337
Persistent link: https://www.econbiz.de/10012054445
Saved in:
8
Optimization with stochastic preferences based on a general class of scalarization functions
Noyan, Nilay
;
Rudolf, Gábor
- In:
Operations research
66
(
2018
)
2
,
pp. 463-486
Persistent link: https://www.econbiz.de/10011845995
Saved in:
9
Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
Li, Jonathan Yu-Meng
- In:
Operations research
66
(
2018
)
6
,
pp. 1533-1541
Persistent link: https://www.econbiz.de/10011971655
Saved in:
10
Kernel smoothing for nested estimation with application to portfolio risk measurement
Hong, L. Jeff
;
Juneja, Sandeep
;
Liu, Guangwu
- In:
Operations research
65
(
2017
)
3
,
pp. 657-673
Persistent link: https://www.econbiz.de/10011691391
Saved in:
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