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~person:"Daníelsson, Jón"
~person:"Gerlach, Richard"
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Risikomaß
43
Risk measure
42
Theorie
31
Value-at-Risk
31
Theory
29
Forecasting model
13
Prognoseverfahren
13
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12
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Daníelsson, Jón
Gerlach, Richard
McAleer, Michael
193
Allen, David E.
59
Härdle, Wolfgang
58
Chang, Chia-Lin
51
Wang, Ruodu
49
Stoja, Evarist
43
Hammoudeh, Shawkat
40
Jiménez-Martín, Juan-Ángel
39
Vries, Casper G. de
38
Fabozzi, Frank J.
37
Mittnik, Stefan
35
Dowd, Kevin
33
Polanski, Arnold
33
Pérez Amaral, Teodosio
32
Paolella, Marc S.
31
Powell, Robert
28
Embrechts, Paul
27
Lucas, André
27
Pérez-Amaral, Teodosio
27
Vanduffel, Steven
27
Caporin, Massimiliano
26
Härdle, Wolfgang Karl
25
Rüschendorf, Ludger
25
Schienle, Melanie
25
Albrecht, Peter
24
Giot, Pierre
24
Hoogerheide, Lennart
24
Huschens, Stefan
24
Righi, Marcelo Brutti
24
Rosazza Gianin, Emanuela
24
Schaumburg, Julia
24
Ardia, David
23
Dhaene, Jan
23
Hautsch, Nikolaus
23
Brandtner, Mario
22
Kratz, Marie
22
Račev, Svetlozar T.
22
Stoyanov, Stoyan V.
22
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8
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3
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1
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1
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Working Papers / Business School, University of Sydney
8
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6
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6
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4
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3
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3
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3
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3
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3
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2
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2
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2
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Risk management : a modern perspective
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Risk measures for the 21st century
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Special paper series / London School of Economics and Political Science, Financial Markets Group
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ECONIS (ZBW)
42
RePEc
24
EconStor
3
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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
A semi-parametric conditional autoregressive joint
value-at-risk
and expected shortfall modeling framework incorporating realized measures
Wang, Chao
;
Gerlach, Richard
;
Chen, Qian
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
Saved in:
3
Bayesian semi-parametric realized conditional autoregressive expectile models for tail risk forecasting
Gerlach, Richard
;
Wang, Chao
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 105-138
Persistent link: https://www.econbiz.de/10012878188
Saved in:
4
Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
Naimoli, Antonio
;
Gerlach, Richard
;
Storti, Giuseppe
- In:
Economic modelling
107
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013367470
Saved in:
5
Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures
Gerlach, Richard
;
Wang, Chao
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 489-506
Persistent link: https://www.econbiz.de/10012415185
Saved in:
6
Why risk is so hard to measure
Daníelsson, Jón
;
Chen Zhou
-
2016
Persistent link: https://www.econbiz.de/10011415993
Saved in:
7
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
Saved in:
8
Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
Wang, Chao
;
Chen, Qian
;
Gerlach, Richard
- In:
Quantitative finance
19
(
2019
)
6
,
pp. 1017-1042
Persistent link: https://www.econbiz.de/10012194739
Saved in:
9
Model risk of risk models
Daníelsson, Jón
;
James, Kevin
;
Valenzuela, Marcela
; …
- In:
Journal of financial stability
23
(
2016
),
pp. 79-91
Persistent link: https://www.econbiz.de/10011703816
Saved in:
10
Variational Bayes for assessment of dynamic quantile forecasts
Gerlach, Richard
;
Abeywardana, Sachin
- In:
International journal of forecasting
32
(
2016
)
4
,
pp. 1385-1402
Persistent link: https://www.econbiz.de/10011622172
Saved in:
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