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  • Search: subject:"RISK FORECASTING"
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Year of publication
Subject
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Forecasting model 19 Prognoseverfahren 19 Risikomaß 16 Risk measure 16 Theorie 15 Theory 15 Risikomanagement 14 Risiko 13 Risk 13 Risk management 13 Portfolio selection 12 Portfolio-Management 12 Volatility 9 Volatilität 9 ARCH model 8 ARCH-Modell 8 Time series analysis 7 Zeitreihenanalyse 7 risk forecasting 7 Risk forecasting 6 Value-at-Risk forecasting 6 Statistical distribution 5 Statistische Verteilung 5 Capital income 4 Financial crisis 4 Kapitaleinkommen 4 Prognose 4 expected shortfall 4 Financial market 3 Finanzmarkt 3 Forecast 3 Multivariate Verteilung 3 Multivariate distribution 3 Aktienindex 2 Analysis of variance 2 Copulas 2 Credit risk 2 Credit risk forecasting 2 Erdöl 2 Estimation 2
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Online availability
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Undetermined 19 Free 9
Type of publication
All
Article 25 Book / Working Paper 8
Type of publication (narrower categories)
All
Article in journal 20 Aufsatz in Zeitschrift 20 Graue Literatur 2 Non-commercial literature 2 Working Paper 2 Arbeitspapier 1 Hochschulschrift 1
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Language
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English 24 Undetermined 9
Author
All
Müller, Fernanda Maria 5 Righi, Marcelo Brutti 4 Beckers, Benjamin 3 Louzis, Dimitrios P. 3 Xanthopoulos-Sisinis, Spyros 3 Cerrato, Mario 2 Crosby, John 2 Gössling, Thalles Weber 2 Herwartz, Helmut 2 Kim, Minjoo 2 Naimoli, Antonio 2 Refenes, Apostolos P. 2 Santos, Samuel Solgon 2 Seidel, Moritz 2 Zhao, Yang 2 Bader, Martin A. 1 Bardos, Mireille 1 Batten, Jonathan A. 1 Chao, Wang 1 Chen, Lu 1 Cheng, Yihan 1 Chi, Xie 1 De Franco, Chiara 1 Ewald, Christian 1 Fritzsch, Simon 1 Gerlach, Richard 1 Hadina, Jelena 1 Haugom, Erik 1 He, Kaijian 1 Jian, Wang 1 Jiang, Cuixia 1 Juan, He 1 Kinateder, Harald 1 Lazar, Emese 1 Lei, Chen 1 Li, Chongyang 1 Lien, Gudbrand 1 Liu, Jia 1 Liu, Yezheng 1 Michaelides, Michael 1
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Institution
All
Business School, University of Sydney 1 DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 1 Department of Economics, Adam Smith Business School 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
All
Journal of forecasting 4 Finance research letters 3 Computational economics 2 ASTIN bulletin : the journal of the International Actuarial Association 1 Computational Economics 1 DIW Discussion Papers 1 Discussion Papers of DIW Berlin 1 Discussion papers / Adam Smith Business School, University of Glasgow 1 E3 Journal of Business Management and Economics. 1 Economic Modelling 1 Economic modelling 1 Energy economics 1 International economics : a journal published by CEPII (Center for research and expertise on the world economy) 1 International journal of forecasting 1 International journal of production economics 1 International review of financial analysis 1 Journal of banking and finance 1 MPRA Paper 1 Physica A: Statistical Mechanics and its Applications 1 Quantitative finance 1 Technological forecasting & social change : an international journal 1 The financial review : the official publication of the Eastern Finance Association 1 Working Papers / Business School, University of Sydney 1 Working Papers / Department of Economics, Adam Smith Business School 1 Вестник Южно-Уральского государственного университета. Серия: Экономика и менеджмент 1
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Source
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ECONIS (ZBW) 22 RePEc 9 EconStor 1 USB Cologne (EcoSocSci) 1
Showing 11 - 20 of 33
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The lending risk predicting of the folk informal financial organization from big data using the deep learning hybrid model
Shi, Tao; Li, Chongyang; Wanyan, Hong; Xu, Ying; Zhang, Wei - In: Finance research letters 50 (2022), pp. 1-8
Persistent link: https://www.econbiz.de/10014239950
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Forecasting expected shortfall and value at risk with a joint elicitable mixed data sampling model
Xu, Qifa; Chen, Lu; Jiang, Cuixia; Liu, Yezheng - In: Journal of forecasting 41 (2022) 3, pp. 407-421
Persistent link: https://www.econbiz.de/10013166148
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Comparison of risk forecasts for cryptocurrencies : a focus on Range Value at Risk
Müller, Fernanda Maria; Santos, Samuel Solgon; … - In: Finance research letters 48 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10013463260
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Booms and busts in asset prices : risk modeling, bubble detection, and the role of monetary policy
Beckers, Benjamin - 2017
Persistent link: https://www.econbiz.de/10012659432
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Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
Gerlach, Richard; Naimoli, Antonio; Storti, Giuseppe - In: Quantitative finance 20 (2020) 11, pp. 1849-1878
Persistent link: https://www.econbiz.de/10012295647
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Forecasting risk measures using intraday data in a generalized autoregressive score framework
Lazar, Emese; Xue, Xiaohan - In: International journal of forecasting 36 (2020) 3, pp. 1057-1072
Persistent link: https://www.econbiz.de/10012497719
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Forecasting SMEs' credit risk in supply chain finance with an enhanced hybrid ensemble machine learning approach
Zhu, You; Zhou, Li; Chi, Xie; Wang, Gang-Jin; Truong … - In: International journal of production economics 211 (2019), pp. 22-33
Persistent link: https://www.econbiz.de/10012013892
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Forecasting risk via realized GARCH, incorporating the realized range
Chao, Wang; Richard, Gerlach - Business School, University of Sydney - 2014
compare favourably for tail risk forecasting, both during and after the global financial crisis. … more efficient series of information than re- alized variance or daily returns, for the purpose of volatility and tail risk … forecasting in a financial time series. A Bayesian adaptive Markov chain Monte Carlo method is employed for estimation and …
Persistent link: https://www.econbiz.de/10010951635
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Forecasting the risk of speculative assets by means of copula distributions
Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - 2013
The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and expected shortfall forecasts that exploits the...
Persistent link: https://www.econbiz.de/10010292668
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Forecasting the Risk of Speculative Assets by Means of Copula Distributions
Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and expected shortfall forecasts that exploits the...
Persistent link: https://www.econbiz.de/10010632797
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