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~isPartOf:"Journal of forecasting"
~subject:"Ausreißer"
~subject:"Basler Akkord"
~subject:"Credit risk"
~subject:"Measurement"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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Ausreißer
Basler Akkord
Credit risk
Measurement
Risikomaß
42
Risk measure
42
Forecasting model
32
Prognoseverfahren
32
Theorie
19
Theory
19
ARCH model
14
ARCH-Modell
14
Portfolio selection
11
Portfolio-Management
11
Volatility
11
Volatilität
11
Statistical distribution
10
Statistische Verteilung
10
Capital income
8
Kapitaleinkommen
8
expected shortfall
8
value at risk
7
Estimation
6
Risiko
6
Risk
6
Schätzung
6
Bayes-Statistik
5
Bayesian inference
5
Messung
5
Time series analysis
5
Zeitreihenanalyse
5
Basel Accord
4
Estimation theory
4
Schätztheorie
4
value-at-risk
4
Forecast
3
Heteroscedasticity
3
Heteroskedastizität
3
Markov chain
3
Markov-Kette
3
Multivariate Verteilung
3
Multivariate distribution
3
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Article
11
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11
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English
11
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McAleer, Michael
3
Pérez Amaral, Teodosio
2
Banulescu, Denisa
1
Berger, Theo
1
Cheng, Wai-yan
1
Cheng, Yihan
1
Colletaz, Gilbert
1
Da Veiga, Bernardo
1
Dendramis, Yiannis
1
Fang, Yan
1
Gerlach, Richard
1
Hurlin, Christophe
1
Jimenez-Martin, Juan-Angel
1
Jiménez-Martín, Juan-Ángel
1
Li, Jian
1
Liu, Yinglin
1
Spungin, Giles E.
1
Tokpavi, Sessi
1
Tzavalis, Elias
1
Wang, Chao
1
Wang, Man
1
Wang, Yan
1
Wong, Clement Yuk-pang
1
Wong, Michael C. S.
1
Yao, James Yudong
1
Zhao, Yunfan
1
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Published in...
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Journal of forecasting
Insurance / Mathematics & economics
127
Journal of banking & finance
61
Risks : open access journal
51
Journal of risk
46
European journal of operational research : EJOR
36
The journal of operational risk
24
Discussion paper / Tinbergen Institute
23
Finance research letters
23
The journal of risk model validation
23
International journal of theoretical and applied finance
22
Journal of risk management in financial institutions
21
The journal of credit risk : published quarterly by Incisive Media
21
Economic modelling
20
Quantitative finance
20
Mathematics of operations research
19
Finance and stochastics
18
Applied economics
17
International review of financial analysis
17
Mathematics and financial economics
17
The North American journal of economics and finance : a journal of financial economics studies
17
Econometric Institute research papers
16
Journal of international financial markets, institutions & money
14
Scandinavian actuarial journal
14
Research paper series / Swiss Finance Institute
13
Working paper
13
Journal of risk and financial management : JRFM
12
Astin bulletin : the journal of the International Actuarial Association
11
Computational economics
11
International journal of forecasting
11
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
11
Journal of financial econometrics
11
Management science : journal of the Institute for Operations Research and the Management Sciences
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
Operations research
11
The European journal of finance
11
Applied economics letters
10
Energy economics
10
International review of economics & finance : IREF
10
Journal of econometrics
10
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ECONIS (ZBW)
11
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1
A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao
;
Gerlach, Richard
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
Saved in:
2
Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets
Wang, Man
;
Cheng, Yihan
- In:
Journal of forecasting
41
(
2022
)
8
,
pp. 1595-1607
Persistent link: https://www.econbiz.de/10013465725
Saved in:
3
Semiparametric estimation of expected shortfall and its application in finance
Fang, Yan
;
Li, Jian
;
Liu, Yinglin
;
Zhao, Yunfan
- In:
Journal of forecasting
42
(
2023
)
4
,
pp. 835-851
Persistent link: https://www.econbiz.de/10014292830
Saved in:
4
Forecasting high-frequency risk measures
Banulescu, Denisa
;
Colletaz, Gilbert
;
Hurlin, Christophe
; …
- In:
Journal of forecasting
35
(
2016
)
3
,
pp. 224-249
Persistent link: https://www.econbiz.de/10011580273
Saved in:
5
Forecasting based on decomposed financial return series : a wavelet analysis
Berger, Theo
- In:
Journal of forecasting
35
(
2016
)
5
,
pp. 419-433
Persistent link: https://www.econbiz.de/10011580976
Saved in:
6
Forecasting VaR models under different volatility processes and distributions of return innovations
Dendramis, Yiannis
;
Spungin, Giles E.
;
Tzavalis, Elias
- In:
Journal of forecasting
33
(
2014
)
7
,
pp. 515-531
Persistent link: https://www.econbiz.de/10011282095
Saved in:
7
International evidence on GFC-robust forecasts for risk management under the Basel Accord
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
;
Pérez …
- In:
Journal of forecasting
32
(
2013
)
3
,
pp. 267-288
Persistent link: https://www.econbiz.de/10009758640
Saved in:
8
A decision rule to minimize daily capital charges in forecasting value-at-risk
McAleer, Michael
;
Jimenez-Martin, Juan-Angel
;
Pérez …
- In:
Journal of forecasting
29
(
2010
)
7
,
pp. 617-634
Persistent link: https://www.econbiz.de/10008935446
Saved in:
9
Single-index and portfolio models for forecasting value-at-risk thresholds
McAleer, Michael
;
Da Veiga, Bernardo
- In:
Journal of forecasting
27
(
2008
)
3
,
pp. 217-235
Persistent link: https://www.econbiz.de/10003738590
Saved in:
10
Measuring downside risk and severity for global output
Wang, Yan
;
Yao, James Yudong
- In:
Journal of forecasting
26
(
2007
)
1
,
pp. 23-32
Persistent link: https://www.econbiz.de/10003406089
Saved in:
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