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~isPartOf:"Quantitative finance"
~isPartOf:"Research in international business and finance"
~isPartOf:"The journal of risk model validation"
~subject:"Ausreißer"
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Search: subject_exact:"VaR (Value at Risk)"
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Ausreißer
Risikomaß
147
Risk measure
147
Portfolio selection
69
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69
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60
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60
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47
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Time series analysis
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Expected shortfall
11
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value-at-risk (VaR)
11
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Quantitative finance
Research in international business and finance
The journal of risk model validation
Insurance / Mathematics & economics
22
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11
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11
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10
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9
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7
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International journal of forecasting
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International review of financial analysis
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7
The North American journal of economics and finance : a journal of financial economics studies
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6
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6
Journal of international financial markets, institutions & money
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SFB 649 discussion paper
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Astin bulletin : the journal of the International Actuarial Association
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Tydskrif vir studies in ekonomie en ekonometrie : SEE
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ECONIS (ZBW)
11
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1
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
2
Is gold still a safe haven for stock markets? : new insights through the tail thickness of portfolio return distributions
Echaust, Krzysztof
;
Just, Małgorzata
- In:
Research in international business and finance
63
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014248962
Saved in:
3
An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies
Chan, Stephen
;
Chu, Jeffrey
;
Zhang, Yuanyuan
; …
- In:
Research in international business and finance
59
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013402146
Saved in:
4
Forecasting robust value-at-risk estimates : evidence from UK banks
Sampid, Marius Galabe
;
Hasim, Haslifah Mohamad
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1955-1975
Persistent link: https://www.econbiz.de/10012696799
Saved in:
5
TERES : tail event risk expectile shortfall
Mihoci, Andrija
;
Härdle, Wolfgang
;
Chen, Yi-Hsuan
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 449-460
Persistent link: https://www.econbiz.de/10012483833
Saved in:
6
Nonlinear tail dependence in cryptocurrency-stock market returns : the role of Bitcoin futures
Lahiani, Amine
;
Jeribi, Ahmed
;
Boukef Jlassi, Nabila
- In:
Research in international business and finance
56
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013266088
Saved in:
7
Backtesting extreme value theory models of expected shortfall
Novales, Alfonso
;
Garcia-Jorcano, Laura
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 799-825
Persistent link: https://www.econbiz.de/10012194717
Saved in:
8
Value-at-risk estimation with the Carr-Geman-Madan-Yor process : an empirical study on foreign exchange rates
Choi, Sun-Yong
- In:
The journal of risk model validation
10
(
2016
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011527478
Saved in:
9
Value-at-risk bounds for multivariate heavy tailed distribution : an application to the Glosten-Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity model
Gammoudi, Imed
;
El Ghourabi, Mohamed
;
Belkacem, Lotfi
- In:
The journal of risk model validation
10
(
2016
)
3
,
pp. 49-68
Persistent link: https://www.econbiz.de/10011587684
Saved in:
10
Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach
Wing, Jean Paul Chung
;
Gonpot, Preethee Nunkoo
- In:
The journal of risk model validation
9
(
2015
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011410313
Saved in:
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