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~isPartOf:"Journal of forecasting"
~isPartOf:"Operations research"
~subject:"Estimation theory"
~subject:"coherent risk measures"
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Estimation theory
coherent risk measures
Risikomaß
67
Risk measure
67
Theorie
38
Theory
38
Forecasting model
33
Prognoseverfahren
33
Portfolio selection
27
Portfolio-Management
27
Risiko
23
Risk
23
ARCH model
15
ARCH-Modell
15
Measurement
14
Messung
14
Volatility
11
Volatilität
11
expected shortfall
11
Estimation
10
Schätzung
10
Statistical distribution
10
Statistische Verteilung
10
Mathematical programming
9
Mathematische Optimierung
9
Risikomanagement
9
Risk management
9
Robust statistics
9
Robustes Verfahren
9
value at risk
9
Capital income
8
Kapitaleinkommen
8
Schätztheorie
8
value-at-risk
8
Markov chain
6
Markov-Kette
6
Basel Accord
5
Basler Akkord
5
Bayes-Statistik
5
Bayesian inference
5
Time series analysis
5
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5
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Article
11
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11
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11
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English
11
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Broadie, Mark
1
Chun, So Yeon
1
Du, Yiping
1
Hong, L. Jeff
1
Hu, Yu-pin
1
Iqbal, Farhat
1
Jeon, Jooyoung
1
Juneja, Sandeep
1
Ke, Tsung-han
1
Li, Jonathan Yu-Meng
1
Liu, Guangwu
1
Moallemi, Ciamac C.
1
Mukherjee, Kanchan
1
Noyan, Nilay
1
Pajhede, Thor
1
Polanski, Arnold
1
Rudolf, Gábor
1
Shapiro, Alex
1
Shapiro, Alexander
1
Stoja, Evarist
1
Taylor, James W.
1
Uryasev, Stan
1
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Published in...
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Journal of forecasting
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
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
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
2
CAEPR working papers
2
Econometric reviews
2
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ECONIS (ZBW)
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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
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:
5
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:
6
Using CAViaR models with implied volatility for
value-at-risk
estimation
Jeon, Jooyoung
;
Taylor, James W.
- In:
Journal of forecasting
32
(
2013
)
1
,
pp. 62-74
Persistent link: https://www.econbiz.de/10009758719
Saved in:
7
Forecasting volatility with many predictors
Ke, Tsung-han
;
Hu, Yu-pin
- In:
Journal of forecasting
32
(
2013
)
8
,
pp. 743-754
Persistent link: https://www.econbiz.de/10010344461
Saved in:
8
A study of
value-at-risk
based on M-estimators of the conditional heteroscedastic models
Iqbal, Farhat
;
Mukherjee, Kanchan
- In:
Journal of forecasting
31
(
2012
)
5
,
pp. 377-390
Persistent link: https://www.econbiz.de/10009582118
Saved in:
9
Conditional
value-at-risk
and average
value-at-risk
: estimation and asymptotics
Chun, So Yeon
;
Shapiro, Alex
;
Uryasev, Stan
- In:
Operations research
60
(
2012
)
4
,
pp. 739-756
Persistent link: https://www.econbiz.de/10009627501
Saved in:
10
Incorporating higher moments into
value-at-risk
forecasting
Polanski, Arnold
;
Stoja, Evarist
- In:
Journal of forecasting
29
(
2010
)
6
,
pp. 523-535
Persistent link: https://www.econbiz.de/10008935468
Saved in:
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