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~subject:"Estimation theory"
~subject:"Multivariate Verteilung"
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Search: subject:"value at risk"
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Estimation theory
Multivariate Verteilung
Risikomaß
7,517
Risk measure
7,490
Theorie
3,646
Theory
3,601
Portfolio-Management
2,749
Portfolio selection
2,731
Risikomanagement
2,297
Risk management
2,269
Risk
2,103
Risiko
2,098
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1,181
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1,160
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1,130
Statistical distribution
1,122
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1,121
Estimation
1,105
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1,038
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1,028
Volatility
989
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979
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926
Forecasting model
918
Value-at-Risk
782
Kapitaleinkommen
775
Capital income
773
Value at Risk
659
Kreditrisiko
640
Credit risk
622
Bankrisiko
570
Bank risk
567
Basel Accord
520
Basler Akkord
506
Outliers
497
Ausreißer
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Schätztheorie
491
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482
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460
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899
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18
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Härdle, Wolfgang
10
Ardia, David
9
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8
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8
Ji, Qiang
8
Okhrin, Ostap
8
Tiwari, Aviral Kumar
8
Zakoïan, Jean-Michel
8
Hammoudeh, Shawkat
7
Shahzad, Syed Jawad Hussain
7
Tian, Maoxi
7
Weiß, Gregor
7
Giacomini, Enzo
6
Righi, Marcelo Brutti
6
Stupfler, Gilles
6
Valdesogo, Alfonso
6
Belkacem, Lotfi
5
Berger, Theo
5
Bormann, Carsten
5
Cai, Zongwu
5
Ceretta, Paulo Sergio
5
Daouia, Abdelaati
5
Embrechts, Paul
5
Fantazzini, Dean
5
Ghorbel, Ahmed
5
Gouriéroux, Christian
5
Hambuckers, Julien
5
Heinen, Andréas
5
Hoogerheide, Lennart
5
Karmakar, Madhusudan
5
Lönnbark, Carl
5
Mensi, Walid
5
Pei, Pei
5
Reboredo, Juan Carlos
5
Schienle, Melanie
5
Wang, Shixuan
5
Wied, Dominik
5
Yang, Fan
5
Braun, Valentin
4
El Ghourabi, Mohamed
4
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3
Bergische Universität Wuppertal
1
Fachverlag für Wirtschafts- und Steuerrecht Schäffer <Stuttgart>
1
Karlsruher Ökonometrie-Workshop <6, 1997, Karlsruhe>
1
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
1
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Insurance / Mathematics & economics
43
Journal of risk
28
The North American journal of economics and finance : a journal of financial economics studies
19
Journal of banking & finance
18
Energy economics
15
Finance research letters
15
Risks : open access journal
15
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
14
Journal of risk and financial management : JRFM
14
Applied economics
13
Journal of econometrics
13
SFB 649 discussion paper
13
The journal of risk model validation
12
Economic modelling
11
European journal of operational research : EJOR
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Computational economics
10
International review of financial analysis
10
Quantitative finance
10
Discussion paper / Tinbergen Institute
8
International journal of forecasting
8
Journal of financial econometrics
8
Journal of forecasting
8
Journal of mathematical finance
7
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
7
The journal of operational risk
7
Dresdner Beiträge zu quantitativen Verfahren
6
International journal of theoretical and applied finance
6
The European journal of finance
6
Economics letters
5
Journal of empirical finance
5
Pacific-Basin finance journal
5
Review of quantitative finance and accounting
5
Scandinavian actuarial journal
5
Série des documents de travail / Centre de Recherche en Économie et Statistique
5
Working papers series in theoretical and applied economics
5
Applied economics letters
4
Econometrics : open access journal
4
Finance and economics discussion series
4
International Journal of Financial Studies : open access journal
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ECONIS (ZBW)
917
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1
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1
Extreme risk spillovers between stock and bond markets
Ning, Cathy Q.
;
Ponrajah, Jeremey
-
2024
Persistent link: https://www.econbiz.de/10015052590
Saved in:
2
Dynamic robust portfolio selection under market distress
Jiang, Yifu
;
Olmo, Jose
;
Atwi, Majed
- In:
The North American journal of economics and finance : a …
69
(
2024
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10014445636
Saved in:
3
Testing the correct specification of a system of spatial dependence models for stock returns
Kutzker, Tim
;
Wied, Dominik
- In:
Empirical economics : a quarterly journal of the …
66
(
2024
)
5
,
pp. 2083-2103
Persistent link: https://www.econbiz.de/10014520115
Saved in:
4
Assessing portfolio vulnerability to systemic risk : a vine copula and APARCH-DCC approach
Mba, Jules Clement
- In:
Financial innovation : FIN
10
(
2024
),
pp. 1-36
This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional
Value-at-Risk
(CoVaR …
Persistent link: https://www.econbiz.de/10014532413
Saved in:
5
A functional-coefficient VAR model for dynamic quantiles and its application to constructing nonparametric financial network
Cai, Zongwu
;
Liu, Xiyuan
;
Su, Liangjun
-
2024
Persistent link: https://www.econbiz.de/10014521096
Saved in:
6
The dynamic quantile approach for VaR estimation : empirical evidence from Indonesia banking industry
Saadah, Siti
;
Suhartoko, Yohanes B.
;
Uyanto, Stanislaus S.
- In:
Cogent business & management
11
(
2024
)
1
,
pp. 1-11
This study estimates
value-at-risk
(VaR) to measure foreign exchange risk in Indonesia's banking industry using …
Persistent link: https://www.econbiz.de/10014540205
Saved in:
7
Formulating MCoVaR to quantify joint transmissions of systemic risk across crypto and non-crypto markets : a multivariate copula approach
Hakim, Arief
;
Syuhada, Khreshna
- In:
Risks : open access journal
11
(
2023
)
2
,
pp. 1-45
-called multivariate conditional
value-at-risk
(MCoVaR), which measures the tail risk of a targeted asset from each market conditional on a …
Persistent link: https://www.econbiz.de/10014234393
Saved in:
8
Estimating the
value-at-risk
by temporal VAE
Buch, Robert
;
Grimm, Stefanie
;
Korn, Ralf
;
Richert, Ivo
- In:
Risks : open access journal
11
(
2023
)
5
,
pp. 1-26
Estimation of the
value-at-risk
(VaR) of a large portfolio of assets is an important task for financial institutions …
Persistent link: https://www.econbiz.de/10014303883
Saved in:
9
On the diversification effect in solvency II for extremely dependent risks
Chen, Yongzhao
;
Cheung, Ka Chun
;
Yam, Sheung Chi Phillip
; …
- In:
Risks : open access journal
11
(
2023
)
8
,
pp. 1-22
three maximum domains of attraction. We show that
Value-at-Risk
(V@R) under extreme-value copulas is asymptotically …
Persistent link: https://www.econbiz.de/10014370410
Saved in:
10
Remarks on a copula-based conditional
value
at
risk
for the portfolio problem
Molina Barreto, Andres Mauricio
;
Ishimura, Naoyuki
- In:
Intelligent systems in accounting, finance & management
30
(
2023
)
3
,
pp. 150-170
Persistent link: https://www.econbiz.de/10014375330
Saved in:
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