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accessRights:"free"
type_genre:"Article in journal"
~accessRights:"restricted"
~isPartOf:"Quantitative finance"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Autokorrelation"
~subject:"Risikomaß"
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Search: subject_exact:"Estimation theory"
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Autokorrelation
Risikomaß
Estimation theory
59
Schätztheorie
59
Volatility
25
Volatilität
25
Estimation
24
Schätzung
24
Time series analysis
18
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18
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15
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15
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Caccioli, Fabio
1
Chen, May-Ru
1
Chen, Wilson Ye
1
Gerlach, Richard H.
1
Guillén, Montserrat
1
Guo, Meihui
1
Haensly, Paul J.
1
Hizmeri, Rodrigo
1
Horváth, Roman
1
Huang, Shih-Feng
1
Izzeldin, Marwan
1
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Kawasaki, Yoshinori
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1
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1
Li, Leon
1
Nolte, Ingmar
1
Papp, Gábor
1
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Perote, Javier
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Peters, Gareth
1
Sisson, Scott A.
1
Sornette, Didier
1
Stupfler, G.
1
Tsiotas, Georgios
1
Vidal-Llana, Xenxo
1
Wehrli, Alexander
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Wheatley, Spencer
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Quantitative finance
The North American journal of economics and finance : a journal of financial economics studies
Journal of econometrics
60
Econometric reviews
29
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
19
Economics letters
18
Insurance / Mathematics & economics
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Journal of risk
15
Econometrics : open access journal
10
Finance research letters
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Econometric theory
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Journal of financial econometrics
9
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
9
The journal of risk model validation
8
International journal of forecasting
7
Journal of risk and financial management : JRFM
7
European journal of operational research : EJOR
6
Regional science & urban economics
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Risks : open access journal
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The econometrics journal
6
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5
Journal of banking & finance
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Journal of empirical finance
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Applied economics letters
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International journal of economics and financial issues : IJEFI
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of mathematical finance
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Spatial economic analysis : the journal of the Regional Studies Association
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The European journal of finance
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
3
International journal of theoretical and applied finance
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Scandinavian actuarial journal
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The journal of operational risk
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ASTIN bulletin : the journal of the International Actuarial Association
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Applied economics
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Cambridge working papers in economics
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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ECONIS (ZBW)
13
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1
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
2
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
3
Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility
Vidal-Llana, Xenxo
;
Guillén, Montserrat
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014225819
Saved in:
4
Dynamic quantile function models
Chen, Wilson Ye
;
Peters, Gareth
;
Gerlach, Richard H.
; …
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1665-1691
Persistent link: https://www.econbiz.de/10013367940
Saved in:
5
Reduction of estimation error impact in the risk parity strategiesv
Kim, Hyuksoo
;
Kim, Saejoon
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1351-1364
Persistent link: https://www.econbiz.de/10012608651
Saved in:
6
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander
;
Wheatley, Spencer
;
Sornette, Didier
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 729-752
Persistent link: https://www.econbiz.de/10012500185
Saved in:
7
Risk decomposition, estimation error, and naïve diversification
Haensly, Paul J.
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-34
Persistent link: https://www.econbiz.de/10012654769
Saved in:
8
Stock market trend prediction using a functional time series approach
Huang, Shih-Feng
;
Guo, Meihui
;
Chen, May-Ru
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 69-79
Persistent link: https://www.econbiz.de/10012194855
Saved in:
9
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:
10
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
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