Works matching DE "VALUE at risk"

Results: 1890

Performance Evaluation of a Family of GARCH Processes Based on Value at Risk Forecasts: Data Envelopment Analysis Approach.

Published in:

Computational Economics, 2025, v. 66, n. 2, p. 1379, doi. 10.1007/s10614-024-10743-w

By:

Babiš, Alex

Publication type:

Article

Stochastic Optimization Scheduling Method for Mine Electricity–Heat Energy Systems Considering Power-to-Gas and Conditional Value-at-Risk.

Published in:

Energies (19961073), 2025, v. 18, n. 15, p. 4146, doi. 10.3390/en18154146

By:

Han, Chao;
Zhu, Yun;
Zhou, Xing;
Wang, Xuejie

Publication type:

Article

A CVaR-based distributionally robust approach for distribution networks reconfiguration with distributed generation.

Published in:

Electrical Engineering, 2025, v. 107, n. 7, p. 9335, doi. 10.1007/s00202-025-02975-2

By:

Yang, Linfeng;
Yin, Jinjiao;
Liu, Xiangyu;
Zheng, Haiyan

Publication type:

Article

Simulating Confidence Intervals for Conditional Value-at-Risk via Least-Squares Metamodels.

Published in:

INFORMS Journal on Computing, 2025, v. 37, n. 4, p. 1087

By:

Lai, Qidong;
Liu, Guangwu;
Zhang, Bingfeng;
Zhang, Kun

Publication type:

Article

Utilizing RNN based model and bi-objective programming to a new mean-conditional value at risk-entropy for uncertain portfolio optimization with liquidity and diversification.

Published in:

Fuzzy Optimization & Decision Making, 2025, v. 24, n. 3, p. 397, doi. 10.1007/s10700-025-09451-3

By:

Andabil, Zahra Faraji;
Nazemi, Alireza;
Mirlohi, Seyyed Mojtaba

Publication type:

Article

基于混合博弈的多微网日前-日内协同优化调度.

Published in:

Electric Power Automation Equipment / Dianli Zidonghua Shebei, 2025, v. 45, n. 8, p. 106, doi. 10.16081/j.epae.202505025

By:

林顺富;
董炯炯;
周波;
李东东

Publication type:

Article

Advancing Risk Management with GAS-1F: Value at Risk and Expected Shortfall Estimation.

Published in:

International Journal on Advanced Science, Engineering & Information Technology, 2025, v. 15, n. 3, p. 887

By:

Novkaniza, Fevi;
Wibowo, Irene Patricia;
Al Kafi, Rahmat

Publication type:

Article

The Statistical Distributional Validation under a Novel Generalized Gamma Distribution with Value-at-Risk Analysis for the Historical Claims, Censored and Uncensored Real-life Applications.

Published in:

Pakistan Journal of Statistics & Operation Research, 2025, v. 21, n. 1, p. 51, doi. 10.18187/pjsor.v21i1.4534

By:

Yousof, Haitham M.;
Ali, Emadeldin I. A.;
Aidi, Khaoula;
Butt, Nadeem S.;
Saber, Mohammad Mehdi;
Al-Nefaie, Abdullah H.;
Aljadani, Abdussalam;
Mansour, Mahmoud M.;
Hamed, Mohamed S.;
Ibrahim, Mohamed

Publication type:

Article

The financial risks from wind turbine failures: a value at risk approach.

Published in:

Applied Economics, 2025, v. 57, n. 39, p. 6105, doi. 10.1080/00036846.2024.2380542

By:

Mikindani, Dorcas;
O'Brien, John;
Leahy, Paul;
Deeney, Peter

Publication type:

Article

GANs and synthetic financial data: calculating VaR.

Published in:

Applied Economics, 2025, v. 57, n. 37, p. 5680, doi. 10.1080/00036846.2024.2365456

By:

Allen, David E.;
Mushunje, Leonard;
Peiris, Shelton

Publication type:

Article

A return-diversification approach to portfolio selection.

Published in:

Computational Management Science, 2025, v. 22, n. 2, p. 1, doi. 10.1007/s10287-025-00538-1

By:

Cesarone, Francesco;
Giacometti, Rosella;
Martino, Manuel L.;
Tardella, Fabio

Publication type:

Article

GAS or GARCH: A comparison of density and VaR forecasts in Turkish FX and stock markets.

Published in:

Istanbul Business Research, 2025, v. 54, n. 1, p. 56, doi. 10.26650/ibr.2025.54.1577152

By:

Özgül, Ali Ulvi

Publication type:

Article

Export market risk and the role of state credit guarantees.

Published in:

International Economics & Economic Policy, 2021, v. 18, n. 1, p. 25, doi. 10.1007/s10368-020-00466-2

By:

Heiland, Inga;
Yalcin, Erdal

Publication type:

Article

Value at Risk Measurement Method under Deep Learning in Analysing the Excessive Financialization of Enterprises.

Published in:

Journal of Information Science & Engineering, 2024, v. 40, n. 4, p. 849, doi. 10.6688/JISE.202407_40(4).0010

By:

BIN-TAO SHAO

Publication type:

Article

Structural VAR analysis of debt, capital accumulation, and income distribution in the Japanese economy: a Post Keynesian perspective.

Published in:

Journal of Post Keynesian Economics, 2012, v. 34, n. 4, p. 685, doi. 10.2753/PKE0160-3477340405

By:

Nishi, Hiroshi

Publication type:

Article

Price Risk Measurement of China's Soybean Futures Market Based on the VAR-GJR-GARCH Model.

Published in:

Complexity, 2021, p. 1, doi. 10.1155/2021/8912024

By:

Wang, Chuan-hui;
Wang, Li-ping;
Gong, Wei-feng;
Zhang, Hai-xia;
Liu, Xia

Publication type:

Article

A New Class of Heavy-Tailed Distributions: Modeling and Simulating Actuarial Measures.

Published in:

Complexity, 2021, p. 1, doi. 10.1155/2021/5580228

By:

Zhao, Jin;
Ahmad, Zubair;
Mahmoudi, Eisa;
Hafez, E. H.;
Mohie El-Din, Marwa M.

Publication type:

Article

The Impact of Capital Inflows on Asset Prices in Emerging Asian Economies: Is Too Much Money Chasing Too Little Good?

Published in:

Open Economies Review, 2011, v. 22, n. 2, p. 293, doi. 10.1007/s11079-009-9124-x

By:

Kim, Soyoung;
Yang, Doo

Publication type:

Article

لخاطرها السوقية ً تقييم اداء احملفظة االستثمارية وفقا دراسة حتليلية لعينة من املصارف املذرجة يف سوق العراق لألوراق املالية للفرتة من.

Published in:

Gharee for Economics & Administration Sciences, 2022, p. 631

By:

مروة عاشور عويد;
د. دمحم ؽٖاب;
د عبد الرضا حسن س&#159

Publication type:

Article

اثر مخاطر السىق في مصرف الائتمان العرالي.

Published in:

Gharee for Economics & Administration Sciences, 2022, p. 1797

By:

محمد غالي الصيني;
جيهان علي ناصر

Publication type:

Article

تقييم أداء المحفظة الاستثمارية وفقا للمخاطر السوقية باستخدام القيمةالمعرضة للخطر (دراسة تحليلية لعينة من الشركات الاستثمارية المدرجةفي سوق العراق للأوراق المالية للمدة2013 - 2018(.

Published in:

Gharee for Economics & Administration Sciences, 2021, v. 17, n. 1, p. 83

By:

نور حليم جواد;
حسن شاكر الشمري

Publication type:

Article

基于源荷预测的含多能储能区域电热系统的优化调度.

Published in:

Zhejiang Electric Power, 2023, v. 42, n. 9, p. 17, doi. 10.19585/j.zjdl.202309003

By:

许烽;
陶远超;
陆翌;
裘鹏;
李心宇;
孙浩;
覃洪培

Publication type:

Article

Performance Analysis of Sustainable Responsible Companies: An Empirical Study of Indian Sustainability Indices.

Published in:

Grenze International Journal of Engineering & Technology (GIJET), 2024, v. 10, n. 2,Part 3, p. 2426

By:

Sharma, Swati

Publication type:

Article

Energy-related Financial Risk Assessment Framework – Application to Gas-fired Power Plants.

Published in:

Journal of Business Administration (1025-9627), 2021, v. 46, n. 3, p. 81, doi. 10.3966/102596272021090463004

By:

Yu-Che Tseng;
Yuh-Ming Lee

Publication type:

Article

Quantitative Risk Calculation in Cybersecurity: The Value of Quantifying Risk.

Published in:

ISSA Journal, 2020, v. 18, n. 10, p. 28

By:

van den Hooven, Chris

Publication type:

Article

The Worst Case GARCH-Copula CVaR Approach for Portfolio Optimisation: Evidence from Financial Markets.

Published in:

Journal of Risk & Financial Management, 2022, v. 15, n. 10, p. 482, doi. 10.3390/jrfm15100482

By:

Alotaibi, Tahani S.;
Dalla Valle, Luciana;
Craven, Matthew J.

Publication type:

Article

Predictors of Excess Return in a Green Energy Equity Portfolio: Market Risk, Market Return, Value-at-Risk and or Expected Shortfall?

Published in:

Journal of Risk & Financial Management, 2022, v. 15, n. 2, p. N.PAG, doi. 10.3390/jrfm15020080

By:

Abraham, Rebecca;
El-Chaarani, Hani;
Tao, Zhi

Publication type:

Article

The Risk Measurement under the Variance-Gamma Process with Drift Switching.

Published in:

Journal of Risk & Financial Management, 2022, v. 15, n. 1, p. 22, doi. 10.3390/jrfm15010022

By:

Ivanov, Roman V.

Publication type:

Article

Return Based Risk Measures for Non-Normally Distributed Returns: An Alternative Modelling Approach.

Published in:

Journal of Risk & Financial Management, 2021, v. 14, n. 11, p. 1, doi. 10.3390/jrfm14110540

By:

Samunderu, Eyden;
Murahwa, Yvonne T.

Publication type:

Article

GJR-GARCH Volatility Modeling under NIG and ANN for Predicting Top Cryptocurrencies.

Published in:

Journal of Risk & Financial Management, 2021, v. 14, n. 9, p. 1, doi. 10.3390/jrfm14090421

By:

Mostafa, Fahad;
Saha, Pritam;
Islam, Mohammad Rafiqul;
Nguyet Nguyen

Publication type:

Article

Bitcoin Return Volatility Forecasting: A Comparative Study between GARCH and RNN.

Published in:

Journal of Risk & Financial Management, 2021, v. 14, n. 7, p. 1, doi. 10.3390/jrfm14070337

By:

Ze Shen;
Qing Wan;
Leatham, David J.

Publication type:

Article

Forecasting Volatility and Tail Risk in Electricity Markets.

Published in:

Journal of Risk & Financial Management, 2021, v. 14, n. 7, p. 1, doi. 10.3390/jrfm14070294

By:

Naimoli, Antonio;
Storti, Giuseppe

Publication type:

Article

Systemic Risk Modeling with Lévy Copulas.

Published in:

Journal of Risk & Financial Management, 2021, v. 14, n. 6, p. 1, doi. 10.3390/jrfm14060251

By:

Yuhao Liu;
Djuri´c, Petar M.;
Young Shin Kim;
Rachev, Svetlozar T.;
Glimm, James

Publication type:

Article

Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model.

Published in:

Journal of Risk & Financial Management, 2021, v. 14, n. 3, p. 1, doi. 10.3390/jrfm14030097

By:

Fard, Farzad Alavi;
Tchatoka, Firmin Doko;
Sriananthakumar, Sivagowry

Publication type:

Article

Diversification Can Control Probability of Default or Risk, but Not Both.

Published in:

Journal of Risk & Financial Management, 2021, v. 14, n. 2, p. 1, doi. 10.3390/jrfm14020073

By:

Cadenas, Pedro;
Gzyl, Henryk

Publication type:

Article

Transformational Approach to Analytical Value-at-Risk for near Normal Distributions.

Published in:

Journal of Risk & Financial Management, 2021, v. 14, n. 2, p. 1, doi. 10.3390/jrfm14020051

By:

Prakash, Puneet;
Sangwan, Vikas;
Singh, Kewal

Publication type:

Article

CoCDaR and mCoCDaR: New Approach for Measurement of Systemic Risk Contributions.

Published in:

Journal of Risk & Financial Management, 2020, v. 13, n. 11, p. 1, doi. 10.3390/jrfm13110270

By:

Ding, Rui;
Uryasev, Stan

Publication type:

Article

Small Family Businesses: Innovation, Risk and Value.

Published in:

Journal of Risk & Financial Management, 2020, v. 13, n. 10, p. 1, doi. 10.3390/jrfm13100240

By:

Harith, Samir;
Samujh, Ruth Helen

Publication type:

Article

Long Memory in the Volatility of Selected Cryptocurrencies: Bitcoin, Ethereum and Ripple.

Published in:

Journal of Risk & Financial Management, 2020, v. 13, n. 6, p. 1, doi. 10.3390/jrfm13060107

By:

Soylu, Pınar Kaya;
Okur, Mustafa;
Çatıkkaş, Özgür;
Altintig, Z. Ayca

Publication type:

Article

A Wavelet-Based Analysis of the Co-Movement between Sukuk Bonds and Shariah Stock Indices in the GCC Region: Implications for Risk Diversification.

Published in:

Journal of Risk & Financial Management, 2020, v. 13, n. 4, p. 1, doi. 10.3390/jrfm13040063

By:

Nasreen, Samia;
Naqvi, Syed Asif Ali;
Tiwari, Aviral Kumar;
Hammoudeh, Shawkat;
Shah, Syed Ale Raza

Publication type:

Article

Extreme Values and Financial Risk.

Published in:

Journal of Risk & Financial Management, 2020, v. 13, n. 2, p. 1, doi. 10.3390/jrfm13020032

By:

Chan, Stephen;
Nadarajah, Saralees

Publication type:

Article

Generalized Mean-Reverting 4/2 Factor Model.

Published in:

Journal of Risk & Financial Management, 2019, v. 12, n. 4, p. 1, doi. 10.3390/jrfm12040159

By:

Yuyang Cheng;
Escobar-Anel, Marcos;
Zhenxian Gong

Publication type:

Article

CVaR Regression Based on the Relation between CVaR and Mixed-Quantile Quadrangles.

Published in:

Journal of Risk & Financial Management, 2019, v. 12, n. 3, p. 1, doi. 10.3390/jrfm12030107

By:

Golodnikov, Alex;
Kuzmenko, Viktor;
Uryasev, Stan

Publication type:

Article

Default Risk and Cross Section of Returns.

Published in:

Journal of Risk & Financial Management, 2019, v. 12, n. 2, p. 1, doi. 10.3390/jrfm12020095

By:

Cakici, Nusret;
Chatterjee, Sris;
Ren-Raw Chen

Publication type:

Article

Value-at-Risk and Models of Dependence in the U.S. Federal Crop Insurance Program.

Published in:

Journal of Risk & Financial Management, 2019, v. 12, n. 2, p. 1, doi. 10.3390/jrfm12020065

By:

Ramsey, A. Ford;
Goodwin, Barry K.

Publication type:

Article

Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH.

Published in:

Journal of Risk & Financial Management, 2018, v. 11, n. 2, p. 1, doi. 10.3390/jrfm11020018

By:

Paul Bui Quang;
Klein, Tony;
Nguyen, Nam H.;
Walther, Thomas

Publication type:

Article

Estimation of Cross-Lingual News Similarities Using Text-Mining Methods.

Published in:

Journal of Risk & Financial Management, 2018, v. 11, n. 1, p. 1, doi. 10.3390/jrfm11010008

By:

Zhouhao Wang;
Enda Liu;
Hiroki Sakaji;
Tomoki Ito;
Kiyoshi Izumi;
Kota Tsubouchi;
Tatsuo Yamashita

Publication type:

Article

Does the Assumption on Innovation Process Play an Important Role for Filtered Historical Simulation Model?

Published in:

Journal of Risk & Financial Management, 2018, v. 11, n. 1, p. 1, doi. 10.3390/jrfm11010007

By:

Altun, Emrah;
Tatlidil, Huseyin;
Ozel, Gamze;
Nadarajah, Saralees

Publication type:

Article

The Burr X Pareto Distribution: Properties, Applications and VaR Estimation.

Published in:

Journal of Risk & Financial Management, 2018, v. 11, n. 1, p. 1, doi. 10.3390/jrfm11010001

By:

Korkmaz, Mustafa Ç.;
Altun, Emrah;
Yousof, Haitham M.;
Afify, Ahmed Z.;
Nadarajah, Saralees

Publication type:

Article

GARCH Modelling of Cryptocurrencies.

Published in:

Journal of Risk & Financial Management, 2017, v. 10, n. 4, p. 1, doi. 10.3390/jrfm10040017

By:

Chu, Jeffrey;
Chan, Stephen;
Nadarajah, Saralees;
Osterrieder, Joerg

Publication type:

Article