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Bayesian mixed-frequency quantile vector autoregression : eliciting tail risks of monthly US GDP
Iacopini, Matteo
;
Poon, Aubrey
;
Rossini, Luca
;
Zhu, Dan
- In:
Journal of economic dynamics & control
157
(
2023
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014495378
Saved in:
2
Numerical solution of dynamic quantile models
Castro, Luciano I. de
;
Galvão Júnior, Antônio Fialho
; …
- In:
Journal of economic dynamics & control
148
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014240037
Saved in:
3
Backtesting macroprudential stress tests
Ramadiah, Amanah
;
Fricke, Daniel
;
Caccioli, Fabio
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-33
Persistent link: https://www.econbiz.de/10013464518
Saved in:
4
On the black swan risk dynamical evaluation
Zuev, Sergei
;
Kabalyants, Petr
- In:
International journal of risk assessment and management …
25
(
2022
)
1/2
,
pp. 56-66
Persistent link: https://www.econbiz.de/10014227074
Saved in:
5
Scenario-based stochastic model for supplier selection and order allocation under disruption risk and quantity discount
Hamdi, Faiza
;
Masmoudi, Faouzi
- In:
International journal of risk assessment and management …
25
(
2022
)
1/2
,
pp. 84-102
Persistent link: https://www.econbiz.de/10014227076
Saved in:
6
Salience, systemic risk and spectral risk measures as capital requirements
Matyska, Branka
- In:
Journal of economic dynamics & control
125
(
2021
),
pp. 1-29
Persistent link: https://www.econbiz.de/10012666998
Saved in:
7
Network tail risk estimation in the European banking system
Torri, Gabriele
;
Giacometti, Rosella
;
Tichý, Tomáš
- In:
Journal of economic dynamics & control
127
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012668977
Saved in:
8
Multi-agent-based VaR forecasting
Tubbenhauer, Tobias
;
Fieberg, Christian
;
Poddig, Thorsten
- In:
Journal of economic dynamics & control
131
(
2021
),
pp. 1-26
Persistent link: https://www.econbiz.de/10012818249
Saved in:
9
Tail Granger causalities and where to find them : extreme risk spillovers vs spurious linkages
Mazzarisi, Piero
;
Zaoli, Silvia
;
Campajola, Carlo
; …
- In:
Journal of economic dynamics & control
121
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012504161
Saved in:
10
Measuring network systemic risk contributions : a leave-one-out approach
Hué, Sullivan
;
Lucotte, Yannick
;
Tokpavi, Sessi
- In:
Journal of economic dynamics & control
100
(
2019
),
pp. 86-114
Persistent link: https://www.econbiz.de/10012130949
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11
Dynamic expected shortfall : a spectral decomposition of tail risk across time horizons
Bu, Di
;
Liao, Yin
;
Shi, Jing
;
Peng, Hongfeng
- In:
Journal of economic dynamics & control
108
(
2019
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012313627
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12
Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
Strub, Moris S.
;
Li, Duan
;
Cui, Xiangyu
;
Gao, Jianjun
- In:
Journal of economic dynamics & control
108
(
2019
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012313656
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13
Capturing deep tail risk via sequential learning of quantile dynamics
Wu, Qi
;
Yan, Xing
- In:
Journal of economic dynamics & control
109
(
2019
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012314027
Saved in:
14
Improving daily Value-at-Risk forecasts : the relevance of short-run volatility for regulatory quality assessment
Berger, Theo
;
Gençay, Ramazan
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 30-46
Persistent link: https://www.econbiz.de/10011974231
Saved in:
15
Index tracking model, downside risk and non-parametric kernel estimation
Huang, Jinbo
;
Li, Yong
;
Yao, Haixiang
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 103-128
Persistent link: https://www.econbiz.de/10011974395
Saved in:
16
Current volatility as a measure of market risk
Kussy, Mikhail
- In:
International journal of risk assessment and management …
20
(
2017
)
4
,
pp. 333-349
Persistent link: https://www.econbiz.de/10011859119
Saved in:
17
Impact of value-at-risk models on market stability
Llacay, Bàrbara
;
Peffer, Gilbert
- In:
Journal of economic dynamics & control
82
(
2017
),
pp. 223-256
Persistent link: https://www.econbiz.de/10011915567
Saved in:
18
Practical implementation of scenario generation-based risk analysis of electrical girds investment projects
Verdelho, Maria Inês
;
Carvalho, Pedro M. S.
;
Santana, …
- In:
International journal of risk assessment and management …
19
(
2016
)
4
,
pp. 331-345
Persistent link: https://www.econbiz.de/10011658880
Saved in:
19
Quantifying market risk with Value-at-Risk or Expected Shortfall? : consequences for capital requirements and model risk
Kellner, Ralf
;
Rösch, Daniel
- In:
Journal of economic dynamics & control
68
(
2016
),
pp. 45-63
Persistent link: https://www.econbiz.de/10011708407
Saved in:
20
Robust measurement of (heavy-tailed) risks : theory and implementation
Schneider, Judith Christiane
;
Schweizer, Nikolaus
- In:
Journal of economic dynamics & control
61
(
2015
),
pp. 152-182
Persistent link: https://www.econbiz.de/10011589518
Saved in:
21
Cross-hedging minimum return guarantees : basis and liquidity risks
Ankirchner, Stefan
;
Schneider, Judith Christiane
; …
- In:
Journal of economic dynamics & control
41
(
2014
),
pp. 93-109
Persistent link: https://www.econbiz.de/10010425003
Saved in:
22
Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
Lee, Yong Woong
;
Poon, Ser-Huang
- In:
Journal of economic dynamics & control
41
(
2014
),
pp. 69-92
Persistent link: https://www.econbiz.de/10010425019
Saved in:
23
Portfolio management with robustness in both prediction and decision : a mixture model based learning approach
Zhu, Shushang
;
Fan, Minjie
;
Li, Duan
- In:
Journal of economic dynamics & control
48
(
2014
),
pp. 1-25
Persistent link: https://www.econbiz.de/10010485842
Saved in:
24
Robust tracking error portfolio selection with worst-case downside risk measures
Ling, Aifan
;
Sun, Jie
;
Yang, Xiaoguang
- In:
Journal of economic dynamics & control
39
(
2014
),
pp. 178-207
Persistent link: https://www.econbiz.de/10010388754
Saved in:
25
A dynamic autoregressive expectile for time-invariant portfolio protection strategies
Hamidi, Benjamin
;
Maillet, Bertrand
;
Prigent, Jean-Luc
- In:
Journal of economic dynamics & control
46
(
2014
),
pp. 1-29
Persistent link: https://www.econbiz.de/10010474410
Saved in:
26
Multivariate VaRs for operational risk capital computation : a vine structure approach
Guégan, Dominique
;
Hassani, Bertrand K.
- In:
International journal of risk assessment and management …
17
(
2013
)
2
,
pp. 148-170
Persistent link: https://www.econbiz.de/10010385914
Saved in:
27
A disaster warning model for a spacecraft launch based on information fusion and network inference
Dong, Xuejun
;
Chen, Yingwu
;
Ma, Jianwei
;
Li, Ming
- In:
International journal of risk assessment and management …
16
(
2012
)
1/2/3
,
pp. 142-171
Persistent link: https://www.econbiz.de/10009575274
Saved in:
28
Better safe than sorry : experiences of large US corporations in their global operation
Hashmi, M. A.
;
Al-Habib, Mohammed
- In:
International journal of risk assessment and management …
16
(
2012
)
1/2/3
,
pp. 128-141
Persistent link: https://www.econbiz.de/10009575276
Saved in:
29
Design for acceptable risk in transportation pipelines
Dawotola, Alex W.
;
Gelder, Pieter van
;
Vrijling, Han
- In:
International journal of risk assessment and management …
16
(
2012
)
1/2/3
,
pp. 112-127
Persistent link: https://www.econbiz.de/10009575278
Saved in:
30
The regional consequences of individual natural hazard events
Jones, Jennifer Marie
;
Corotis, Ross B.
- In:
International journal of risk assessment and management …
16
(
2012
)
1/2/3
,
pp. 78-111
Persistent link: https://www.econbiz.de/10009575283
Saved in:
31
Expert judgement and re-elicitation for prion disease risk uncertainties
Tyshenko, Michael G.
;
ElSaadany, Susie
;
Oraby, Tamer
; …
- In:
International journal of risk assessment and management …
16
(
2012
)
1/2/3
,
pp. 48-77
Persistent link: https://www.econbiz.de/10009575285
Saved in:
32
Simulating and calibrating diversification against black swans
Hyung, Namwon
;
Vries, Casper G. de
- In:
Journal of economic dynamics & control
36
(
2012
)
8
,
pp. 1162-1175
Persistent link: https://www.econbiz.de/10009634272
Saved in:
33
Improving the value at risk forecasts : theory and evidence from the financial crisis
Halbleib, Roxana
;
Pohlmeier, Winfried
- In:
Journal of economic dynamics & control
36
(
2012
)
8
,
pp. 1212-1228
Persistent link: https://www.econbiz.de/10009655698
Saved in:
34
A coupled Markov chain approach to credit risk modeling
Wozabal, David
;
Hochreiter, Ronald
- In:
Journal of economic dynamics & control
36
(
2012
)
3
,
pp. 403-415
Persistent link: https://www.econbiz.de/10009515963
Saved in:
35
Minimising value-at-risk in a portfolio optimisation problem using a multi-objective genetic algorithm
Alfaro-Cid, Eva
;
Baixouli-Soler, J. Samuel
; …
- In:
International journal of risk assessment and management …
15
(
2011
)
5/6
,
pp. 453-477
Persistent link: https://www.econbiz.de/10009487198
Saved in:
36
Optimisation of security system design by quantitative risk assessment and genetic algorithms
Flammini, Fancesco
;
Gaglione, Andrea
;
Mazzocca, Nicola
; …
- In:
International journal of risk assessment and management …
15
(
2011
)
2/3
,
pp. 205-221
Persistent link: https://www.econbiz.de/10009374529
Saved in:
37
Defining resilience within a risk-informed assessment framework
Coles, Garill A.
;
Unwin, Stephen D.
;
Holter, Greg M.
; …
- In:
International journal of risk assessment and management …
15
(
2011
)
2/3
,
pp. 171-185
Persistent link: https://www.econbiz.de/10009374532
Saved in:
38
Risk assessment methodology for interdependent critical infrastructures
Theoharidou, Marianthi
;
Kotzanikolaou, Panayiotis
; …
- In:
International journal of risk assessment and management …
15
(
2011
)
2/3
,
pp. 128-148
Persistent link: https://www.econbiz.de/10009374540
Saved in:
39
Models for reducing the risk of critical networked infrastructures
Medal, Hugh
;
Sharp, Stevenson J.
;
Pohl, Ed
;
Rainwater, Chase
- In:
International journal of risk assessment and management …
15
(
2011
)
2/3
,
pp. 99-127
Persistent link: https://www.econbiz.de/10009374543
Saved in:
40
Special issue: Risk analysis of critical infrastructures
Setola, Roberto
(
contributor
)
-
2011
Persistent link: https://www.econbiz.de/10009374546
Saved in:
41
Comparison of veterinary import risk analysis studies
Vos, Clazien J. de
;
Conraths, Franz J.
;
Adkin, Amie
; …
- In:
International journal of risk assessment and management …
15
(
2011
)
4
,
pp. 330-348
Persistent link: https://www.econbiz.de/10009380217
Saved in:
42
Risk analysis of urban network planning in China
He, Yong-xiu
;
Luo, Tao
;
Wang, Jingxia
;
Wang, Yue-jin
; …
- In:
International journal of risk assessment and management …
15
(
2011
)
4
,
pp. 314-329
Persistent link: https://www.econbiz.de/10009380228
Saved in:
43
Investing in transport security solutions : using the quantitative risk assessment (QRA) approach
Urciuoli, Luca
- In:
International journal of risk assessment and management …
15
(
2011
)
4
,
pp. 275-298
Persistent link: https://www.econbiz.de/10009380239
Saved in:
44
Multi-attribute aspects for risk assessment of natural hazards
Corotis, Ross B.
;
Hammel, Evan M.
- In:
International journal of risk assessment and management …
14
(
2010
)
6
,
pp. 437-458
Persistent link: https://www.econbiz.de/10008821820
Saved in:
45
Active portfolio management with benchmarking : adding a value-at-risk constraint
Alexander, Gordon J.
;
Baptista, Alexandre M.
- In:
Journal of economic dynamics & control
32
(
2008
)
3
,
pp. 779-820
Persistent link: https://www.econbiz.de/10003687449
Saved in:
46
Copulae and operational risks
Fantazzini, Dean
;
Dalla Valle, Luciana
;
Giudici, Paolo
- In:
International journal of risk assessment and management …
9
(
2008
)
3
,
pp. 238-257
Persistent link: https://www.econbiz.de/10003806839
Saved in:
47
Portfolio selection with uncertain exit time : a robust CVaR approach
Huang, Dashan
;
Zhu, Shu-shang
;
Fabozzi, Frank J.
; …
- In:
Journal of economic dynamics & control
32
(
2008
)
2
,
pp. 594-623
Persistent link: https://www.econbiz.de/10003642783
Saved in:
48
Value-at-risk : is lacking in sub-additivity just an annoying technicality?
Tibiletti, Luisa
- In:
International journal of risk assessment and management …
9
(
2008
)
1/2
,
pp. 44-51
Persistent link: https://www.econbiz.de/10003741199
Saved in:
49
A practical approach to market risk analysis and control : empirical test of the Mexican foreign exchange and stock markets
Al Janabi, Mazin A. M.
- In:
International journal of risk assessment and management …
9
(
2008
)
1/2
,
pp. 70-103
Persistent link: https://www.econbiz.de/10003741202
Saved in:
50
Continuous cascade models for asset returns
Bacry, E.
;
Kozhemyak, A.
;
Muzy, Jean-François
- In:
Journal of economic dynamics & control
32
(
2008
)
1
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pp. 156-199
Persistent link: https://www.econbiz.de/10003622738
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