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Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression*.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 3, p. 636, doi. 10.1093/jjfinec/nbad014
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- Article
Statistical evaluation of a long‐memory process using the generalized entropic value‐at‐risk.
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- Environmetrics, 2024, v. 35, n. 4, p. 1, doi. 10.1002/env.2838
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- Article
A framework of distributionally robust possibilistic optimization.
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- Fuzzy Optimization & Decision Making, 2024, v. 23, n. 2, p. 253, doi. 10.1007/s10700-024-09420-2
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- Article
Exploiting the Gap Between Implied and Realized Volatility.
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- Journal of Derivatives, 2024, v. 31, n. 4, p. 12, doi. 10.3905/jod.2024.1.202
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- Article
Value‐at‐Risk under Measurement Error.
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- Oxford Bulletin of Economics & Statistics, 2024, v. 86, n. 3, p. 690, doi. 10.1111/obes.12589
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- Article
An evaluation of the adequacy of Lévy and extreme value tail risk estimates.
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- Financial Innovation, 2024, v. 10, n. 1, p. 1, doi. 10.1186/s40854-024-00614-6
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- Article
Optimal Portfolio Analysis of Listed Companies in IDX 30.
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- KnE Social Sciences, 2024, p. 787, doi. 10.18502/kss.v9i14.16144
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- Article
The importance of dynamic risk constraints for limited liability operators.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 861, doi. 10.1007/s10479-023-05295-5
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- Article
Implied value-at-risk and model-free simulation.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 925, doi. 10.1007/s10479-022-05048-w
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- Article
Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean–variance mixture models.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 945, doi. 10.1007/s10479-023-05396-1
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- Article
Scenario Generation for Financial Data with a Machine Learning Approach Based on Realized Volatility and Copulas.
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- Computational Economics, 2024, v. 63, n. 5, p. 1879, doi. 10.1007/s10614-023-10387-2
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- Article
GARCHNet: Value-at-Risk Forecasting with GARCH Models Based on Neural Networks.
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- Computational Economics, 2024, v. 63, n. 5, p. 1949, doi. 10.1007/s10614-023-10390-7
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- Article
Convex approximations of two-stage risk-averse mixed-integer recourse models.
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- Computational Optimization & Applications, 2024, v. 88, n. 1, p. 313, doi. 10.1007/s10589-024-00555-x
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- Article
Testing the correct specification of a system of spatial dependence models for stock returns.
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- Empirical Economics, 2024, v. 66, n. 5, p. 2083, doi. 10.1007/s00181-023-02518-3
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- Article
Downside Risk in Australian and Japanese Stock Markets: Evidence Based on the Expectile Regression.
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- Journal of Risk & Financial Management, 2024, v. 17, n. 5, p. 189, doi. 10.3390/jrfm17050189
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- Article
Analyzing the Influence of Risk Models and Investor Risk-Aversion Disparity on Portfolio Selection in Community Solar Projects: A Comparative Case Study.
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- Risks, 2024, v. 12, n. 5, p. 75, doi. 10.3390/risks12050075
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- Article
Exploring Entropy-Based Portfolio Strategies: Empirical Analysis and Cryptocurrency Impact.
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- Risks, 2024, v. 12, n. 5, p. 78, doi. 10.3390/risks12050078
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- Article
Number of Volatility Regimes in the Muscat Securities Market Index in Oman Using Markov-Switching GARCH Models.
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- Symmetry (20738994), 2024, v. 16, n. 5, p. 569, doi. 10.3390/sym16050569
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- Article
Optimization Decision Study of Business Smart Building Clusters Considering Shared Energy Storage.
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- Sustainability (2071-1050), 2024, v. 16, n. 8, p. 3422, doi. 10.3390/su16083422
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- Article
LSTM–GARCH Hybrid Model for the Prediction of Volatility in Cryptocurrency Portfolios.
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- Computational Economics, 2024, v. 63, n. 4, p. 1511, doi. 10.1007/s10614-023-10373-8
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- Article
The Diversification Benefits of Foreign Real Estate: Evidence from 40 Years of Data.
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- Journal of Risk & Financial Management, 2024, v. 17, n. 4, p. 160, doi. 10.3390/jrfm17040160
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- Article
Markov decision processes with risk-sensitive criteria: an overview.
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- Mathematical Methods of Operations Research, 2024, v. 99, n. 1/2, p. 141, doi. 10.1007/s00186-024-00857-0
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- Article
The effect of liquidity creation on systemic risk: evidence from European banking sector.
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- Annals of Operations Research, 2024, v. 334, n. 1-3, p. 357, doi. 10.1007/s10479-022-04836-8
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- Article
Extreme risk dependence between green bonds and financial markets.
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- European Financial Management, 2024, v. 30, n. 2, p. 935, doi. 10.1111/eufm.12458
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- Article
The max–min newsvendor pricing problem under conditional value-at-risk criterion.
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- Flexible Services & Manufacturing Journal, 2024, v. 36, n. 1, p. 71, doi. 10.1007/s10696-022-09472-9
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- Article
Risk‐averse two‐stage stochastic programming for the inventory rebalancing of bike‐sharing systems.
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- International Transactions in Operational Research, 2024, v. 31, n. 2, p. 749, doi. 10.1111/itor.13388
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- Article
ESG shareholder engagement and downside risk.
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- Review of Finance, 2024, v. 28, n. 2, p. 483, doi. 10.1093/rof/rfad034
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- Article
CEO past distress experience and risk‐taking: Evidence from US property–liability insurance firms.
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- Risk Management & Insurance Review, 2024, v. 27, n. 1, p. 5, doi. 10.1111/rmir.12262
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- Article
Risk management opportunities in auto insurance: A focus on the value of vehicles.
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- Risk Management & Insurance Review, 2024, v. 27, n. 1, p. 115, doi. 10.1111/rmir.12259
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- Article
Value-at-Risk Effectiveness: A High-Frequency Data Approach with Semi-Heavy Tails.
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- Risks, 2024, v. 12, n. 3, p. 50, doi. 10.3390/risks12030050
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- Article
Assessing Financial Stability in Turbulent Times: A Study of Generalized Autoregressive Conditional Heteroskedasticity-Type Value-at-Risk Model Performance in Thailand's Transportation Sector during COVID-19.
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- Risks, 2024, v. 12, n. 3, p. 51, doi. 10.3390/risks12030051
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- Article
Risk Assessment in Cryptocurrency Portfolios: a Composite Hidden Markov Factor Analysis Framework.
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- Statistics, Optimization & Information Computing, 2024, v. 12, n. 2, p. 463, doi. 10.19139/soic-2310-5070-1837
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- Article
Navigating Efficiency and Uncertainty: Risks of Relying on an At-Will Workforce in Urban Meal Delivery.
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- Urban Science, 2024, v. 8, n. 1, p. 17, doi. 10.3390/urbansci8010017
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- Article
Bayesian Sensitivity Analysis for VaR and CVaR Employing Distorted Band Priors.
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- Axioms (2075-1680), 2024, v. 13, n. 2, p. 77, doi. 10.3390/axioms13020077
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- Article
Duration and Labor Resource Optimization for Construction Projects—A Conditional-Value-at-Risk-Based Analysis.
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- Buildings (2075-5309), 2024, v. 14, n. 2, p. 553, doi. 10.3390/buildings14020553
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- Article
Loan Portfolio Performance Evaluation by Using Stochastic Recovery Rate.
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- Journal of Applied Research on Industrial Engineering, 2024, v. 11, n. 1, p. 116, doi. 10.22105/jarie.2023.346023.1478
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- Article
MANAGING FINANCING RISK OF ISLAMIC BANKING PRODUCTS IN INDONESIA: A VALUE AT RISK APPROACH.
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- Jurnal Ilmiah Islam Futura, 2024, v. 24, n. 1, p. 213, doi. 10.22373/jiif.v24i1.17693
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- Article
Forecasting China's stock market risk under the background of the Stock Connect programs.
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- Soft Computing - A Fusion of Foundations, Methodologies & Applications, 2024, v. 28, n. 3, p. 2483, doi. 10.1007/s00500-023-08496-z
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- Article
Assessing portfolio vulnerability to systemic risk: a vine copula and APARCH-DCC approach.
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- Financial Innovation, 2024, v. 10, n. 1, p. 1, doi. 10.1186/s40854-023-00559-2
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- Article
Mechanisms of Stock Selection and Its Capital Weighing in the Portfolio Design Based on the MACD-K-Means-Mean-VaR Model.
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- Mathematics (2227-7390), 2024, v. 12, n. 2, p. 174, doi. 10.3390/math12020174
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- Article
Offline reinforcement learning in high-dimensional stochastic environments.
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- Neural Computing & Applications, 2024, v. 36, n. 2, p. 585, doi. 10.1007/s00521-023-09029-3
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- Article
Comparison of Value at Risk (VaR) Multivariate Forecast Models.
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- Computational Economics, 2024, v. 63, n. 1, p. 75, doi. 10.1007/s10614-022-10330-x
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- Article
Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis.
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- Computational Economics, 2024, v. 63, n. 1, p. 271, doi. 10.1007/s10614-022-10340-9
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- Article
EXAMINING THE EFFECTS OF AND MODERATING INFLUENCES ON ENVIRONMENTAL, SOCIAL AND GOVERNANCE INFORMATION DISCLOSURE ON VALUE-AT-RISK: EVIDENCE FROM CHINESE LISTED COMPANIES.
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- International Journal of Business & Society, 2024, v. 25, n. 1, p. 148, doi. 10.33736/ijbs.6905.2024
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- Article
Estimation and Inference of Quantile Impulse Response Functions by Local Projections: With Applications to VaR Dynamics*.
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- Journal of Financial Econometrics, 2024, v. 22, n. 1, p. 1, doi. 10.1093/jjfinec/nbac026
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- Article
CAViaR models for Value-at-Risk and Expected Shortfall with long range dependency features.
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- Journal of the Royal Statistical Society: Series C (Applied Statistics), 2024, v. 73, n. 1, p. 1, doi. 10.1093/jrsssc/qlad081
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- Article
ANALYSIS OF VALUE AT RISK MEASUREMENT USING THE VARIANCE-COVARIANCE METHOD IN THE SECURITIES PORTFOLIO.
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- Jurnal Indonesia Sosial Teknologi, 2024, v. 5, n. 1, p. 198, doi. 10.59141/jist.v5i01.868
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- Article
Tsallis value-at-risk: generalized entropic value-at-risk.
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- Probability in the Engineering & Informational Sciences, 2024, v. 38, n. 1, p. 1, doi. 10.1017/S0269964822000444
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- Article
Addressing the economic and demographic complexity via a neural network approach: risk measures for reverse mortgages.
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- Computational Management Science, 2023, v. 21, n. 1, p. 1, doi. 10.1007/s10287-023-00491-x
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- Article
Estimating the Volatility of Flights and Risk of Saturation of Airspaces in the European Core Area: A Methodological Proposal.
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- Applied Sciences (2076-3417), 2023, v. 13, n. 23, p. 12576, doi. 10.3390/app132312576
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- Article