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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"
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Estimation theory
coherent risk measures
Risikomaß
61
Risk measure
61
Theorie
31
Theory
31
Portfolio selection
26
Portfolio-Management
26
Risiko
24
Risk
24
Forecasting model
17
Prognoseverfahren
17
Estimation
14
Schätzung
14
Measurement
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Messung
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Schätztheorie
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Robustes Verfahren
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Capital income
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9
Statistical distribution
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Statistische Verteilung
8
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Volatilität
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Nichtparametrisches Verfahren
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Nonparametric statistics
6
value-at-risk
6
Stochastic process
5
Stochastischer Prozess
5
Financial Engineering
4
Optimization
4
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4
expected shortfall
4
tail risk
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Bormann, Carsten
1
Broadie, Mark
1
Calvet, Laurent E.
1
Christoffersen, Peter F.
1
Chun, So Yeon
1
Czellar, Veronika
1
Du, Yiping
1
Dupuis, Debbie J.
1
Francq, Christian
1
Hill, Jonathan B.
1
Hong, L. Jeff
1
Horváth, Lajos
1
Juneja, Sandeep
1
Li, Jonathan Yu-Meng
1
Liu, Guangwu
1
Mitra, Gautam
1
Moallemi, Ciamac C.
1
Noyan, Nilay
1
Papageorgiou, Nicolas A.
1
Pelletier, Denis
1
Rudolf, Gábor
1
Rémillard, Bruno
1
Schaumburg, Julia
1
Schienle, Melanie
1
Shapiro, Alex
1
Shapiro, Alexander
1
Taylor, James W.
1
Tsukahara, Hideatsu
1
Uryasev, Stan
1
Wu, Wei Biao
1
Yu, Keming
1
Zakoïan, Jean-Michel
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Journal of financial econometrics : official journal of the Society for 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
The journal of risk model validation
9
Finance research letters
8
Journal of banking & finance
8
Discussion paper / Tinbergen Institute
7
Journal of financial econometrics
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
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Working papers
3
Applied economics
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CAEPR working papers
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ECONIS (ZBW)
15
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1
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:
2
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:
3
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:
4
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
Saved in:
5
Rectangular sets of probability measures
Shapiro, Alexander
- In:
Operations research
64
(
2016
)
2
,
pp. 528-541
Persistent link: https://www.econbiz.de/10011485624
Saved in:
6
Beyond dimension two : a test for higher-order tail risk
Bormann, Carsten
;
Schaumburg, Julia
;
Schienle, Melanie
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 552-580
Persistent link: https://www.econbiz.de/10011623690
Saved in:
7
Robust conditional variance and
value-at-risk
estimation
Dupuis, Debbie J.
;
Papageorgiou, Nicolas A.
; …
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 896-921
Persistent link: https://www.econbiz.de/10011417831
Saved in:
8
Risk estimation via regression
Broadie, Mark
;
Du, Yiping
;
Moallemi, Ciamac C.
- In:
Operations research
63
(
2015
)
5
,
pp. 1077-1097
Persistent link: https://www.econbiz.de/10011397803
Saved in:
9
Expected shortfall estimation and Gaussian inference for infinite variance time series
Hill, Jonathan B.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 1-44
Persistent link: https://www.econbiz.de/10010519664
Saved in:
10
Estimation of distortion risk measures
Tsukahara, Hideatsu
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 213-235
Persistent link: https://www.econbiz.de/10010233598
Saved in:
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