//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~isPartOf:"Dresdner Beiträge zu quantitativen Verfahren"
~isPartOf:"Pacific-Basin finance journal"
~isPartOf:"Applied economics letters"
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_exact:"LPM (Lower Partial Moments)"
Narrow search
Delete all filters
| 3 applied filters
Year of publication
From:
To:
Subject
All
Risikomaß
74
Risk measure
74
Theorie
32
Theory
32
Portfolio selection
24
Portfolio-Management
24
Risiko
24
Risk
24
Risikomanagement
17
Risk management
17
ARCH model
14
ARCH-Modell
14
Statistical distribution
14
Statistische Verteilung
14
Systemic risk
13
Systemrisiko
13
China
12
Estimation
12
Schätzung
12
Financial crisis
11
Finanzkrise
11
Forecasting model
11
Prognoseverfahren
11
Capital income
10
Kapitaleinkommen
10
Volatility
10
Volatilität
10
Aktienmarkt
9
Stock market
9
Bank risk
8
Bankrisiko
8
Credit risk
8
Kreditrisiko
8
Measurement
8
Messung
8
Multivariate Verteilung
8
Multivariate distribution
8
Börsenkurs
7
Share price
7
Welt
7
more ...
less ...
Online availability
All
Undetermined
38
Free
2
Type of publication
All
Article
60
Book / Working Paper
14
Type of publication (narrower categories)
All
Article in journal
60
Aufsatz in Zeitschrift
60
Arbeitspapier
14
Graue Literatur
14
Non-commercial literature
14
Working Paper
14
Lehrbuch
1
Textbook
1
more ...
less ...
Language
All
English
66
German
8
Author
All
Huschens, Stefan
13
Höse, Steffi
4
Strobel, Frank
4
Diao, Xundi
2
Jiang, Cuixia
2
Kang, Sang Hoon
2
Kurz-Kim, Jeong-Ryeol
2
Qin, Xiao
2
Simonian, Joseph
2
Tong, Bin
2
Xiong, Xiong
2
Xu, Qifa
2
Zhou, Chunyang
2
Agiakloglou, Christos N.
1
Allen, David E.
1
Almudhaf, Fahad
1
An, Yunbi
1
Ardia, David
1
Areola Hernandez, Jose
1
Asghar, Nadia
1
Bloutsos, Konstantinos
1
Bouri, Elie
1
Caporin, Massimiliano
1
Chai, Daniel
1
Chan, Felix
1
Chan, Stephen
1
Chen, Hsien-ming
1
Chen, Lifang
1
Chen, Lu
1
Chen, Shan
1
Chen, Wei Peng
1
Choe, Geon Ho
1
Choi, Ji-Eun
1
Choi, Pilsun
1
Choi, So Eun
1
Choudhry, Taufiq
1
Clements, Adam
1
Da Veiga, Bernardo
1
Davis, Joshua M.
1
Dempsey, Michael
1
more ...
less ...
Institution
All
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
3
Published in...
All
Dresdner Beiträge zu quantitativen Verfahren
Pacific-Basin finance journal
Applied economics letters
Insurance / Mathematics & economics
217
Journal of banking & finance
181
Journal of risk
121
European journal of operational research : EJOR
110
Risks : open access journal
106
Finance research letters
90
Economic modelling
69
Energy economics
69
International review of financial analysis
69
The North American journal of economics and finance : a journal of financial economics studies
67
Discussion paper / Tinbergen Institute
62
The journal of risk model validation
60
International journal of forecasting
55
Journal of empirical finance
54
Applied economics
53
Journal of risk and financial management : JRFM
52
Quantitative finance
51
Journal of risk management in financial institutions
47
International journal of theoretical and applied finance
46
The journal of operational risk
45
Journal of econometrics
41
Journal of forecasting
41
Computational economics
38
The European journal of finance
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
Research in international business and finance
36
International review of economics & finance : IREF
35
Research paper series / Swiss Finance Institute
34
SFB 649 discussion paper
34
Journal of economic dynamics & control
32
Journal of international financial markets, institutions & money
32
Working papers
32
Scandinavian actuarial journal
31
Finance and stochastics
30
Econometric Institute research papers
29
Management science : journal of the Institute for Operations Research and the Management Sciences
28
Operations research letters
28
Working paper
28
more ...
less ...
Source
All
ECONIS (ZBW)
74
Showing
1
-
50
of
74
Sort
Relevance
Date (newest first)
Date (oldest first)
1
Did COVID-19 increase equity market risk exposure? : evidence from China, the UK, and the US
Li, Matthew C.
;
Lai, Catherine C.
;
Xiao, Ling
- In:
Applied economics letters
29
(
2022
)
6
,
pp. 567-571
Persistent link: https://www.econbiz.de/10012873353
Saved in:
2
Forecasting Chinese stock market volatility with option-implied risk aversion : evidence from extended realized EGARCH-MIDAS approach
Wu, Xinyu
;
Qian, Jia
;
Zhao, Xiaohan
- In:
Pacific-Basin finance journal
83
(
2024
),
pp. 1-23
Persistent link: https://www.econbiz.de/10014491122
Saved in:
3
Forecasting VaRs via hybrid EVT with normal and non-normal filters : a comparative analysis from the Chinese stock market
Tong, Bin
;
Diao, Xundi
;
Li, Xiaoping
- In:
Pacific-Basin finance journal
83
(
2024
),
pp. 1-28
Persistent link: https://www.econbiz.de/10014491148
Saved in:
4
Modeling underwriting risk : a copula regression analysis on U.S. property-casualty insurance byline loss ratios
Tsai, Jeffrey Tzuhao
;
Lo, Chien-Ling
- In:
Pacific-Basin finance journal
83
(
2024
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014491177
Saved in:
5
Does systemic risk affect fund managers' tail risk-taking?
Xuan, Quansheng
;
Li, Zhiyong
;
Zhao, Tianyu
- In:
Pacific-Basin finance journal
83
(
2024
),
pp. 1-24
Persistent link: https://www.econbiz.de/10014491185
Saved in:
6
Can firms with higher ESG ratings bear higher bank systemic tail risk spillover? : evidence from Chinese A-share market
Ling, Aifan
;
Li, Jinlong
;
Zhang, Yugui
- In:
Pacific-Basin finance journal
80
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014463311
Saved in:
7
Systemically important financial institutions and drivers of systemic risk : evidence from India
Narayan, Shivani
;
Kumar, Dilip
;
Bouri, Elie
- In:
Pacific-Basin finance journal
82
(
2023
),
pp. 1-25
Persistent link: https://www.econbiz.de/10014463391
Saved in:
8
Assessing jump and cojumps in financial asset returns with applications in futures markets
Yeh, Jin-huei
;
Yun, Mu Shu
- In:
Pacific-Basin finance journal
82
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014463584
Saved in:
9
Dependence structure and risk spillover among nonferrous metal futures : a vine copula approach
Ouyang, Ruolan
;
Ma, Jinming
;
Xiao, Xiaoxia
- In:
Applied economics letters
30
(
2023
)
9
,
pp. 1253-1260
Persistent link: https://www.econbiz.de/10014303863
Saved in:
10
Is idiosyncratic tail risk priced in the cross-section of bond returns? : evidence from Chinese bond markets
Huang, Wei-Qiang
;
Zhang, Jing
;
Liu, Peipei
- In:
Applied economics letters
30
(
2023
)
10
,
pp. 1318-1326
Persistent link: https://www.econbiz.de/10014304235
Saved in:
11
Computing optimal portfolios of multi-assets with tail risk : the case of bitcoin
Popova, Ivilina
;
Yau, Jot
- In:
Applied economics letters
30
(
2023
)
12
,
pp. 1618-1626
Persistent link: https://www.econbiz.de/10014304579
Saved in:
12
(Simple) ΔCoVaR bounds
Mercadier, Mathieu
;
Strobel, Frank
- In:
Applied economics letters
30
(
2023
)
14
,
pp. 1874-1881
Persistent link: https://www.econbiz.de/10014305372
Saved in:
13
The world price of tail risk
Lee, Kuan-hui
;
Yang, Cheol-Won
- In:
Pacific-Basin finance journal
71
(
2022
),
pp. 1-28
Persistent link: https://www.econbiz.de/10014513928
Saved in:
14
Period value at risk and its estimation by Monte Carlo simulation
Huo, Yanli
;
Xu, Chunhui
;
Shiina, Takayuki
- In:
Applied economics letters
29
(
2022
)
18
,
pp. 1675-1679
Persistent link: https://www.econbiz.de/10013412280
Saved in:
15
Systemically important financial institutions in China : from view of tail risk spillover network
Yang, Xin
;
Chen, Shan
;
Liu, Zhifeng
;
Yang, Xiaoguang
; …
- In:
Applied economics letters
29
(
2022
)
19
,
pp. 1833-1839
Persistent link: https://www.econbiz.de/10013412314
Saved in:
16
Tail risks, firm characteristics, and stock returns
Wang, Chen
;
Xiong, Xiong
;
Shen, Dehua
- In:
Pacific-Basin finance journal
75
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013552558
Saved in:
17
Nonlinear dependence and spillovers between cryptocurrency and global/regional equity markets
Hanif, Waqas
;
Areola Hernandez, Jose
;
Troster, Victor
; …
- In:
Pacific-Basin finance journal
74
(
2022
),
pp. 1-30
Persistent link: https://www.econbiz.de/10013389474
Saved in:
18
An alternative Z-score measure for downside bank insolvency risk
Lepetit, Lætitia
;
Strobel, Frank
;
Tran Thu Ha
- In:
Applied economics letters
28
(
2021
)
2
,
pp. 137-142
Persistent link: https://www.econbiz.de/10012415101
Saved in:
19
Systemic risk of China's commercial banks during financial turmoils in 2010-2020 : a MIDAS-QR based CoVaR approach
Liu, Shuting
;
Xu, Qifa
;
Jiang, Cuixia
- In:
Applied economics letters
28
(
2021
)
18
,
pp. 1600-1609
Persistent link: https://www.econbiz.de/10012626719
Saved in:
20
Extreme linkages between foreign exchange and general financial markets
Wu, Chih-Chiang
;
Chen, Wei Peng
;
Korsakul, Nattawadee
- In:
Pacific-Basin finance journal
65
(
2021
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013209544
Saved in:
21
Downside risk, financial conditions and systemic risk in China
Wang, Bo
;
Li, Haoran
- In:
Pacific-Basin finance journal
68
(
2021
),
pp. 1-47
Persistent link: https://www.econbiz.de/10013332753
Saved in:
22
Value at risk and the cross-section of expected returns : evidence from China
Gui, Pingshu
;
Zhu, Yifeng
- In:
Pacific-Basin finance journal
66
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013252854
Saved in:
23
Risikomaße
Huschens, Stefan
-
2017
Persistent link: https://www.econbiz.de/10013441255
Saved in:
24
Risk management under time varying volatility and Pareto-stable distributions
Mozumder, Sharif
;
Kabir, M. Humayun
;
Dempsey, Michael
; …
- In:
Applied economics letters
27
(
2020
)
3
,
pp. 161-167
Persistent link: https://www.econbiz.de/10012205404
Saved in:
25
A copula-based systemic risk measure : application to investment-grade and high-yield CDS portfolios
Choi, So Eun
;
Jang, Hyun Jin
;
Choe, Geon Ho
- In:
Applied economics letters
27
(
2020
)
15
,
pp. 1264-1271
Persistent link: https://www.econbiz.de/10012267120
Saved in:
26
Increasing the risk management effectiveness from higher accuracy : a novel non-parametric method
Huang, Jinbo
;
Ding, Ashley
;
Li, Yong
;
Lu, Dong
- In:
Pacific-Basin finance journal
62
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012491732
Saved in:
27
Sequential forecasting of downside extreme risk during overnight and daytime : evidence from the Chinese Stock Market
Jian, Zhihong
;
Li, Xupei
;
Zhu, Zhican
- In:
Pacific-Basin finance journal
64
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012493928
Saved in:
28
Do Islamic indices provide diversification to bitcoin? : a time-varying copulas and value at risk application
Ur Rehman, Mobeen
;
Asghar, Nadia
;
Kang, Sang Hoon
- In:
Pacific-Basin finance journal
61
(
2020
),
pp. 1-26
Persistent link: https://www.econbiz.de/10012494418
Saved in:
29
Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures
Gong, Xiao-Li
;
Liu, Xi-Hua
;
Xiong, Xiong
- In:
Pacific-Basin finance journal
55
(
2019
),
pp. 95-109
Persistent link: https://www.econbiz.de/10012169513
Saved in:
30
Tail risk and expected stock returns around the world
Long, Huaigang
;
Zhu, Yanjian
;
Chen, Lifang
;
Jiang, Yuexiang
- In:
Pacific-Basin finance journal
56
(
2019
),
pp. 162-178
Persistent link: https://www.econbiz.de/10012169574
Saved in:
31
Financial structure and determinants of systemic risk contribution
Qin, Xiao
;
Zhou, Chunyang
- In:
Pacific-Basin finance journal
57
(
2019
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012170568
Saved in:
32
Measuring systemic risk of the banking industry in China : a DCC-MIDAS-t approach
Xu, Qifa
;
Chen, Lu
;
Jiang, Cuixia
;
Yuan, Jing
- In:
Pacific-Basin finance journal
51
(
2018
),
pp. 13-31
Persistent link: https://www.econbiz.de/10012035069
Saved in:
33
Modeling extreme risks in commodities and commodity currencies
Fuentes, Fernanda
;
Herrera, Rodrigo
;
Clements, Adam
- In:
Pacific-Basin finance journal
51
(
2018
),
pp. 108-120
Persistent link: https://www.econbiz.de/10012035118
Saved in:
34
Backtesting expected shortfall : evidence from European securitized real estate
Almudhaf, Fahad
- In:
Applied economics letters
25
(
2018
)
3
,
pp. 176-182
Persistent link: https://www.econbiz.de/10011853830
Saved in:
35
Option valuation with liquidity risk and jumps
Zhang, Hai
;
Ku, Hyejin
- In:
Applied economics letters
25
(
2018
)
6
,
pp. 381-387
Persistent link: https://www.econbiz.de/10011854549
Saved in:
36
SEC FRR No. 48 and analyst forecast accuracy
Lin, Bingxuan
;
Lin, Chen-miao
- In:
Applied economics letters
24
(
2017
)
4/6
,
pp. 427-432
Persistent link: https://www.econbiz.de/10011705408
Saved in:
37
Value at risk forecasting for volatility index
Park, Seul-Ki
;
Choi, Ji-Eun
;
Shin, Dong-wan
- In:
Applied economics letters
24
(
2017
)
21
,
pp. 1613-1620
Persistent link: https://www.econbiz.de/10011853568
Saved in:
38
Financial tail risks in conventional and Islamic stock markets : a comparative analysis
Muteba Mwamba, John
;
Hammoudeh, Shawkat
;
Gupta, Rangan
- In:
Pacific-Basin finance journal
42
(
2017
),
pp. 60-82
Persistent link: https://www.econbiz.de/10011800542
Saved in:
39
Governance mechanisms and downside risk
Wang, Li-hsun
;
Lin, Chu-Hsiung
;
Fung, Hung-gay
;
Chen, …
- In:
Pacific-Basin finance journal
35
(
2015
)
2
,
pp. 485-498
Persistent link: https://www.econbiz.de/10011540653
Saved in:
40
Empirical tests on the liquidity-adjusted capital asset pricing model
Vu, Van
;
Chai, Daniel
;
Do, Viet
- In:
Pacific-Basin finance journal
35
(
2015
)
1
,
pp. 73-89
Persistent link: https://www.econbiz.de/10011538103
Saved in:
41
Extreme value analysis of electricity demand in the UK
Chan, Stephen
;
Nadarajah, Saralees
- In:
Applied economics letters
22
(
2015
)
13/15
,
pp. 1246-1251
Persistent link: https://www.econbiz.de/10011312714
Saved in:
42
Forecasting intraday volatility and VaR using multiplicative component GARCH model
Diao, Xundi
;
Tong, Bin
- In:
Applied economics letters
22
(
2015
)
16/18
,
pp. 1457-1464
Persistent link: https://www.econbiz.de/10011380317
Saved in:
43
Risk contributions of trading and non-trading hours : evidence from Chinese commodity futures markets
Liu, Qingfu
;
An, Yunbi
- In:
Pacific-Basin finance journal
30
(
2014
),
pp. 17-29
Persistent link: https://www.econbiz.de/10010495690
Saved in:
44
Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models
Yun, Jaeho
;
Moon, Hyejung
- In:
Pacific-Basin finance journal
27
(
2014
),
pp. 94-114
Persistent link: https://www.econbiz.de/10010499711
Saved in:
45
Histogram-valued data on value at risk measures : a symbolic approach for risk attribution
Toque, Carole
;
Terraza, Virginie
- In:
Applied economics letters
21
(
2014
)
16/18
,
pp. 1243-1251
Persistent link: https://www.econbiz.de/10010465633
Saved in:
46
Too non-traditional to fail? : determinants of systemic risk for BRICs banks
Qin, Xiao
;
Zhu, Xi
- In:
Applied economics letters
21
(
2014
)
4/6
,
pp. 261-264
Persistent link: https://www.econbiz.de/10010413856
Saved in:
47
Worldwide equity risk prediction
Ardia, David
;
Hoogerheide, Lennart F.
- In:
Applied economics letters
20
(
2013
)
13/15
,
pp. 1333-1339
Persistent link: https://www.econbiz.de/10010202894
Saved in:
48
Optimal liquidity reserve with funding liquidity risk
Zhang, Dewei
;
Wu, Chongfeng
;
Zhou, Chunyang
- In:
Applied economics letters
20
(
2013
)
16/18
,
pp. 1449-1452
Persistent link: https://www.econbiz.de/10010212382
Saved in:
49
Marginal or copula : which one is critical?
Choi, Pilsun
;
Min, Insik
- In:
Applied economics letters
20
(
2013
)
16/18
,
pp. 1462-1465
Persistent link: https://www.econbiz.de/10010213173
Saved in:
50
Beyond reasonable doubt : multiple tail risk measures applied to European industries
Allen, David E.
;
Powell, Robert John
;
Singh, Abhay Kumar
- In:
Applied economics letters
19
(
2012
)
7/9
,
pp. 671-676
Persistent link: https://www.econbiz.de/10009631004
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->