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~isPartOf:"Operations research"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Estimation theory"
~subject:"coherent risk measures"
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Estimation theory
coherent risk measures
Risikomaß
92
Risk measure
92
Portfolio selection
43
Portfolio-Management
43
Volatility
32
Volatilität
32
Risiko
31
Risk
31
Theorie
31
Theory
31
Risk management
29
Risikomanagement
28
ARCH model
27
ARCH-Modell
27
Estimation
23
Schätzung
23
Capital income
21
Kapitaleinkommen
21
Aktienmarkt
14
Börsenkurs
14
Multivariate Verteilung
14
Multivariate distribution
14
Share price
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Spillover effect
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Spillover-Effekt
14
Stock market
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Measurement
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Messung
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Forecasting model
12
Prognoseverfahren
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Welt
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World
12
Financial crisis
11
Finanzkrise
11
Mathematical programming
9
Mathematische Optimierung
9
Statistical distribution
9
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9
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9
Systemrisiko
9
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11
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Broadie, Mark
1
Chun, So Yeon
1
Du, Yiping
1
Guillén, Montserrat
1
Haensly, Paul J.
1
Hong, L. Jeff
1
Horváth, Roman
1
Juneja, Sandeep
1
Li, Jonathan Yu-Meng
1
Li, Leon
1
Liu, Guangwu
1
Moallemi, Ciamac C.
1
Noyan, Nilay
1
Perote, Javier
1
Rudolf, Gábor
1
Shapiro, Alex
1
Shapiro, Alexander
1
Uryasev, Stan
1
Vidal-Llana, Xenxo
1
Ñíguez, Trino-Manuel
1
Šopov, Boril
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Operations research
The North American journal of economics and finance : a journal of financial economics studies
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
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
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
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1
Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility
Vidal-Llana, Xenxo
;
Guillén, Montserrat
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014225819
Saved in:
2
Risk decomposition, estimation error, and naïve diversification
Haensly, Paul J.
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-34
Persistent link: https://www.econbiz.de/10012654769
Saved in:
3
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:
4
Moments expansion densities for quantifying financial risk
Ñíguez, Trino-Manuel
;
Perote, Javier
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 53-69
Persistent link: https://www.econbiz.de/10011938073
Saved in:
5
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:
6
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:
7
Testing and comparing the performance of dynamic variance and correlation models in
value-at-risk
estimation
Li, Leon
- In:
The North American journal of economics and finance : a …
40
(
2017
),
pp. 116-135
Persistent link: https://www.econbiz.de/10011878799
Saved in:
8
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:
9
GARCH models, tail indexes and error distributions : an empirical investigation
Horváth, Roman
;
Šopov, Boril
- In:
The North American journal of economics and finance : a …
37
(
2016
),
pp. 1-15
Persistent link: https://www.econbiz.de/10011672845
Saved in:
10
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:
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