Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Academic Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"value‐at‐risk"
Narrow search
Narrow search
Year of publication
From:
To:
Subject
All
Risikomaß
8,319
Risk measure
8,292
Theorie
4,618
Theory
4,573
Portfolio-Management
3,175
Portfolio selection
3,157
Risikomanagement
2,963
Risk management
2,929
Risiko
2,885
Risk
2,884
Messung
1,368
Measurement
1,347
Statistische Verteilung
1,148
ARCH-Modell
1,145
Statistical distribution
1,140
ARCH model
1,135
Volatility
1,046
Schätzung
1,039
Volatilität
1,035
Estimation
1,023
Prognoseverfahren
924
Forecasting model
916
Bankrisiko
901
Bank risk
898
Kapitaleinkommen
854
Capital income
852
Kreditrisiko
841
Credit risk
823
Value-at-Risk
795
Schätztheorie
687
Estimation theory
683
Value at Risk
665
Basel Accord
597
Basler Akkord
583
Outliers
552
Ausreißer
549
Financial crisis
545
Finanzkrise
537
Multivariate Verteilung
513
Multivariate distribution
513
more ...
less ...
Online availability
All
Free
3,838
Undetermined
3,071
CC license
217
Type of publication
All
Article
6,321
Book / Working Paper
3,973
Other
8
Journal
3
Type of publication (narrower categories)
All
Article in journal
4,973
Aufsatz in Zeitschrift
4,973
Working Paper
1,326
Graue Literatur
1,208
Non-commercial literature
1,208
Arbeitspapier
1,135
Aufsatz im Buch
427
Book section
427
Hochschulschrift
237
Thesis
202
Article
118
Collection of articles of several authors
55
Sammelwerk
55
research-article
40
Collection of articles written by one author
36
Sammlung
36
Dissertation u.a. Prüfungsschriften
28
Conference paper
27
Konferenzbeitrag
27
Aufsatzsammlung
24
Lehrbuch
22
Textbook
20
Bibliografie enthalten
15
Bibliography included
15
Case study
13
Fallstudie
13
Konferenzschrift
11
Handbook
9
Handbuch
9
Conference proceedings
6
review-article
6
Ratgeber
5
Systematic review
5
Übersichtsarbeit
5
Glossar enthalten
4
Glossary included
4
Amtsdruckschrift
3
Bibliografie
3
Conference Paper
3
Congress Report
3
more ...
less ...
Language
All
English
8,651
Undetermined
1,081
German
483
Spanish
38
French
24
Portuguese
8
Czech
6
Polish
6
Italian
4
Romanian
3
Lithuanian
2
Croatian
1
Indonesian
1
Russian
1
Slovak
1
Slovenian
1
Turkish
1
more ...
less ...
Author
All
McAleer, Michael
192
Härdle, Wolfgang
72
Allen, David E.
61
Wang, Ruodu
58
Chang, Chia-Lin
49
Daníelsson, Jón
44
Fabozzi, Frank J.
44
Vries, Casper G. de
43
Jiménez-Martín, Juan-Ángel
39
Lucas, André
36
Mittnik, Stefan
36
Pérez Amaral, Teodosio
36
Stoja, Evarist
35
Hammoudeh, Shawkat
34
Paolella, Marc S.
34
Righi, Marcelo Brutti
34
Dowd, Kevin
32
Powell, Robert
31
Vanduffel, Steven
30
Gerlach, Richard
29
Rosazza Gianin, Emanuela
28
Al Janabi, Mazin A. M.
27
Embrechts, Paul
27
Pérez-Amaral, Teodosio
27
Račev, Svetlozar T.
27
Schienle, Melanie
27
Caporin, Massimiliano
26
Hoogerheide, Lennart
26
Rüschendorf, Ludger
26
Albrecht, Peter
25
Ardia, David
25
Härdle, Wolfgang Karl
25
Cheung, Ka Chun
24
Dhaene, Jan
24
Giot, Pierre
24
Huschens, Stefan
24
Polanski, Arnold
24
Stoyanov, Stoyan V.
24
Wied, Dominik
24
Hautsch, Nikolaus
23
more ...
less ...
Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
61
HAL
38
Tinbergen Instituut
26
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
23
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
21
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
20
EconWPA
17
Institut für Schweizerisches Bankwesen <Zürich>
17
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
16
Department of Economics and Finance, College of Business and Economics
16
Institute of Economic Research, Kyoto University
13
Erasmus University Rotterdam, Econometric Institute
12
Sonderforschungsbereich Ökonomisches Risiko <Berlin>
12
National Bureau of Economic Research
11
Tinbergen Institute
11
Business School, University of Sydney
10
Center for Financial Studies
10
London School of Economics (LSE)
9
National Centre of Competence in Research North South <Bern>
9
European Central Bank
8
Henley Business School, University of Reading
8
Université Paris-Dauphine (Paris IX)
8
C.E.P.R. Discussion Papers
7
Geary Institute, University College Dublin
7
Society for Computational Economics - SCE
7
Springer Fachmedien Wiesbaden
7
Basel Committee on Banking Supervision
6
Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)
6
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
6
Department of Econometrics and Business Statistics, Monash Business School
6
Deutsche Bundesbank
6
Frankfurt School of Finance and Management
6
Sveriges Riksbank
6
CESifo
5
Department Wirtschaftswissenschaften, Technische Universität Carolo-Wilhelmina zu Braunschweig
5
Faculty of Economics, University of Cambridge
5
Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain
5
Laboratoire d'Économie d'Orléans (LEO), Faculté de droit, d'économie et de gestion
5
School of Business, Edith Cowan University
5
Suomen Pankki
5
more ...
less ...
Published in...
All
Insurance / Mathematics & economics
254
Journal of banking & finance
183
European journal of operational research : EJOR
133
Journal of risk
125
Risks : open access journal
123
Finance research letters
112
International review of financial analysis
72
Economic modelling
69
The journal of risk model validation
67
Discussion paper / Tinbergen Institute
64
Energy economics
63
MPRA Paper
61
Quantitative finance
61
The journal of operational risk
60
International journal of theoretical and applied finance
56
Applied economics
55
International journal of forecasting
55
Journal of risk and financial management : JRFM
54
The North American journal of economics and finance : a journal of financial economics studies
54
Journal of empirical finance
53
Journal of forecasting
52
Journal of risk management in financial institutions
50
Journal of econometrics
47
Computational economics
44
Scandinavian actuarial journal
42
The European journal of finance
42
Insurance: Mathematics and Economics
39
International review of economics & finance : IREF
39
Research in international business and finance
39
Working paper
38
Finance and stochastics
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
37
Risks
37
Tinbergen Institute Discussion Papers
37
Management science : journal of the Institute for Operations Research and the Management Sciences
36
Research paper series / Swiss Finance Institute
36
Journal of economic dynamics & control
35
Journal of Risk and Financial Management
34
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
34
Operations research
34
more ...
less ...
Source
All
ECONIS (ZBW)
8,405
RePEc
1,331
EconStor
320
USB Cologne (business full texts)
83
USB Cologne (EcoSocSci)
61
Other ZBW resources
54
BASE
51
more ...
less ...
Showing
171
-
180
of
10,305
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
171
Portfolio rebalancing based on time series momentum and downside risk
Guo, Xiaoshi
;
Ryan, Sarah M.
- In:
IMA journal of management mathematics
34
(
2023
)
2
,
pp. 355-381
Persistent link: https://www.econbiz.de/10014313747
Saved in:
172
Model and efficient algorithm for the portfolio selection problem with real-world constraints under
value-at-risk
measure
Hooshmand, F.
;
Anoushirvani, Z.
;
MirHassani, S. A.
- In:
International transactions in operational research : a …
30
(
2023
)
5
,
pp. 2665-2690
Persistent link: https://www.econbiz.de/10014261204
Saved in:
173
The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis
Ampountolas, Apostolos
- In:
Journal of risk and financial management : JRFM
16
(
2023
)
1
,
pp. 1-17
financial portfolio returns from 2019 to 2020. Moreover, we used
value-at-risk
(VaR) and
value-at-risk
measurements based on the …
Persistent link: https://www.econbiz.de/10014295230
Saved in:
174
Maximum likelihood inference for asymmetric stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Econometrics : open access journal
11
(
2023
)
1
,
pp. 1-18
illustrates that the proposed method is a quick and accurate alternative for forecasting
value-at-risk
. …
Persistent link: https://www.econbiz.de/10014281498
Saved in:
175
Backtesting
value-at-risk
and expected shortfall in the presence of estimation error
Barendse, Sander
;
Kole, Erik
;
Dijk, Dick van
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 528-568
Persistent link: https://www.econbiz.de/10014314760
Saved in:
176
Value-at-Risk
, Tail
Value-at-Risk
and upper tail transform of the sum of two counter-monotonic random variables
Hanbali, Hamza
;
Linders, Daniël
;
Dhaene, Jan
- In:
Scandinavian actuarial journal
2023
(
2023
)
3
,
pp. 219-243
Persistent link: https://www.econbiz.de/10014336322
Saved in:
177
Minimum capital requirement and portfolio allocation for non-life insurance : a semiparametric model with Conditional
Value-at-Risk
(CVaR) constraint
Staino, Alessandro
;
Russo, Emilio
;
Costabile, Massimo
; …
- In:
Computational management science
20
(
2023
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10014228472
Saved in:
178
Estimating the
value-at-risk
by temporal VAE
Buch, Robert
;
Grimm, Stefanie
;
Korn, Ralf
;
Richert, Ivo
- In:
Risks : open access journal
11
(
2023
)
5
,
pp. 1-26
Estimation of the
value-at-risk
(VaR) of a large portfolio of assets is an important task for financial institutions …
Persistent link: https://www.econbiz.de/10014303883
Saved in:
179
Formulating MCoVaR to quantify joint transmissions of systemic risk across crypto and non-crypto markets : a multivariate copula approach
Hakim, Arief
;
Syuhada, Khreshna
-
2023
-called multivariate conditional
value-at-risk
(MCoVaR), which measures the tail risk of a targeted asset from each market conditional on a …
Persistent link: https://www.econbiz.de/10014234393
Saved in:
180
Modeling the optimal combination of proportional and stop-loss reinsurance with dependent claim and stochastic insurance premium
Sari, Suci Fratma
;
Hakim, Arief
;
Magdalena, Ikha
; …
- In:
Journal of risk and financial management : JRFM
16
(
2023
)
2
,
pp. 1-20
premium, we use the minimization of the
Value-at-Risk
(VaR) of the insurer’s net cost. When determining the optimal proportion …
Persistent link: https://www.econbiz.de/10014305958
Saved in:
First
Prev
13
14
15
16
17
18
19
20
21
22
23
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
