Works about VALUE at risk
Results: 1796
A new Bayesian method for estimation of value at risk and conditional value at risk: A new Bayesian method for estimation of value at...: J. Martín et al.
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- Empirical Economics, 2025, v. 68, n. 3, p. 1171, doi. 10.1007/s00181-024-02664-2
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Multifunctional Expectile Regression Estimation in Volterra Time Series: Application to Financial Risk Management.
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- Axioms (2075-1680), 2025, v. 14, n. 2, p. 147, doi. 10.3390/axioms14020147
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The End of Mean-Variance? Tsallis Entropy Revolutionises Portfolio Optimisation in Cryptocurrencies.
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- Journal of Risk & Financial Management, 2025, v. 18, n. 2, p. 77, doi. 10.3390/jrfm18020077
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Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk.
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- Journal of Financial Econometrics, 2013, v. 11, n. 2, p. 400, doi. 10.1093/jjfinec/nbs015
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Microinformation, Nonlinear Filtering, and Granularity.
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- Journal of Financial Econometrics, 2012, v. 10, n. 1, p. 1, doi. 10.1093/jjfinec/nbr010
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Merits and Drawbacks of Variance Targeting in GARCH Models.
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- Journal of Financial Econometrics, 2011, v. 9, n. 4, p. 619, doi. 10.1093/jjfinec/nbr004
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Backtesting Value-at-Risk: A GMM Duration-Based Test.
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- Journal of Financial Econometrics, 2011, v. 9, n. 2, p. 314, doi. 10.1093/jjfinec/nbq025
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Comparison of Volatility Measures: a Risk Management Perspective.
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- Journal of Financial Econometrics, 2010, v. 8, n. 1, p. 29, doi. 10.1093/jjfinec/nbp009
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MOMENT-BASED TESTS UNDER PARAMETER UNCERTAINTY.
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- Review of Economics & Statistics, 2019, v. 101, n. 1, p. 146, doi. 10.1162/rest_a_00745
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Volatility Uncertainty Quantification in a Stochastic Control Problem Applied to Energy.
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- Methodology & Computing in Applied Probability, 2020, v. 22, n. 1, p. 135, doi. 10.1007/s11009-019-09692-x
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On Coherent Risk Measures Induced by Convex Risk Measures.
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- Methodology & Computing in Applied Probability, 2018, v. 20, n. 2, p. 673, doi. 10.1007/s11009-017-9584-1
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On a Transform Method for the Efficient Computation of Conditional V@R (and V@R) with Application to Loss Models with Jumps and Stochastic Volatility.
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- Methodology & Computing in Applied Probability, 2016, v. 18, n. 2, p. 575, doi. 10.1007/s11009-015-9446-7
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Quantile-Based Inference for Tempered Stable Distributions.
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- Computational Economics, 2019, v. 53, n. 1, p. 51, doi. 10.1007/s10614-017-9718-0
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Risk Assessment with Wavelet Feature Engineering for High-Frequency Portfolio Trading.
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- Computational Economics, 2018, v. 52, n. 2, p. 653, doi. 10.1007/s10614-017-9711-7
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Integrated Portfolio Risk Measure: Estimation and Asymptotics of Multivariate Geometric Quantiles.
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- Computational Economics, 2018, v. 52, n. 2, p. 627, doi. 10.1007/s10614-017-9708-2
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Time Series Simulation with Randomized Quasi-Monte Carlo Methods: An Application to Value at Risk and Expected Shortfall.
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- Computational Economics, 2018, v. 52, n. 1, p. 55, doi. 10.1007/s10614-017-9661-0
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A Linear Stochastic Programming Model for Optimal Leveraged Portfolio Selection.
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- Computational Economics, 2018, v. 51, n. 4, p. 1021, doi. 10.1007/s10614-017-9656-x
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Detecting Causality in Non-stationary Time Series Using Partial Symbolic Transfer Entropy: Evidence in Financial Data.
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- Computational Economics, 2016, v. 47, n. 3, p. 341, doi. 10.1007/s10614-015-9491-x
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Bank Capital Shock Propagation via Syndicated Interconnectedness.
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- Computational Economics, 2016, v. 47, n. 1, p. 67, doi. 10.1007/s10614-015-9493-8
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Measuring Risk in Fixed Income Portfolios using Yield Curve Models.
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- Computational Economics, 2015, v. 46, n. 1, p. 65, doi. 10.1007/s10614-014-9438-7
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Loss-Aversion with Kinked Linear Utility Functions.
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- Computational Economics, 2014, v. 44, n. 1, p. 45, doi. 10.1007/s10614-013-9391-x
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Combining Forecasts with Missing Data: Making Use of Portfolio Theory.
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- Computational Economics, 2014, v. 44, n. 2, p. 127, doi. 10.1007/s10614-013-9401-z
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Statistical Inferences for Generalized Pareto Distribution Based on Interior Penalty Function Algorithm and Bootstrap Methods and Applications in Analyzing Stock Data.
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- Computational Economics, 2012, v. 39, n. 2, p. 173, doi. 10.1007/s10614-011-9256-0
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Simplified risk stratification for pulmonary arterial hypertension associated with connective tissue disease.
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- Clinical Rheumatology, 2019, v. 38, n. 12, p. 3619, doi. 10.1007/s10067-019-04690-3
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MiR-5571-3p and miR-135b-5p, derived from analyses of microRNA profile sequencing, correlate with increased disease risk and activity of rheumatoid arthritis.
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- Clinical Rheumatology, 2019, v. 38, n. 6, p. 1753, doi. 10.1007/s10067-018-04417-w
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Heterogeneity of inbound tourism driven by exchange rate fluctuations: implications for tourism business recovery and resilience in Australia.
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- Current Issues in Tourism, 2023, v. 26, n. 3, p. 450, doi. 10.1080/13683500.2021.2023478
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Development of a Model to Estimate the Risk of Emission of Greenhouse Gases from Forest Fires.
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- Fire (2571-6255), 2023, v. 6, n. 1, p. 8, doi. 10.3390/fire6010008
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Superposition Risk Assessment and Calculation Model of the Working Position of Coal-Seam Fire Accidents in China.
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- Fire (2571-6255), 2023, v. 6, n. 1, p. 7, doi. 10.3390/fire6010007
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Multae quippe orationes verae quidem sed obscurae Calcidius' taxonomy of textual obscuritas.
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- Rónai - Revista de Estudos Classicos e Tradutorios, 2020, v. 8, n. 2, p. 262, doi. 10.34019/2318-3446.2020.v8.31363
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Upper and lower variances under model uncertainty and their applications in finance.
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- International Journal of Financial Engineering, 2022, v. 9, n. 1, p. 1, doi. 10.1142/S2424786322500074
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On the design of sovereign bond-backed securities.
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- International Journal of Financial Engineering, 2022, v. 9, n. 1, p. 1, doi. 10.1142/S242478632150033X
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Risk Capital: Theory and Applications.
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- Journal of Applied Corporate Finance, 2021, v. 33, n. 1, p. 8, doi. 10.1111/jacf.12441
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Private Equity 4.0: Using ESG to Create More Value with Less Risk.
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- Journal of Applied Corporate Finance, 2019, v. 31, n. 2, p. 34, doi. 10.1111/jacf.12344
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Evidence of the Value of Enterprise Risk Management.
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- Journal of Applied Corporate Finance, 2015, v. 27, n. 1, p. 41, doi. 10.1111/jacf.12103
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考虑不确定性物理边界的灵活爬坡备用 分布鲁棒经济调度.
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- Electric Power Automation Equipment / Dianli Zidonghua Shebei, 2023, v. 43, n. 10, p. 59, doi. 10.16081/j.epae.202308032
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考虑新增电动汽车充放电中断风险的聚合商 调频辅助服务投标策略.
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- Electric Power Automation Equipment / Dianli Zidonghua Shebei, 2022, v. 42, n. 10, p. 3, doi. 10.16081/j.epae.202203006
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基于充电行为预测的电动汽车参与系统调频备用： 容量挖掘与风险评估.
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- Electric Power Automation Equipment / Dianli Zidonghua Shebei, 2022, v. 42, n. 4, p. 18, doi. 10.16081/j.epae.202112009
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Quantitative Risk Calculation in Cybersecurity: The Value of Quantifying Risk.
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- ISSA Journal, 2020, v. 18, n. 10, p. 28
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- Article
SPILLOVER FROM OIL MARKET TO STOCK MARKET IN NIGERIA: EVIDENCE FROM GRANGER CAUSALITY IN RISK.
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- Journal of Developing Areas, 2015, v. 49, n. 3, p. 81, doi. 10.1353/jda.2015.0176
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ECONOMETRIC INVESTIGATION OF RELATIONSHIPS AMONG EXPORT, FDI AND GROWTH IN INDIA: AN APPLICATION OF TODA-YAMAMOTO-DOLADO-LUTKEPHOL GRANGER CAUSALITY TEST.
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- Journal of Developing Areas, 2012, v. 46, n. 2, p. 231, doi. 10.1353/jda.2012.0027
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- Article
The impact of the dependence structure in risk management: a focus on credit-risk.
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- International Journal of General Systems, 2019, v. 48, n. 4, p. 335, doi. 10.1080/03081079.2019.1579211
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- Article
Portfolio Selection Based on Modified CoVaR in Gaussian Framework.
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- Mathematics (2227-7390), 2024, v. 12, n. 23, p. 3766, doi. 10.3390/math12233766
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Dynamic Mean–Variance Portfolio Optimization with Value-at-Risk Constraint in Continuous Time.
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- Mathematics (2227-7390), 2024, v. 12, n. 14, p. 2268, doi. 10.3390/math12142268
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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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VaR Estimation with Quantum Computing Noise Correction Using Neural Networks.
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- Mathematics (2227-7390), 2023, v. 11, n. 20, p. 4355, doi. 10.3390/math11204355
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Distributionally Robust Reinsurance with Glue Value-at-Risk and Expected Value Premium.
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- Mathematics (2227-7390), 2023, v. 11, n. 18, p. 3923, doi. 10.3390/math11183923
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Reserve Fund Optimization Model for Digital Banking Transaction Risk with Extreme Value-at-Risk Constraints.
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- Mathematics (2227-7390), 2023, v. 11, n. 16, p. 3507, doi. 10.3390/math11163507
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Tail Risk Signal Detection through a Novel EGB2 Option Pricing Model.
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- Mathematics (2227-7390), 2023, v. 11, n. 14, p. 3194, doi. 10.3390/math11143194
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Tail Value-at-Risk-Based Expectiles for Extreme Risks and Their Application in Distributionally Robust Portfolio Selections.
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- Mathematics (2227-7390), 2023, v. 11, n. 1, p. 91, doi. 10.3390/math11010091
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Predicting Returns, Volatilities and Correlations of Stock Indices Using Multivariate Conditional Autoregressive Range and Return Models.
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- Mathematics (2227-7390), 2023, v. 11, n. 1, p. 13, doi. 10.3390/math11010013
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