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~person:"Chang, Chia-Lin"
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Search: subject:"stochastic dominance"
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Basel Accord
6
Basel III Accord
6
Basler Akkord
6
Risikomaß
6
Risk measure
6
Value-at-Risk
6
stochastic dominance
6
Forecasting model
5
Prognoseverfahren
5
Stochastic dominance
5
Stochastic volatility
5
divided governments
5
fat tails
5
fractional integration
5
futures prices
5
leverage and asymmetry
5
switching volatility
5
volatility risk
5
ARCH model
4
ARCH-Modell
4
Dominanztest
4
Stochastic dominance test
4
option pricing dynamics
4
variance risk premium
4
Optimizing strategy
3
Statistical distribution
3
Statistische Verteilung
3
Stochastic process
3
Stochastischer Prozess
3
optimizing strategy
3
Börsenkurs
2
Capital market returns
2
Derivat
2
Derivative
2
Expected Shortfall
2
Futures exchange
2
Kapitalmarktrendite
2
Option trading
2
Optionsgeschäft
2
Risikoprämie
2
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Free
12
Undetermined
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Working Paper
8
Arbeitspapier
5
Graue Literatur
5
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2
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English
11
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4
Author
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Chang, Chia-Lin
Duclos, Jean-Yves
57
Makdissi, Paul
46
Wong, Wing Keung
38
Wong, Wing-Keung
35
Maasoumi, Esfandiar
34
McAleer, Michael
32
Post, Thierry
29
Topaloglou, Nikolas
26
Pinar, Mehmet
24
Guo, Xu
19
Levy, Haim
19
Tzeng, Larry Y.
16
Arvanitis, Stelios
15
Clark, Ephraim
14
Huang, Rachel J.
14
Stengos, Thanasis
14
Araar, Abdelkrim
13
Eeckhoudt, Louis
13
Denuit, Michel
12
Gao, Jianwei
12
Hooi Hooi Lean
12
Kopa, Miloš
12
Lean, Hooi Hooi
12
Levy, Moshe
12
Yazbeck, Myra
12
Gollier, Christian
11
Havnes, Tarjei
11
Heshmati, Almas
11
Tsetlin, Ilia
11
Zhu, Lixing
11
Aaberge, Rolf
10
Borjas, George J.
10
Kauppinen, Ilpo
10
Lefranc, Arnaud
10
Post, G.T.
10
Post, Post, G.T.
10
Poutvaara, Panu
10
Schlesinger, Harris
10
Stengos, Thanasēs
10
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Department of Economics and Finance, College of Business and Economics
1
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
1
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
1
Tinbergen Instituut
1
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Discussion paper / Tinbergen Institute
3
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1
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1
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ECONIS (ZBW)
8
RePEc
4
EconStor
3
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1
Choosing expected shortfall over VaR in Basel III using
stochastic
dominance
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
will be achieved in the paper by using a
Stochastic
Dominance
(SD) approach to rank ES and VaR. …
Persistent link: https://www.econbiz.de/10011431395
Saved in:
2
Choosing Expected Shortfall Over VaR in Basel III Using
Stochastic
Dominance
Chang, Chia-Lin
-
2016
We compare Value at Risk (VaR) and Expected Shortfall (ES) following a
Stochastic
Dominance
(SD) approach frequently … analysis based on
stochastic
dominance
is provided here as an effective tool for comparing distributions of daily capital …
Persistent link: https://www.econbiz.de/10012996938
Saved in:
3
A
Stochastic
Dominance
Approach to the Basel III Dilemma: Expected Shortfall or VaR?
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that "a number of weaknesses have been identified with using VaR for determining regulatory capital...
Persistent link: https://www.econbiz.de/10011288403
Saved in:
4
Choosing Expected Shortfall over VaR in Basel III Using
Stochastic
Dominance
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
will be achieved in the paper by using a
Stochastic
Dominance
(SD) approach to rank ES and VaR. …
Persistent link: https://www.econbiz.de/10011451509
Saved in:
5
Choosing expected shortfall over VaR in Basel III using
stochastic
dominance
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011432786
Saved in:
6
A
stochastic
dominance
approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that - a number of weaknesses have been identified with using VaR for determining regulatory capital...
Persistent link: https://www.econbiz.de/10010532611
Saved in:
7
A
stochastic
dominance
approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011346199
Saved in:
8
Econometric Analysis of Financial Derivatives: An Overview
Chang, Chia-Lin
;
McAleer, Michael
-
Tinbergen Instituut
-
2014
dynamics in commodity spot and futures markets, a
stochastic
dominance
approach to financial risk management strategies …
Persistent link: https://www.econbiz.de/10011256249
Saved in:
9
A
Stochastic
Dominance
Approach to Financial Risk Management Strategies
Chang, Chia-Lin
;
Jimenez-Martin, Juan Angel Jimenez Martin
-
Facultad de Ciencias Económicas y Empresariales, …
-
2014
statistical tests of
stochastic
dominance
(SD). The SD tests are illustrated using the prices and returns of VIX futures. The …
Persistent link: https://www.econbiz.de/10010778728
Saved in:
10
Econometric Analysis of Financial Derivatives
Chang, Chia-Lin
;
McAleer, Michael
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2014
dynamics in commodity spot and futures markets, a
stochastic
dominance
approach to financial risk management strategies …
Persistent link: https://www.econbiz.de/10011274352
Saved in:
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