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Search: subject:"Value at Risk"
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Estimation theory
Risk measure
2,208
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2,204
Theorie
1,136
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1,136
Portfolio selection
950
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942
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862
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855
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802
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772
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439
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418
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326
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Ardia, David
4
Hoga, Yannick
4
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4
Peng, Liang
4
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3
Guillou, Armelle
3
Hoogerheide, Lennart
3
Rivieccio, Giorgia
3
Rösch, Daniel
3
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3
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2
Berens, Tobias
2
Bluteau, Keven
2
Caccioli, Fabio
2
Francq, Christian
2
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2
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2
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2
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2
Li, Deyuan
2
Liu, Wei
2
Mao, Tiantian
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Martin, R. Douglas
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2
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2
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2
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2
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2
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2
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1
Abdelli, Jihane
1
Afuecheta, Emmanuel
1
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1
Allen, David
1
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1
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Insurance / Mathematics & economics
16
Journal of risk
13
Journal of econometrics
10
Finance research letters
7
Journal of financial econometrics
7
The journal of risk model validation
6
European journal of operational research : EJOR
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
5
The North American journal of economics and finance : a journal of financial economics studies
5
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4
International journal of forecasting
4
Journal of banking & finance
4
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4
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4
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3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Scandinavian actuarial journal
3
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
The journal of operational risk
3
Applied economics
2
Econometric reviews
2
Journal of economic dynamics & control
2
Journal of empirical finance
2
Research in international business and finance
2
The European journal of finance
2
The econometrics journal
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Applied mathematical finance
1
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1
Asia-Pacific journal of financial studies
1
Asia-Pacific journal of management research and innovation : APJMRI
1
Astin bulletin : the journal of the International Actuarial Association
1
Economic modelling
1
Economic research
1
Economics letters
1
Emerging markets, finance and trade : EMFT
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
INFORMS journal on computing : JOC
1
INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences
1
INFORMS journal on optimization
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ECONIS (ZBW)
168
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1
Estimation and inference of quantile impulse response functions by local projections : with applications to VaR dynamics
Han, Heejoon
;
Jung, Whayoung
;
Lee, Ji Hyung
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014526299
Saved in:
2
Kernel quantile estimators for nested simulation with application to portfolio
value-at-risk
measurement
Liu, Xiaoyu
;
Yan, Xing
;
Zhang, Kun
- In:
European journal of operational research : EJOR
312
(
2024
)
3
,
pp. 1168-1177
Persistent link: https://www.econbiz.de/10014456483
Saved in:
3
A simulation-based method for estimating systemic risk measures
Ye, Wuyi
;
Zhou, Yi
;
Chen, Pengzhan
;
Wu, Bin
- In:
European journal of operational research : EJOR
313
(
2024
)
1
,
pp. 312-324
Persistent link: https://www.econbiz.de/10014456563
Saved in:
4
Convex and nonconvex risk-based linear regression at scale
Wu, Can
;
Cui, Ying
;
Li, Donghui
;
Sun, Defeng
- In:
INFORMS journal on computing : JOC ; charting new …
35
(
2023
)
4
,
pp. 797-816
Persistent link: https://www.econbiz.de/10014328088
Saved in:
5
Non-Gaussian models for CoVaR estimation
Bianchi, Michele Leonardo
;
De Luca, Giovanni
; …
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 391-404
Persistent link: https://www.econbiz.de/10014462788
Saved in:
6
Asymptotic subadditivity/superadditivity of
Value-at-Risk
under tail dependence
Zhu, Wenhao
;
Li, Lujun
;
Yang, Jingping
;
Xie, Jiehua
; …
- In:
Mathematical finance : an international journal of …
33
(
2023
)
4
,
pp. 1314-1369
Persistent link: https://www.econbiz.de/10014370668
Saved in:
7
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
8
The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization
Salazar Flores, Yuri
;
Díaz Hernández, Adán
; …
- In:
Applied economics
55
(
2023
)
37
,
pp. 4289-4303
Persistent link: https://www.econbiz.de/10014301231
Saved in:
9
Distributionally robust optimization based on kernel density estimation and mean-entropic
value-at-risk
Liu, Wei
;
Li, Yang
;
Yu, Bo
- In:
INFORMS journal on optimization
5
(
2023
)
1
,
pp. 68-91
Persistent link: https://www.econbiz.de/10014292039
Saved in:
10
Nonparametric density estimation and risk quantification from tabulated sample moments
Lambert, Philippe
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 177-189
Persistent link: https://www.econbiz.de/10013534519
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