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~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
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Risikomaß
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Insurance / Mathematics & economics
217
Journal of banking & finance
181
Journal of risk
123
European journal of operational research : EJOR
114
Finance research letters
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Risks : open access journal
108
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67
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59
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57
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55
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53
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41
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SFB 649 discussion paper
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Scandinavian actuarial journal
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ECONIS (ZBW)
36
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1
Modeling systemic risk : time-varying tail dependence when forecasting marginal expected shortfall
Eckernkemper, Tobias
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
1
,
pp. 63-117
Persistent link: https://www.econbiz.de/10011987686
Saved in:
2
Can volatility models explain extreme events?
Trapin, Luca
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011987768
Saved in:
3
Nonparametric tail risk, stock returns, and the macroeconomy
Almeida, Caio
;
Ardison, Kym
;
Garcia, René
;
Vicente, Jose
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 333-376
Persistent link: https://www.econbiz.de/10011987494
Saved in:
4
Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Dobrev, Dobrislav
;
Schaumburg, Ernst
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 388-409
Persistent link: https://www.econbiz.de/10011987513
Saved in:
5
Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy
Almeida, Caio
;
Ardison, Kym
;
Garcia, René
;
Vicente, Jose
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 418-426
Persistent link: https://www.econbiz.de/10011987534
Saved in:
6
Forecasting value-at-risk under temporal and portfolio aggregation
Kole, Erik
;
Markwat, Thijs
;
Opschoor, Anne
;
Dijk, Dick van
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 649-677
Persistent link: https://www.econbiz.de/10011987663
Saved in:
7
Overnight news and daily equity trading risk limits
Ahoniemi, Katja
;
Fuertes, Ana María
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
Saved in:
8
Beyond dimension two : a test for higher-order tail risk
Bormann, Carsten
;
Schaumburg, Julia
;
Schienle, Melanie
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 552-580
Persistent link: https://www.econbiz.de/10011623690
Saved in:
9
The geometric-VaR backtesting method
Pelletier, Denis
;
Wei, Wei
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 725-745
Persistent link: https://www.econbiz.de/10011623861
Saved in:
10
Bayesian expected shortfall forecasting incorporating the intraday range
Gerlach, Richard
;
Chen, Cathy W. S.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
1
,
pp. 128-158
Persistent link: https://www.econbiz.de/10011588546
Saved in:
11
Semi-parametric conditional quantile models for financial returns and realized volatility
Zikes, Filip
;
Barunik, Jozef
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
1
,
pp. 185-226
Persistent link: https://www.econbiz.de/10011588557
Saved in:
12
Expected shortfall estimation and Gaussian inference for infinite variance time series
Hill, Jonathan B.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 1-44
Persistent link: https://www.econbiz.de/10010519664
Saved in:
13
Accurate methods for approximate Bayesian Computation Filtering
Calvet, Laurent E.
;
Czellar, Veronika
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 798-838
Persistent link: https://www.econbiz.de/10011417791
Saved in:
14
Risk measures for autocorrelated hedge fund returns
Di Cesare, Antonio
;
Stork, Philip
;
Vries, Casper G. de
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 868-895
Persistent link: https://www.econbiz.de/10011417824
Saved in:
15
Robust conditional variance and value-at-risk estimation
Dupuis, Debbie J.
;
Papageorgiou, Nicolas A.
; …
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 896-921
Persistent link: https://www.econbiz.de/10011417831
Saved in:
16
Estimation of distortion risk measures
Tsukahara, Hideatsu
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 213-235
Persistent link: https://www.econbiz.de/10010233598
Saved in:
17
Comparing univariate and multivariate models to forecast portfolio value-at-risk
Santos, André A. P.
;
Nogales, Francisco J.
;
Ruiz, Esther
- In:
Journal of financial econometrics : official journal of …
11
(
2013
)
2
,
pp. 400-441
Persistent link: https://www.econbiz.de/10009745807
Saved in:
18
Portfolio selection with estimation risk : a test-based approach
Antoine, Bertille
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
1
,
pp. 164-197
Persistent link: https://www.econbiz.de/10009519707
Saved in:
19
Microinformation, nonlinear filtering, and granularity
Gagliardini, Patrick
;
Gouriéroux, Christian
;
Monfort, Alain
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
1
,
pp. 1-53
Persistent link: https://www.econbiz.de/10009519715
Saved in:
20
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
4
,
pp. 619-656
Persistent link: https://www.econbiz.de/10009407372
Saved in:
21
Robust value at risk prediction
Mancini, Loriano
;
Trojani, Fabio
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
2
,
pp. 281-313
Persistent link: https://www.econbiz.de/10009125125
Saved in:
22
Robust backtesting tests for value-at-risk models
Escanciano, J. Carlos
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
1
,
pp. 132-161
Persistent link: https://www.econbiz.de/10009125151
Saved in:
23
Measuring event risk
Nyberg, Peter
;
Wilhelmsson, Anders
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
3
,
pp. 265-287
Persistent link: https://www.econbiz.de/10003884188
Saved in:
24
Chicago: a fast and accurate method for portfolio risk calculation
Broda, Simon A.
;
Paolella, Marc S.
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
4
,
pp. 412-436
Persistent link: https://www.econbiz.de/10003907527
Saved in:
25
Modeling international financial returns with a multivariate regime-switching copula
Chollete, Lorán
;
Heinen, Andréas
;
Valdesogo, Alfonso
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
4
,
pp. 437-480
Persistent link: https://www.econbiz.de/10003907528
Saved in:
26
On variable selection for volatility forecasting : the role of focused selection criteria
Brownlees, Christian
;
Gallo, Giampiero M.
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
4
,
pp. 513-539
Persistent link: https://www.econbiz.de/10003778985
Saved in:
27
Nonparametric estimation of expected shortfall
Chen, Song Xi
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
1
,
pp. 87-107
Persistent link: https://www.econbiz.de/10003669257
Saved in:
28
Estimating value at risk and expected shortfall using expectiles
Taylor, James W.
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
2
,
pp. 231-252
Persistent link: https://www.econbiz.de/10003687929
Saved in:
29
Kernel conditional quantile estimation for stationary processes with application to conditional value-at-risk
Wu, Wei Biao
;
Yu, Keming
;
Mitra, Gautam
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
2
,
pp. 253-270
Persistent link: https://www.econbiz.de/10003687936
Saved in:
30
Using exponentially weighted quantile regression to estimate value at risk and expected shortfall
Taylor, James W.
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
3
,
pp. 382-406
Persistent link: https://www.econbiz.de/10003748064
Saved in:
31
Value-at-risk prediction : a comparison of alternative strategies
Kuester, Keith
;
Mittnik, Stefan
;
Paolella, Marc S.
- In:
Journal of financial econometrics : official journal of …
4
(
2006
)
1
,
pp. 53-89
Persistent link: https://www.econbiz.de/10003313345
Saved in:
32
Nonparametric inference of value-at-risk for dependent financial returns
Chen, Song Xi
;
Tang, Cheng Yong
- In:
Journal of financial econometrics : official journal of …
3
(
2005
)
2
,
pp. 227-255
Persistent link: https://www.econbiz.de/10002811347
Saved in:
33
Portfolio diversification effects of downside risk
Hyung, Namwon
;
Vries, Casper G. de
- In:
Journal of financial econometrics : official journal of …
3
(
2005
)
1
,
pp. 107-125
Persistent link: https://www.econbiz.de/10002574525
Saved in:
34
Evaluating interest rate covariance models within a value-at-risk framework
Ferreira, Miguel A.
;
López, José A.
- In:
Journal of financial econometrics : official journal of …
3
(
2005
)
1
,
pp. 126-168
Persistent link: https://www.econbiz.de/10002574541
Saved in:
35
A closer look at the relation between GARCH and stochastic autoregressive volatility
Fleming, Jeff
;
Kirby, Chris
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
3
,
pp. 365-419
Persistent link: https://www.econbiz.de/10002214166
Saved in:
36
Backtesting value-at-risk : a duration-based approach
Christoffersen, Peter F.
;
Pelletier, Denis
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
1
,
pp. 84-108
Persistent link: https://www.econbiz.de/10002214210
Saved in:
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