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Search: subject:"value at risk"
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Value at Risk
2
extreme value theory
2
model averaging
2
Expected Shortfall
1
Value-at-Risk
1
bootstrapping
1
decision based evaluation
1
decision based evaluations
1
expected equities returns
1
expected shortfall
1
hybrid historical simulation
1
investment horizon
1
ranking
1
value at risk
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value-at-risk
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vector auto-regression
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English
3
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2
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Filer, Randall
2
Pesaran, M. Hashem
2
Zaffaroni, Paolo
2
Zikovic, Sasa
2
Bec, Frédérique
1
Gollier, Christian
1
Schleicher, Christoph
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CESifo
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
National Bureau of Economic Research
13
Erasmus University Rotterdam, Econometric Institute
12
Sonderforschungsbereich Ökonomisches Risiko <Berlin>
12
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
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
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
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
5
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CESifo Working Paper Series
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RePEc
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1
Ranking of VaR and ES Models: Performance in Developed and Emerging Markets
Zikovic, Sasa
;
Filer, Randall
-
CESifo
-
2012
An inherent problem with comparing and ranking competing
Value
at
Risk
(VaR) and Expected shortfall (ES) models is that …
Persistent link: https://www.econbiz.de/10010586077
Saved in:
2
Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets
Zikovic, Sasa
;
Filer, Randall
-
CESifo
-
2009
We introduce a new hybrid approach to joint estimation of
Value
at
Risk
(VaR) and Expected Shortfall (ES) for high …
Persistent link: https://www.econbiz.de/10008572519
Saved in:
3
Term Structure and Cyclicity of
Value-at-Risk
: Consequences for the Solvency Capital Requirement
Bec, Frédérique
;
Gollier, Christian
-
CESifo
-
2009
This paper explores empirically the link between French equities returns
Value-at-Risk
(VaR) and the state of financial …
Persistent link: https://www.econbiz.de/10005051507
Saved in:
4
Model Averaging in Risk Management with an Application to Futures Markets
Pesaran, M. Hashem
;
Schleicher, Christoph
;
Zaffaroni, Paolo
-
CESifo
-
2008
management. Evaluation of volatility models is then considered and a simple
Value-at-Risk
(VaR) diagnostic test is proposed for …
Persistent link: https://www.econbiz.de/10005766289
Saved in:
5
Model Averaging and
Value-at-Risk
Based Evaluation of Large Multi Asset Volatility Models for Risk Management
Pesaran, M. Hashem
;
Zaffaroni, Paolo
-
CESifo
-
2004
considered and a simple
Value-at-Risk
(VaR) diagnostic test is proposed for individual as well as ‘average’ models and its exact …
Persistent link: https://www.econbiz.de/10005405936
Saved in:
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