//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~subject:"Portfolio selection"
~subject:"Schätzung"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Expected Shortfall"
Narrow search
Delete all filters
| 2 applied filters
Year of publication
From:
To:
Subject
All
Portfolio selection
Schätzung
Risikomaß
7,350
Risk measure
7,345
Theorie
3,497
Theory
3,493
Portfolio-Management
2,650
Risikomanagement
2,172
Risk management
2,152
Risk
2,030
Risiko
2,029
Messung
1,150
Measurement
1,137
Statistische Verteilung
1,096
Statistical distribution
1,095
Estimation
1,063
ARCH-Modell
998
ARCH model
996
Volatility
927
Volatilität
927
Prognoseverfahren
873
Forecasting model
872
Capital income
753
Kapitaleinkommen
753
Kreditrisiko
594
Credit risk
592
Bank risk
538
Bankrisiko
538
Basel Accord
488
Basler Akkord
488
Outliers
487
Ausreißer
485
Schätztheorie
474
Estimation theory
473
Financial crisis
457
Finanzkrise
455
Multivariate Verteilung
454
Multivariate distribution
454
Welt
408
World
407
more ...
less ...
Online availability
All
Undetermined
1,195
Free
1,026
Type of publication
All
Article
2,231
Book / Working Paper
1,107
Type of publication (narrower categories)
All
Article in journal
2,068
Aufsatz in Zeitschrift
2,068
Graue Literatur
475
Non-commercial literature
475
Working Paper
444
Arbeitspapier
441
Aufsatz im Buch
141
Book section
141
Hochschulschrift
106
Thesis
78
Collection of articles written by one author
19
Sammlung
19
Collection of articles of several authors
18
Sammelwerk
18
Conference paper
13
Konferenzbeitrag
13
Lehrbuch
11
Textbook
10
Aufsatzsammlung
7
Handbook
4
Handbuch
4
Bibliografie enthalten
3
Bibliography included
3
Case study
3
Fallstudie
3
Forschungsbericht
2
Ratgeber
2
Accompanied by computer file
1
Amtliche Publikation
1
Amtsdruckschrift
1
Bibliografie
1
Book review
1
CD-ROM, DVD
1
Elektronischer Datenträger als Beilage
1
Glossar enthalten
1
Glossary included
1
Government document
1
Guidebook
1
Mehrbändiges Werk
1
Multi-volume publication
1
more ...
less ...
Language
All
English
3,221
German
109
French
5
Italian
2
Spanish
1
Undetermined
1
Author
All
McAleer, Michael
53
Wang, Ruodu
23
Hammoudeh, Shawkat
22
Härdle, Wolfgang
22
Pérez Amaral, Teodosio
20
Allen, David E.
18
Righi, Marcelo Brutti
17
Rosazza Gianin, Emanuela
17
Vries, Casper G. de
17
Fabozzi, Frank J.
15
Paolella, Marc S.
15
Rüschendorf, Ludger
15
Stoja, Evarist
14
Caporin, Massimiliano
13
Vanduffel, Steven
13
Brandtner, Mario
12
Janabi, Mazin A. M. al
12
Jiménez-Martín, Juan-Ángel
12
Lucas, André
12
Mittnik, Stefan
12
Chang, Chia-Lin
11
Fortin, Ines
11
Uryasev, Stan
11
Albrecht, Peter
10
Bernard, Carole
10
Hyung, Namwon
10
Kang, Sang Hoon
10
Manganelli, Simone
10
Mao, Tiantian
10
Mensi, Walid
10
Daníelsson, Jón
9
Escanciano, Juan Carlos
9
Farkas, Walter
9
Hlouskova, Jaroslava
9
Kim, Young Shin
9
Müller, Fernanda Maria
9
Powell, Robert
9
Račev, Svetlozar T.
9
Rengifo, Erick W.
9
Rösch, Daniel
9
more ...
less ...
Institution
All
National Bureau of Economic Research
6
Basel Committee on Banking Supervision
3
Friedrich-Schiller-Universität Jena
3
Springer Fachmedien Wiesbaden
3
University of Canterbury / Dept. of Economics and Finance
3
Universität Mannheim
3
Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes
2
Columbia University / Graduate School of Business
1
Edward Elgar Publishing
1
Fachverlag für Wirtschafts- und Steuerrecht Schäffer <Stuttgart>
1
Gottfried Wilhelm Leibniz Universität Hannover
1
Massachusetts Institute of Technology / Department of Economics
1
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
1
Technische Universität Chemnitz
1
University of York / Department of Economics and Related Studies
1
Université de Lausanne / Institut de gestion bancaire et financière
1
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
1
Verlag Dr. Kovač
1
Verlag Wissenschaft & Praxis Dr. Brauner GmbH
1
Walter de Gruyter GmbH & Co. KG
1
more ...
less ...
Published in...
All
Insurance / Mathematics & economics
110
Journal of banking & finance
89
Journal of risk
63
European journal of operational research : EJOR
62
Risks : open access journal
52
Finance research letters
51
Economic modelling
42
The North American journal of economics and finance : a journal of financial economics studies
39
Quantitative finance
38
International review of financial analysis
36
Applied economics
34
Discussion paper / Tinbergen Institute
31
Journal of risk and financial management : JRFM
31
The journal of risk model validation
27
Journal of empirical finance
26
International journal of theoretical and applied finance
24
Journal of econometrics
23
Energy economics
22
International journal of forecasting
22
Journal of economic dynamics & control
22
Computational economics
21
Research in international business and finance
21
Research paper series / Swiss Finance Institute
21
The European journal of finance
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Econometric Institute research papers
18
International review of economics & finance : IREF
18
Management science : journal of the Institute for Operations Research and the Management Sciences
18
Working papers
18
Finance and stochastics
17
Journal of international financial markets, institutions & money
17
Operations research
17
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
16
Journal of forecasting
16
Working paper
16
The journal of asset management
15
Journal of mathematical finance
14
Pacific-Basin finance journal
13
Scandinavian actuarial journal
13
Journal of financial econometrics
12
more ...
less ...
Source
All
ECONIS (ZBW)
3,334
EconStor
3
RePEc
1
Showing
1
-
10
of
3,338
Sort
Relevance
Date (newest first)
Date (oldest first)
1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or
expected
shortfall
?
Abraham, Rebecca
;
El-Chaarani, Hani
;
Tao, Zhi
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
2
,
pp. 1-31
% confidence level, and Value-at-Risk at a 99% confidence level.
Expected
Shortfall
was another extreme risk value measure. The …
Persistent link: https://www.econbiz.de/10012872607
Saved in:
1
2
3
4
5
6
7
8
9
10
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->