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~subject:"Statistical distribution"
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Search: subject:"Value at Risk"
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Schätzung
Statistical distribution
Risikomaß
7,383
Risk measure
7,357
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3,588
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2,688
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962
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954
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880
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766
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658
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McAleer, Michael
26
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21
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17
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15
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15
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15
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14
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13
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13
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12
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12
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12
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11
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10
Landsman, Zinoviy
10
Dijk, Herman K. van
9
Escanciano, Juan Carlos
9
Hoogerheide, Lennart
9
Taylor, James W.
9
Haas, Markus
8
Hassani, Samir Saissi
8
Scharth, Marcel
8
Stupfler, Gilles
8
Wang, Ruodu
8
Ahelegbey, Daniel Felix
7
Asai, Manabu
7
Bee, Marco
7
Chen, Cathy W. S.
7
Chinhamu, Knowledge
7
Daouia, Abdelaati
7
Furman, Edward
7
Giudici, Paolo
7
Gupta, Rangan
7
Guégan, Dominique
7
Lucas, André
7
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7
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7
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7
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Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
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1
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1
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Insurance / Mathematics & economics
80
Journal of banking & finance
48
Journal of risk
36
International journal of forecasting
34
Finance research letters
30
Risks : open access journal
30
Discussion paper / Tinbergen Institute
28
Economic modelling
28
International review of financial analysis
28
Applied economics
27
The North American journal of economics and finance : a journal of financial economics studies
26
Journal of econometrics
25
Journal of empirical finance
25
The journal of risk model validation
23
Energy economics
20
The journal of operational risk
19
Working papers
19
Journal of financial econometrics
18
Journal of risk and financial management : JRFM
18
Quantitative finance
18
SFB 649 discussion paper
16
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
15
Journal of financial econometrics : official journal of the Society for Financial Econometrics
15
Journal of forecasting
15
International review of economics & finance : IREF
14
Computational economics
13
European journal of operational research : EJOR
12
Pacific-Basin finance journal
12
Research in international business and finance
12
Scandinavian actuarial journal
11
Journal of mathematical finance
10
Research paper series / Swiss Finance Institute
10
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
10
Applied economics letters
9
Astin bulletin : the journal of the International Actuarial Association
9
CFS working paper series
9
Econometric Institute research papers
9
Journal of international financial markets, institutions & money
9
Swiss Finance Institute Research Paper
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The European journal of finance
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ECONIS (ZBW)
1,909
EconStor
17
USB Cologne (business full texts)
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
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
2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns : Out-of-sample comparison of conditional EVT models
Tomlinson, Matthew F.
;
Greenwood, David
; …
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 324-347
Persistent link: https://www.econbiz.de/10014450274
Saved in:
8
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:
9
Climate risks and forecastability of US inflation : evidence from dynamic quantile model averaging
Luo, Jiawen
;
Cepni, Oguzhan
;
Gupta, Rangan
-
2024
Persistent link: https://www.econbiz.de/10014529004
Saved in:
10
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:
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