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~subject:"Estimation theory"
~isPartOf:"Journal of risk and financial management : JRFM"
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Estimation theory
Risikomaß
52
Risk measure
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Portfolio selection
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expected shortfall
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Multivariate Verteilung
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value-at-risk
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portfolio optimization
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value at risk
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conditional value-at-risk
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Nadarajah, Saralees
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Altun, Emrah
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Doko Tchatoka, Firmin
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Journal of risk and financial management : JRFM
Insurance / Mathematics & economics
24
Journal of risk
21
Journal of econometrics
13
The journal of risk model validation
11
Finance research letters
10
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
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9
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7
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The North American journal of economics and finance : a journal of financial economics studies
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Working papers series in theoretical and applied economics
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1
Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model
Fard, Farzad Alavi
;
Doko Tchatoka, Firmin
; …
- In:
Journal of risk and financial management : JRFM
14
(
2021
)
3/97
,
pp. 1-19
maximising Shannon's entropy subject to a set of moment constraints, which in turn yields the
value-at-risk
and expected …
Persistent link: https://www.econbiz.de/10012484861
Saved in:
2
Conditional
value-at-risk
Golodnikov, Alex
;
Kuzmenko, Viktor
;
Uryasev, Stan
- In:
Journal of risk and financial management : JRFM
12
(
2019
)
3/107
,
pp. 1-22
A popular risk measure, conditional
value-at-risk
(CVaR), is called expected shortfall (ES) in financial applications …
Persistent link: https://www.econbiz.de/10012025262
Saved in:
3
The Burr X Pareto Distribution : properties, applications and VaR estimation
Korkmaz, Mustafa Ç.
;
Altun, Emrah
;
Yousof, Haitham M.
; …
- In:
Journal of risk and financial management : JRFM
11
(
2018
)
1
,
pp. 1-16
-over-threshold method is used to estimate
Value-at-Risk
(VaR) by means of the proposed distribution. We compare the distribution with a few …
Persistent link: https://www.econbiz.de/10011854963
Saved in:
4
GARCH modelling of cryptocurrencies
Chu, Jeffrey
;
Chan, Stephen
;
Nadarajah, Saralees
; …
- In:
Journal of risk and financial management : JRFM
10
(
2017
)
4
,
pp. 1-15
and acceptability of
value
at
risk
estimates. …
Persistent link: https://www.econbiz.de/10011854856
Saved in:
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