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~subject:"Estimation theory"
~isPartOf:"Série des documents de travail / Centre de Recherche en Économie et Statistique"
~isPartOf:"Applied economics"
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Search: subject:"Value at Risk"
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Estimation theory
Risikomaß
64
Risk measure
64
Theorie
27
Theory
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25
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25
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23
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Gouriéroux, Christian
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Francq, Christian
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Zakoïan, Jean-Michel
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Díaz Hernández, Adán
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Série des documents de travail / Centre de Recherche en Économie et Statistique
Applied economics
Insurance / Mathematics & economics
24
Journal of risk
21
Journal of econometrics
13
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
Journal of financial econometrics : official journal of the Society for Financial Econometrics
9
The journal of risk model validation
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7
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SFB 649 discussion paper
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International journal of forecasting
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International journal of theoretical and applied finance
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of operational risk
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International journal of monetary economics and finance
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ECONIS (ZBW)
7
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1
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:
2
Unconditional density vs conditional density functions in estimating
value-at-risk
Chiu, Yen-Chen
;
Chuang, I-Yuan
- In:
Applied economics
53
(
2021
)
4
,
pp. 482-494
Persistent link: https://www.econbiz.de/10012416070
Saved in:
3
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
4
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
-
2009
Persistent link: https://www.econbiz.de/10003935355
Saved in:
5
Sensitivity analysis of distortion risk measures
Gouriéroux, Christian
;
Liu, Wei
-
2006
Persistent link: https://www.econbiz.de/10003468643
Saved in:
6
Tails and extremal behaviour of stochastic unit root models
Gouriéroux, Christian
;
Robert, Christian Yann
-
2001
Persistent link: https://www.econbiz.de/10001626924
Saved in:
7
Local likelihood density estimation and
value
at
risk
Gouriéroux, Christian
;
Jasiak, Joann
-
2001
-
Rev. version
Persistent link: https://www.econbiz.de/10001626927
Saved in:
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