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~isPartOf:"Quantitative finance"
~subject:"Risiko"
~subject:"Volatility"
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Search: subject_exact:"VaR (Value at Risk)"
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Risiko
Volatility
Risikomaß
57
Risk measure
57
Portfolio selection
40
Portfolio-Management
40
Theorie
39
Theory
39
Risk
29
Risikomanagement
20
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Estimation theory
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Delage, Erick
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Härdle, Wolfgang
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Li, Jonathan Yu-Meng
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Marzban, Saeed
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1
Ben-Horin, Moshe
1
Bergk, Kerstin
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Feng, Y.
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Fouque, Jean-Pierre
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Quantitative finance
Insurance / Mathematics & economics
122
Finance research letters
64
Journal of banking & finance
59
European journal of operational research : EJOR
57
Risks : open access journal
55
Energy economics
47
Journal of risk
39
The North American journal of economics and finance : a journal of financial economics studies
39
International review of financial analysis
33
Economic modelling
32
International review of economics & finance : IREF
27
Journal of empirical finance
25
Journal of risk and financial management : JRFM
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International journal of forecasting
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Scandinavian actuarial journal
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Pacific-Basin finance journal
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Journal of forecasting
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Journal of international financial markets, institutions & money
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Research paper series / Swiss Finance Institute
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The European journal of finance
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Working paper
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
14
Mathematical finance : an international journal of mathematics, statistics and financial theory
14
Journal of econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
13
Management science : journal of the Institute for Operations Research and the Management Sciences
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Astin bulletin : the journal of the International Actuarial Association
11
Econometric Institute research papers
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Journal of economic dynamics & control
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ECONIS (ZBW)
34
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1
ESG risk exposure : a tale of two tails
Yang, Runfeng
;
Caporin, Massimiliano
;
Jiménez-Martin, …
- In:
Quantitative finance
24
(
2024
)
6
,
pp. 827-849
Persistent link: https://www.econbiz.de/10015050799
Saved in:
2
Assessing network risk with FRM : links with pricing kernel volatility and application to cryptocurrencies
Wang, Ruting
;
Potì, Valerio
;
Härdle, Wolfgang
- In:
Quantitative finance
24
(
2024
)
7
,
pp. 975-992
Persistent link: https://www.econbiz.de/10015050808
Saved in:
3
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
4
Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1411-1430
Persistent link: https://www.econbiz.de/10014419168
Saved in:
5
Multivariate systemic risk measures and computation by deep learning algorithms
Doldi, A.
;
Feng, Y.
;
Fouque, Jean-Pierre
;
Frittelli, Marco
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1431-1444
Persistent link: https://www.econbiz.de/10014419169
Saved in:
6
f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172
Saved in:
7
Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
Saved in:
8
Variance reduction for risk measures with importance sampling in nested simulation
Xing, Yue
;
Sit, Tony
;
Wong, Hoi Ying
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 657-673
Persistent link: https://www.econbiz.de/10013367849
Saved in:
9
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:
10
Centred expected shortfall (CES) : a traditional asset manager's view on decomposing downside investment risk
Kroon, Erik
;
Hacini, Mehdi-Vincent
;
Somefun, Koye
- In:
Quantitative finance
24
(
2024
)
1
,
pp. 83-104
Persistent link: https://www.econbiz.de/10014551942
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