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Prognoseverfahren
Risikomaß
51
Risk measure
51
Theorie
35
Theory
35
Portfolio selection
34
Portfolio-Management
34
Risiko
27
Risk
27
Risikomanagement
17
Risk management
17
Measurement
15
Messung
15
Statistical distribution
11
Statistische Verteilung
11
Estimation
10
Forecasting model
10
Schätzung
10
Expected shortfall
9
Capital income
8
Kapitaleinkommen
8
Monte Carlo simulation
8
Monte-Carlo-Simulation
8
ARCH model
7
ARCH-Modell
7
CAPM
6
Derivat
6
Derivative
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Portfolio optimization
6
Robust statistics
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Robustes Verfahren
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Value-at-risk
6
Estimation theory
5
Markov chain
5
Markov-Kette
5
Mathematical programming
5
Mathematische Optimierung
5
Schätztheorie
5
Volatility
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Gerlach, Richard
2
Alexander, Carol
1
Bouchard, Bruno
1
Caccioli, Fabio
1
Chen, Qian
1
Chow, K. Victor
1
Dakos, Michael
1
Deng, Kaihua
1
Hasim, Haslifah Mohamad
1
John, Kose
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Kondor, Imre
1
Li, Jingrui
1
Naimoli, Antonio
1
Papp, Gábor
1
Qiu, Jie
1
Reghai, Adil
1
Sampid, Marius Galabe
1
Scheffer, Marcus
1
Sopranzetti, Ben J.
1
Storti, Giuseppe
1
Tsiotas, Georgios
1
Virrion, Benjamin
1
Wang, Chao
1
Weiß, Gregor
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Quantitative finance
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 banking & finance
14
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
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
Discussion papers / CEPR
4
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
3
CESifo working papers
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1
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
2
Persistence of jump-induced tail risk and limits to arbitrage
Chow, K. Victor
;
John, Kose
;
Li, Jingrui
;
Sopranzetti, …
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 705-719
Persistent link: https://www.econbiz.de/10014304321
Saved in:
3
Forecasting robust value-at-risk estimates : evidence from UK banks
Sampid, Marius Galabe
;
Hasim, Haslifah Mohamad
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1955-1975
Persistent link: https://www.econbiz.de/10012696799
Saved in:
4
Computation of expected shortfall by fast detection of worst scenarios
Bouchard, Bruno
;
Reghai, Adil
;
Virrion, Benjamin
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1087-1108
Persistent link: https://www.econbiz.de/10012588021
Saved in:
5
Backtesting expected shortfall and beyond
Deng, Kaihua
;
Qiu, Jie
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1109-1125
Persistent link: https://www.econbiz.de/10012588022
Saved in:
6
Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
Gerlach, Richard
;
Naimoli, Antonio
;
Storti, Giuseppe
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1849-1878
Persistent link: https://www.econbiz.de/10012295647
Saved in:
7
Extreme dependence in investor attention and stock returns : consequences for forecasting stock returns and measuring systemic risk
Scheffer, Marcus
;
Weiß, Gregor
- In:
Quantitative finance
20
(
2020
)
3
,
pp. 425-446
Persistent link: https://www.econbiz.de/10012194900
Saved in:
8
Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
Wang, Chao
;
Chen, Qian
;
Gerlach, Richard
- In:
Quantitative finance
19
(
2019
)
6
,
pp. 1017-1042
Persistent link: https://www.econbiz.de/10012194739
Saved in:
9
Portfolio optimization under Expected Shortfall : contour maps of estimation error
Caccioli, Fabio
;
Kondor, Imre
;
Papp, Gábor
- In:
Quantitative finance
18
(
2018
)
8
,
pp. 1295-1313
Persistent link: https://www.econbiz.de/10011911538
Saved in:
10
A Bayesian encompassing test using combined value-at-risk estimates
Tsiotas, Georgios
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 395-417
Persistent link: https://www.econbiz.de/10011906387
Saved in:
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