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~subject:"Prognoseverfahren"
~isPartOf:"Journal of banking & finance"
~isPartOf:"Discussion papers / CEPR"
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Prognoseverfahren
Risikomaß
189
Risk measure
189
Theorie
89
Theory
89
Portfolio selection
79
Portfolio-Management
79
Risikomanagement
53
Risk management
53
Risiko
51
Risk
51
Statistical distribution
31
Statistische Verteilung
31
Estimation
28
Schätzung
28
ARCH model
23
ARCH-Modell
23
Volatility
23
Volatilität
23
Credit risk
22
Financial crisis
22
Finanzkrise
22
Kreditrisiko
22
Measurement
21
Messung
21
Systemic risk
19
Basel Accord
18
Basler Akkord
18
Forecasting model
18
Systemrisiko
17
Bank risk
16
Bankrisiko
16
Capital income
16
Kapitaleinkommen
16
Financial services
14
Finanzdienstleistung
14
Welt
14
World
14
Expected shortfall
13
Value-at-Risk
13
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4
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4
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4
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English
18
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Weiß, Gregor
3
Carriero, Andrea
2
Clark, Todd E.
2
Marcellino, Massimiliano
2
McNeil, Alexander J.
2
Wied, Dominik
2
Ziggel, Daniel
2
Banulescu, Georgiana-Denisa
1
Berens, Tobias
1
De Polis, Andrea
1
Delle Monache, Davide
1
Dumitrescu, Elena-Ivona
1
Gagnon, Marie-Hélène
1
Ganics, Gergely
1
Gordy, Michael B.
1
Hua, Jian
1
Kiesel, Rüdiger
1
Kratz, Marie
1
León Valle, Ángel Manuel
1
Li, Yi
1
Lok, Yen H.
1
Lönnbark, Carl
1
Manzan, Sebastiano
1
Merlo, Luca
1
Petrella, Ivan
1
Petrella, Lea
1
Power, Gabriel J.
1
Rahe, Florentin
1
Raponi, Valentina
1
Rossi, Barbara
1
Sekhposyan, Tatevik
1
Supper, Hendrik
1
Taylor, James W.
1
Toupin, Dominique
1
Wang, Pengfei
1
Xiong, Xiong
1
Zhang, Wei
1
Ñíguez, Trino-Manuel
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Journal of banking & finance
Discussion papers / CEPR
International journal of forecasting
45
Journal of forecasting
31
Finance research letters
22
Discussion paper / Tinbergen Institute
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
17
Journal of empirical finance
14
Risks : open access journal
14
International review of financial analysis
13
Econometric Institute research papers
11
Journal of financial econometrics
11
Journal of risk
11
The North American journal of economics and finance : a journal of financial economics studies
11
The journal of risk model validation
11
Quantitative finance
10
Applied economics
9
Energy economics
9
Computational economics
8
Journal of risk and financial management : JRFM
8
Working paper
8
Applied economics letters
7
Economic modelling
7
Journal of economic dynamics & control
7
The European journal of finance
7
Working papers
7
CFS working paper series
6
European journal of operational research : EJOR
6
Journal of econometrics
6
Journal of risk management in financial institutions
6
International review of economics & finance : IREF
5
Research paper series / Swiss Finance Institute
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Journal of commodity markets
4
Pacific-Basin finance journal
4
Research in international business and finance
4
SFB 649 discussion paper
4
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
4
Annals of financial economics
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ECONIS (ZBW)
18
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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
Forecasting value at risk and expected shortfall using a model with a dynamic omega ratio
Taylor, James W.
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013463062
Saved in:
3
Capturing macroeconomic tail risks with bayesian vector autoregressions
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
-
2022
Persistent link: https://www.econbiz.de/10013286806
Saved in:
4
Nowcasting tail risk to economic activity at a weekly frequency
Marcellino, Massimiliano
;
Clark, Todd E.
;
Carriero, Andrea
-
2021
Persistent link: https://www.econbiz.de/10012609779
Saved in:
5
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:
6
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:
7
Modeling and forecasting macroeconomic downside risk
Delle Monache, Davide
;
De Polis, Andrea
;
Petrella, Ivan
-
2020
Persistent link: https://www.econbiz.de/10012253930
Saved in:
8
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:
9
Spectral backtests of forecast distributions with application to risk management
Gordy, Michael B.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
116
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012489248
Saved in:
10
From fixed-event to fixed-horizon density forecasts : obtaining measures of multi-horizon uncertainty from survey density forecasts
Rossi, Barbara
;
Ganics, Gergely
;
Sekhposyan, Tatevik
-
2020
Persistent link: https://www.econbiz.de/10012196192
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
Option pricing under time-varying risk-aversion with applications to risk forecasting
Kiesel, Rüdiger
;
Rahe, Florentin
- In:
Journal of banking & finance
76
(
2017
),
pp. 120-138
Persistent link: https://www.econbiz.de/10011814247
Saved in:
13
Evaluating Value-at-Risk forecasts : a new set of multivariate backtests
Wied, Dominik
;
Weiß, Gregor
;
Ziggel, Daniel
- In:
Journal of banking & finance
72
(
2016
),
pp. 121-132
Persistent link: https://www.econbiz.de/10011635501
Saved in:
14
Which are the SIFIs? : a component expected shortfall approach to systemic risk
Banulescu, Georgiana-Denisa
;
Dumitrescu, Elena-Ivona
- In:
Journal of banking & finance
50
(
2015
),
pp. 575-588
Persistent link: https://www.econbiz.de/10010510183
Saved in:
15
A new set of improved Value-at-Risk backtests
Ziggel, Daniel
;
Berens, Tobias
;
Weiß, Gregor
;
Wied, Dominik
- In:
Journal of banking & finance
48
(
2014
),
pp. 29-41
Persistent link: https://www.econbiz.de/10010506942
Saved in:
16
Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas
Weiß, Gregor
;
Supper, Hendrik
- In:
Journal of banking & finance
37
(
2013
)
9
,
pp. 3334-3350
Persistent link: https://www.econbiz.de/10010126429
Saved in:
17
On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl
- In:
Journal of banking & finance
37
(
2013
)
3
,
pp. 847-853
Persistent link: https://www.econbiz.de/10009708735
Saved in:
18
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:
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