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~subject:"ARCH model"
~subject:"Portfolio selection"
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Search: subject:"Expected Shortfall"
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64
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23
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23
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22
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22
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ECONIS (ZBW)
3,819
EconStor
3
RePEc
1
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1
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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
The quantum harmonic oscillator
expected
shortfall
model
Markovic, Vladimir M.
;
Radivojevic, Nikola
;
Ivanovic, …
- In:
Estudios de economía
50
(
2023
)
2
,
pp. 233-261
This paper presents a new
Expected
Shortfall
(ES) model based on the Quantum Harmonic Oscillator (QHO). It is used to …
Persistent link: https://www.econbiz.de/10014450737
Saved in:
3
Some optimisation problems in insurance with a terminal distribution constraint
Colaneri, Katia
;
Eisenberg, Julia
;
Salterini, Benedetta
- In:
Scandinavian actuarial journal
2023
(
2023
)
7
,
pp. 655-678
Persistent link: https://www.econbiz.de/10014383890
Saved in:
4
Stylized facts, volatility dynamics and risk measures of cryptocurrencies
Bruzgė, Rasa
;
Černevičienė, Jurgita
; …
- In:
Journal of business economics and management
24
(
2023
)
3
,
pp. 527-550
. Sensitivity analysis and measures of Value-at-Risk (VaR) and
Expected
Shortfall
(ES) show the amount of losses investors can …
Persistent link: https://www.econbiz.de/10014420375
Saved in:
5
Modeling uncertainty in financial tail risk : a forecast combination and weighted quantile approach
Storti, Giuseppe
;
Wang, Chao
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1648-1663
Persistent link: https://www.econbiz.de/10014432743
Saved in:
6
Less disagreement, better forecasts : adjusted risk measures in the energy futures market
Zhang, Ning
;
Gong, Yujing
;
Xue, Xiaohan
- In:
The journal of futures markets
43
(
2023
)
10
,
pp. 1332-1372
Persistent link: https://www.econbiz.de/10014339438
Saved in:
7
Backtesting value-at-risk and
expected
shortfall
in the presence of estimation error
Barendse, Sander
;
Kole, Erik
;
Dijk, Dick van
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 528-568
Persistent link: https://www.econbiz.de/10014314760
Saved in:
8
Financial risk optimisation methods : a survey
Chiper, Alexandra-Maria
- In:
The review of economic and business studies : REBS
16
(
2023
)
1
,
pp. 155-168
Persistent link: https://www.econbiz.de/10014529495
Saved in:
9
Bootstrapping time-varying uncertainty intervals for extreme daily return periods
Makatjane, Katleho
- In:
International Journal of Financial Studies : open …
10
(
2022
)
1
,
pp. 1-23
Expected
Shortfall
(ES) uncertainty intervals in high frequency data. A Bayesian bootstrapping and backtest density forecasts …
Persistent link: https://www.econbiz.de/10012804913
Saved in:
10
The risk measurement under the variance-gamma process with drift switching
Ivanov, Roman V.
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
1
,
pp. 1-27
calculation of the value at risk and the
expected
shortfall
of the investment portfolio in the related multivariate stochastic …
Persistent link: https://www.econbiz.de/10012813564
Saved in:
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