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~isPartOf:"Journal of risk"
~subject:"Basel Accord"
~subject:"Estimation theory"
~subject:"Estimation"
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Basel Accord
Estimation theory
Estimation
Risikomaß
121
Risk measure
121
Portfolio selection
55
Portfolio-Management
55
Risikomanagement
40
Risk management
40
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40
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40
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value-at-risk (VaR)
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expected shortfall (ES)
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Boudt, Kris
2
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2
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2
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Journal of risk
Journal of banking & finance
45
Insurance / Mathematics & economics
36
Finance research letters
27
Discussion paper / Tinbergen Institute
26
Journal of econometrics
26
The North American journal of economics and finance : a journal of financial economics studies
24
Risks : open access journal
23
Economic modelling
22
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
21
Applied economics
20
Econometric Institute research papers
20
The journal of risk model validation
20
International review of financial analysis
19
International journal of forecasting
18
Energy economics
16
Working papers
16
Quantitative finance
15
The journal of operational risk
15
Journal of empirical finance
14
Journal of forecasting
14
Journal of risk management in financial institutions
14
Working paper
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Journal of financial econometrics
13
Journal of risk and financial management : JRFM
13
Journal of international financial markets, institutions & money
12
Research in international business and finance
12
SFB 649 discussion paper
12
Computational economics
11
International journal of theoretical and applied finance
11
International review of economics & finance : IREF
11
European journal of operational research : EJOR
10
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
10
CFS working paper series
9
Journal of economic dynamics & control
9
Research paper series / Swiss Finance Institute
9
Finance and economics discussion series
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Journal of mathematical finance
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Pacific-Basin finance journal
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ECONIS (ZBW)
45
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1
Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach
Chen, Jiusheng
- In:
Journal of risk
25
(
2023
)
3
,
pp. 77-127
Persistent link: https://www.econbiz.de/10014283909
Saved in:
2
Semiparametric GARCH models with long memory applied to
value-at-risk
and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Saved in:
3
Nonparametric estimation of systemic risk via conditional
value-at-risk
Belhad, Ahmed
;
Lauria, Davide
;
Trindade, A. Alexandre
- In:
Journal of risk
25
(
2022
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10013549675
Saved in:
4
Correlated idiosyncratic volatility shocks
Qiao, Xiao
;
Wang, Yongning
- In:
Journal of risk
23
(
2021
)
5
,
pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
Saved in:
5
Risk measures : a generalization from the univariate to the matrix-variate
Arias-Sema, María A.
;
Caro-Lopera, Francisco J.
; …
- In:
Journal of risk
23
(
2021
)
4
,
pp. 1-20
Persistent link: https://www.econbiz.de/10012593431
Saved in:
6
Covariance estimation for risk-based portfolio optimization : an integrated approach
Butler, Andrew
;
Kwon, Roy H.
- In:
Journal of risk
24
(
2021
)
2
,
pp. 11-41
Persistent link: https://www.econbiz.de/10013284828
Saved in:
7
Are there multiple independent risk anomalies in the cross section of stock returns?
Auer, Benjamin R.
;
Schuhmacher, Frank
- In:
Journal of risk
24
(
2021
)
2
,
pp. 43-87
Persistent link: https://www.econbiz.de/10013284832
Saved in:
8
Bias-corrected estimators for the Vasicek model : an application in risk measure estimation
Guo, Zi-Yi
- In:
Journal of risk
23
(
2020/2021
)
2
,
pp. 71-104
Persistent link: https://www.econbiz.de/10012500264
Saved in:
9
Fund size and the stability of portfolio risk
Ewen, Martin
;
Rieger, Marc Oliver
- In:
Journal of risk
22
(
2019/2020
)
6
,
pp. 65-87
Persistent link: https://www.econbiz.de/10012421711
Saved in:
10
Modeling loss given default regressions
Li, Phillip
;
Zhang, Xiaofei
;
Zhao, Xinlei
- In:
Journal of risk
23
(
2020/2021
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012500067
Saved in:
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