//--> //--> //-->
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:"Journal of banking & finance"
~subject:"Kapitaleinkommen"
~subject:"Volatility"
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:"Value at risk"
Narrow search
Delete all filters
| 3 applied filters
Year of publication
From:
To:
Subject
All
Kapitaleinkommen
Volatility
Risikomaß
181
Risk measure
181
Theorie
83
Theory
83
Portfolio selection
77
Portfolio-Management
77
Risikomanagement
52
Risk management
52
Risiko
45
Risk
45
Statistical distribution
30
Statistische Verteilung
30
Estimation
25
Schätzung
25
ARCH model
23
ARCH-Modell
23
Credit risk
22
Financial crisis
22
Finanzkrise
22
Kreditrisiko
22
Measurement
21
Messung
21
Volatilität
21
Systemic risk
19
Basel Accord
18
Basler Akkord
18
Systemrisiko
17
Capital income
16
Bank risk
15
Bankrisiko
15
Financial services
14
Finanzdienstleistung
14
Forecasting model
14
Prognoseverfahren
14
Welt
14
World
14
Expected shortfall
13
Value-at-Risk
13
more ...
less ...
Online availability
All
Undetermined
16
Type of publication
All
Article
31
Type of publication (narrower categories)
All
Article in journal
31
Aufsatz in Zeitschrift
31
Language
All
English
31
Author
All
Audrino, Francesco
1
Baek, Seungho
1
Bali, Turan G.
1
Barone-Adesi, Giovanni
1
Bedendo, Mascia
1
Bilson, John F.
1
Boubaker, Heni
1
Candelon, Bertrand
1
Chan, Kam Fong
1
Chen, Yi-Hsuan
1
Chiang, Thomas C.
1
Chiu, Wan-chien
1
Chou, Ray Yeutien
1
Daníelsson, Jón
1
DiTraglia, Francis J.
1
Faff, Robert W.
1
Gagnon, Marie-Hélène
1
Gerlach, Jeffrey R.
1
Gokcan, Suleyman
1
Gordy, Michael B.
1
Hammoudeh, Shawkat
1
Hodges, Stewart D.
1
Hua, Jian
1
Härdle, Wolfgang
1
Kiesel, Rüdiger
1
Lehar, Alfred
1
Leiss, Matthias
1
León Valle, Ángel Manuel
1
Li, Yi
1
Liang, Bing
1
Liu, Mengxi
1
Manzan, Sebastiano
1
McNeil, Alexander J.
1
Mensi, Walid
1
Merlo, Luca
1
Morelli, Giacomo
1
Moura, Guilherme Valle
1
Nax, Heinrich H.
1
Ning, Cathy Q.
1
Palomba, Giulio
1
more ...
less ...
Published in...
All
Journal of banking & finance
Energy economics
39
The North American journal of economics and finance : a journal of financial economics studies
38
Finance research letters
37
International review of financial analysis
29
Journal of empirical finance
23
International journal of forecasting
22
Applied economics
21
Journal of risk
21
Economic modelling
19
Insurance / Mathematics & economics
17
International review of economics & finance : IREF
17
Journal of risk and financial management : JRFM
17
Journal of econometrics
14
Journal of financial econometrics : official journal of the Society for Financial Econometrics
14
Econometric Institute research papers
13
Journal of forecasting
13
Journal of international financial markets, institutions & money
13
Research in international business and finance
13
The journal of risk model validation
13
Discussion paper / Tinbergen Institute
12
Pacific-Basin finance journal
12
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
12
Working paper
12
Risks : open access journal
11
Computational economics
10
Quantitative finance
10
The European journal of finance
10
Journal of mathematical finance
9
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
8
Journal of financial econometrics
8
Journal of financial economics
8
Research paper series / Swiss Finance Institute
8
Working papers
8
International journal of finance & economics : IJFE
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Review of quantitative finance and accounting
7
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
7
European journal of operational research : EJOR
6
International journal of theoretical and applied finance
6
more ...
less ...
Source
All
ECONIS (ZBW)
31
Showing
1
-
31
of
31
Sort
Relevance
Date (newest first)
Date (oldest first)
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
What can we learn from firm-level jump-induced tail risk around earnings announcements?
Liu, Mengxi
;
Chan, Kam Fong
;
Faff, Robert W.
- In:
Journal of banking & finance
138
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013461866
Saved in:
3
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:
4
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:
5
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:
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
Comparing high-dimensional conditional covariance matrices : implications for portfolio selection
Moura, Guilherme Valle
;
Santos, André A. P.
;
Ruiz, Esther
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012521005
Saved in:
8
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:
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
Volatility tail risk under fractionality
Morelli, Giacomo
;
Santucci de Magistris, Paolo
- In:
Journal of banking & finance
108
(
2019
),
pp. 1-9
Persistent link: https://www.econbiz.de/10012224753
Saved in:
11
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:
12
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:
13
Is volatility clustering of asset returns asymmetric?
Ning, Cathy Q.
;
Xu, Dinghai
;
Wirjanto, Tony S.
- In:
Journal of banking & finance
52
(
2015
),
pp. 62-76
Persistent link: https://www.econbiz.de/10011377303
Saved in:
14
Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method
Mensi, Walid
;
Hammoudeh, Shawkat
;
Shahzad, Syed Jawad …
- In:
Journal of banking & finance
75
(
2017
),
pp. 258-279
Persistent link: https://www.econbiz.de/10011742164
Saved in:
15
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:
16
Risk evaluations with robust approximate factor models
Chou, Ray Yeutien
;
Yen, Tso-Jung
;
Yen, Yu-min
- In:
Journal of banking & finance
82
(
2017
),
pp. 244-264
Persistent link: https://www.econbiz.de/10011816816
Saved in:
17
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:
18
Aggregation of exponential smoothing processes with an application to portfolio risk evaluation
Sbrana, Giacomo
;
Silvestrini, Andrea
- In:
Journal of banking & finance
37
(
2013
)
5
,
pp. 1437-1450
Persistent link: https://www.econbiz.de/10009729085
Saved in:
19
Size and value risk in financial firms
Baek, Seungho
;
Bilson, John F.
- In:
Journal of banking & finance
55
(
2015
),
pp. 295-326
Persistent link: https://www.econbiz.de/10011379102
Saved in:
20
Industry characteristics and financial risk contagion
Chiu, Wan-chien
;
Peña Sánchez de Rivera, Juan Ignacio
; …
- In:
Journal of banking & finance
50
(
2015
),
pp. 411-427
Persistent link: https://www.econbiz.de/10010509513
Saved in:
21
Portfolio selection : an extreme value approach
DiTraglia, Francis J.
;
Gerlach, Jeffrey R.
- In:
Journal of banking & finance
37
(
2013
)
2
,
pp. 305-323
Persistent link: https://www.econbiz.de/10009705699
Saved in:
22
Long-term asset tail risks in developed and emerging markets
Straetmans, Stefan
;
Candelon, Bertrand
- In:
Journal of banking & finance
37
(
2013
)
6
,
pp. 1832-1844
Persistent link: https://www.econbiz.de/10009741911
Saved in:
23
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:
24
Portfolio optimization in the presence of dependent financial returns with long memory : a copula based approach
Boubaker, Heni
;
Sghaier, Nadia
- In:
Journal of banking & finance
37
(
2013
)
2
,
pp. 361-377
Persistent link: https://www.econbiz.de/10009705653
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
The dynamics of the volatility skew : a Kalman filter approach
Bedendo, Mascia
;
Hodges, Stewart D.
- In:
Journal of banking & finance
33
(
2009
)
6
,
pp. 1156-1165
Persistent link: https://www.econbiz.de/10003842010
Saved in:
27
Value at risk and the cross-section of hedge fund returns
Bali, Turan G.
;
Gokcan, Suleyman
;
Liang, Bing
- In:
Journal of banking & finance
31
(
2007
)
4
,
pp. 1135-1166
Persistent link: https://www.econbiz.de/10003459175
Saved in:
28
A note on the importance of overnight information in risk management models
Taylor, Nicholas
- In:
Journal of banking & finance
31
(
2007
)
1
,
pp. 161-180
Persistent link: https://www.econbiz.de/10003403190
Saved in:
29
Functional gradient descent for financial time series with an application to the measurement of market risk
Audrino, Francesco
;
Barone-Adesi, Giovanni
- In:
Journal of banking & finance
29
(
2005
)
4
,
pp. 959-977
Persistent link: https://www.econbiz.de/10002601077
Saved in:
30
GARCH vs. stochastic volatility : option pricing and risk management
Lehar, Alfred
;
Scheicher, Martin
;
Schittenkopf, Christian
- In:
Journal of banking & finance
26
(
2002
)
2/3
,
pp. 323-345
Persistent link: https://www.econbiz.de/10001654320
Saved in:
31
The emperor has no clothes: limits to risk modelling
Daníelsson, Jón
- In:
Journal of banking & finance
26
(
2002
)
7
,
pp. 1273-1296
Persistent link: https://www.econbiz.de/10001688470
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->