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Search: subject:"Value at Risk"
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Estimation theory
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Risikomaß
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7,357
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Stoja, Evarist
15
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11
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10
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Insurance / Mathematics & economics
85
Journal of banking & finance
35
Journal of risk
32
International journal of forecasting
27
Risks : open access journal
27
Discussion paper / Tinbergen Institute
24
Journal of econometrics
21
The journal of operational risk
20
The journal of risk model validation
20
Finance research letters
19
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
18
Economic modelling
17
Journal of empirical finance
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
Applied economics
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European journal of operational research : EJOR
15
Journal of financial econometrics
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Quantitative finance
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SFB 649 discussion paper
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Computational economics
14
Journal of forecasting
14
International review of financial analysis
13
Journal of risk and financial management : JRFM
12
Scandinavian actuarial journal
12
The North American journal of economics and finance : a journal of financial economics studies
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International journal of theoretical and applied finance
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10
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ECONIS (ZBW)
1,439
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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
Value-at-Risk
Qiu, Zhiguo
;
Lazar, Emese
;
Nakata, Keiichi
- In:
International review of financial analysis
92
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014492387
Saved in:
3
Multivariate spectral backtests of forecast distributions under unknown dependencies
Balter, Janine
;
McNeil, Alexander J.
- In:
Risks : open access journal
12
(
2024
)
1
,
pp. 1-15
-desk
value-at-risk
(VaR) backtest as a special case. The spectral tests make use of realised probability integral transform …
Persistent link: https://www.econbiz.de/10014480976
Saved in:
4
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:
5
First passage times in portfolio optimization : a novel nonparametric approach
Zsurkis, Gabriel
;
Nicolau, João
;
Rodrigues, Paulo M. M.
- In:
European journal of operational research : EJOR
312
(
2024
)
3
,
pp. 1074-1085
Persistent link: https://www.econbiz.de/10014456467
Saved in:
6
Value-at-Risk
effectiveness : a high-frequency data approach with semi-heavy tails
Contreras-Valdez, Mario Ivan
;
Sahu, Sonal
; …
- In:
Risks : open access journal
12
(
2024
)
3
,
pp. 1-23
In the broader landscape of cryptocurrency risk management, this study delves into the nuanced estimation of
Value-at-Risk
…
Persistent link: https://www.econbiz.de/10014497426
Saved in:
7
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:
8
Value-at-Risk
, Tail
Value-at-Risk
and upper tail transform of the sum of two counter-monotonic random variables
Hanbali, Hamza
;
Linders, Daniël
;
Dhaene, Jan
- In:
Scandinavian actuarial journal
2023
(
2023
)
3
,
pp. 219-243
Persistent link: https://www.econbiz.de/10014336322
Saved in:
9
Risk averse constrained blackbox optimization under mixed aleatory/epistemic uncertainties
Audet, Charles
;
Bigeon, Jean
;
Couderc, Romain
; …
-
2023
Persistent link: https://www.econbiz.de/10014417933
Saved in:
10
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
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