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~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~isPartOf:"Operations research"
~subject:"Estimation theory"
~subject:"coherent risk measures"
~subject:"value-at-risk"
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Estimation theory
coherent risk measures
value-at-risk
Risikomaß
62
Risk measure
62
Theorie
32
Theory
32
Portfolio selection
27
Portfolio-Management
27
Risiko
25
Risk
25
Forecasting model
17
Prognoseverfahren
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Estimation
14
Schätzung
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Measurement
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Messung
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Robust statistics
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Nonparametric statistics
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expected shortfall
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robust optimization
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Embrechts, Paul
2
Wang, Ruodu
2
Atamtürk, Alper
1
Barunik, Jozef
1
Bormann, Carsten
1
Broadie, Mark
1
Calvet, Laurent E.
1
Christoffersen, Peter F.
1
Chun, So Yeon
1
Czellar, Veronika
1
Dijk, Dick van
1
Du, Yiping
1
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1
Francq, Christian
1
Gómez, Andrés
1
Hill, Jonathan B.
1
Hong, L. Jeff
1
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1
Juneja, Sandeep
1
Kole, Erik
1
Kou, Steven
1
Li, Jonathan Yu-Meng
1
Liu, Guangwu
1
Liu, Haiyan
1
Markwat, Thijs
1
Mitra, Gautam
1
Moallemi, Ciamac C.
1
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Schienle, Melanie
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Operations research
Journal of risk
26
Insurance / Mathematics & economics
24
Risks : open access journal
21
The journal of risk model validation
17
Journal of econometrics
13
Journal of financial econometrics
13
Journal of Risk and Financial Management
12
Journal of risk and financial management : JRFM
12
International Journal of Monetary Economics and Finance
11
The European journal of finance
11
Finance research letters
10
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
The journal of operational risk
10
Discussion paper / Tinbergen Institute
9
Econometric Institute Research Papers
9
Journal of forecasting
9
Journal of banking & finance
8
Risks
8
SFB 649 discussion paper
8
Scandinavian actuarial journal
8
International journal of theoretical and applied finance
7
MPRA Paper
7
Mathematics of operations research
7
The European Journal of Finance
7
Applied economics
6
Computational economics
6
Dresdner Beiträge zu quantitativen Verfahren
6
Econometric Institute Report
6
European journal of operational research : EJOR
6
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
6
Applied economics letters
5
Documentos de Trabajo del ICAE
5
International Journal of Financial Services Management
5
International journal of forecasting
5
International journal of monetary economics and finance
5
Journal of risk management in financial institutions
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Journal of the Operational Research Society
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ECONIS (ZBW)
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1
Robustness in the optimization of risk measures
Embrechts, Paul
;
Schied, Alexander
;
Wang, Ruodu
- In:
Operations research
70
(
2022
)
1
,
pp. 95-110
Persistent link: https://www.econbiz.de/10012820643
Saved in:
2
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:
3
Quantile-based risk sharing
Embrechts, Paul
;
Liu, Haiyan
;
Wang, Ruodu
- In:
Operations research
66
(
2018
)
4
,
pp. 936-949
Persistent link: https://www.econbiz.de/10011916624
Saved in:
4
Maximizing a class of utility functions over the vertices of a polytope
Atamtürk, Alper
;
Gómez, Andrés
- In:
Operations research
65
(
2017
)
2
,
pp. 433-445
Persistent link: https://www.econbiz.de/10011673166
Saved in:
5
Forecasting
value-at-risk
under temporal and portfolio aggregation
Kole, Erik
;
Markwat, Thijs
;
Opschoor, Anne
;
Dijk, Dick van
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 649-677
Persistent link: https://www.econbiz.de/10011987663
Saved in:
6
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:
7
Semi-parametric conditional quantile models for financial returns and realized volatility
Zikes, Filip
;
Barunik, Jozef
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
1
,
pp. 185-226
Persistent link: https://www.econbiz.de/10011588557
Saved in:
8
On the measurement of economic tail risk
Kou, Steven
;
Peng, Xianhua
- In:
Operations research
64
(
2016
)
5
,
pp. 1056-1072
Persistent link: https://www.econbiz.de/10011594638
Saved in:
9
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:
10
Accurate methods for approximate Bayesian Computation Filtering
Calvet, Laurent E.
;
Czellar, Veronika
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 798-838
Persistent link: https://www.econbiz.de/10011417791
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