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isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~isPartOf:"Journal of banking & finance"
~subject:"Schätzung"
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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ECONIS (ZBW)
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1
The sum of all fears : forecasting international returns using option-implied risk measures
Gagnon, Marie-Hélène
;
Power, Gabriel J.
;
Toupin, Dominique
- In:
Journal of banking & finance
146
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014248207
Saved in:
2
Downside risk and the cross-section of cryptocurrency returns
Zhang, Wei
;
Li, Yi
;
Xiong, Xiong
;
Wang, Pengfei
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013256328
Saved in:
3
Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation
Merlo, Luca
;
Petrella, Lea
;
Raponi, Valentina
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013256440
Saved in:
4
Downside risk and the performance of volatility-managed portfolios
Wang, Feifei
;
Yan, Xuemin Sterling
- In:
Journal of banking & finance
131
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013365948
Saved in:
5
Back to the future : backtesting systemic risk measures during historical bank runs and the great depression
Brownlees, Christian
;
Chabot, Ben
;
Ghysels, Eric
;
Kurz, …
- In:
Journal of banking & finance
113
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012226121
Saved in:
6
Modeling asset returns under time-varying semi-nonparametric distributions
León Valle, Ángel Manuel
;
Ñíguez, Trino-Manuel
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012520880
Saved in:
7
Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan
;
Ungeheuer, Michael
;
Weigert, Florian
- In:
Journal of banking & finance
115
(
2020
),
pp. 1-31
Persistent link: https://www.econbiz.de/10012489163
Saved in:
8
Decomposing and backtesting a flexible specification for CoVaR
Bonaccolto, Giovanni
;
Caporin, Massimiliano
;
Paterlini, …
- In:
Journal of banking & finance
108
(
2019
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012224757
Saved in:
9
National elections and tail risk : international evidence
Li, Qingyuan
;
Li, Si
;
Li, Xu
- In:
Journal of banking & finance
88
(
2018
),
pp. 113-128
Persistent link: https://www.econbiz.de/10011962591
Saved in:
10
Option-implied objective measures of market risk
Leiss, Matthias
;
Nax, Heinrich H.
- In:
Journal of banking & finance
88
(
2018
),
pp. 225-240
Persistent link: https://www.econbiz.de/10011962908
Saved in:
11
Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie
;
Lok, Yen H.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
88
(
2018
),
pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
Saved in:
12
Unbiased estimation of risk
Pitera, Marcin
;
Schmidt, Thorsten
- In:
Journal of banking & finance
91
(
2018
),
pp. 133-145
Persistent link: https://www.econbiz.de/10011963654
Saved in:
13
Downside risk and stock returns in the G7 countries : an empirical analysis of their long-run and short-run dynamics
Chen, Yi-Hsuan
;
Chiang, Thomas C.
;
Härdle, Wolfgang
- In:
Journal of banking & finance
93
(
2018
),
pp. 21-32
Persistent link: https://www.econbiz.de/10011964613
Saved in:
14
An evaluation of bank measures for market risk before, during and after the financial crisis
O'Brien, James M.
;
Szerszeń, Paweł J.
- In:
Journal of banking & finance
80
(
2017
),
pp. 215-234
Persistent link: https://www.econbiz.de/10011816277
Saved in:
15
Downside and upside risk spillovers between exchange rates and stock prices
Reboredo, Juan Carlos
;
Rivera-Castro, Miguel A.
; …
- In:
Journal of banking & finance
62
(
2016
),
pp. 76-96
Persistent link: https://www.econbiz.de/10011634069
Saved in:
16
Systemic risk and asymmetric responses in the financial industry
López-Espinosa, Germán
;
Moreno, Antonio
;
Rubia, Antonio
; …
- In:
Journal of banking & finance
58
(
2015
),
pp. 471-485
Persistent link: https://www.econbiz.de/10011544046
Saved in:
17
Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
Siburg, Karl Friedrich
;
Stoimenov, Pavel
;
Weiß, Gregor
- In:
Journal of banking & finance
54
(
2015
),
pp. 129-140
Persistent link: https://www.econbiz.de/10011377805
Saved in:
18
Unexpected tails in risk measurement : some international evidence
Tolikas, Konstantinos
- In:
Journal of banking & finance
40
(
2014
),
pp. 476-493
Persistent link: https://www.econbiz.de/10010404698
Saved in:
19
Estimating the distribution of total default losses on the Spanish financial system
García-Céspedes, Rubén
;
Moreno, Manuel
- In:
Journal of banking & finance
49
(
2014
),
pp. 242-261
Persistent link: https://www.econbiz.de/10010508036
Saved in:
20
Systemic risk measurement : multivariate GARCH estimation of CoVaR
Girardi, Giulio
;
Ergün, Tolga A.
- In:
Journal of banking & finance
37
(
2013
)
8
,
pp. 3169-3180
Persistent link: https://www.econbiz.de/10009778470
Saved in:
21
Rewards for downside risk in Aisan markets
Alles, Lakshman
;
Murray, Louis
- In:
Journal of banking & finance
37
(
2013
)
7
,
pp. 2501-2509
Persistent link: https://www.econbiz.de/10009760610
Saved in:
22
Forecasting the return distribution using high-frequency volatility measures
Hua, Jian
;
Manzan, Sebastiano
- In:
Journal of banking & finance
37
(
2013
)
11
,
pp. 4381-4403
Persistent link: https://www.econbiz.de/10010247031
Saved in:
23
Systemic risk contributions : a credit portfolio approach
Puzanova, Natalia
;
Düllmann, Klaus
- In:
Journal of banking & finance
37
(
2013
)
4
,
pp. 1243-1257
Persistent link: https://www.econbiz.de/10009719795
Saved in:
24
Pitfalls in backtesting Historical Simulation VaR models
Escanciano, Juan Carlos
;
Pei, Pei
- In:
Journal of banking & finance
36
(
2012
)
8
,
pp. 2233-2244
Persistent link: https://www.econbiz.de/10009655641
Saved in:
25
Portfolio frontiers with restrictions to tracking error volatility and value at risk
Palomba, Giulio
;
Riccetti, Luca
- In:
Journal of banking & finance
36
(
2012
)
9
,
pp. 2604-2615
Persistent link: https://www.econbiz.de/10009657621
Saved in:
26
Using order statistics to estimate confidence intervals for probabilistic risk measures
Dowd, Kevin
- In:
The journal of derivatives : the official publication …
14
(
2006
)
2
,
pp. 77-81
Persistent link: https://www.econbiz.de/10003400055
Saved in:
27
Implied volatility indexes and daily value at risk models
Giot, Pierre
- In:
The journal of derivatives : the official publication …
12
(
2004
)
4
,
pp. 54-64
Persistent link: https://www.econbiz.de/10003010792
Saved in:
28
An empirical evaluation of value at risk by scenario simulation
Abken, Peter A.
- In:
The journal of derivatives : the official publication …
7
(
2000
)
4
,
pp. 12-29
Persistent link: https://www.econbiz.de/10001500033
Saved in:
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