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accessRights:"free"
type_genre:"Article in journal"
~accessRights:"restricted"
~isPartOf:"Quantitative finance"
~subject:"Autokorrelation"
~subject:"Portfolio selection"
~subject:"Risikomaß"
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Search: subject_exact:"Estimation theory"
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Autokorrelation
Portfolio selection
Risikomaß
Estimation theory
38
Schätztheorie
38
Volatility
16
Volatilität
16
Estimation
13
Schätzung
13
Time series analysis
10
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10
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9
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Broby, Daniel
1
Caccioli, Fabio
1
Chen, May-Ru
1
Chen, Wilson Ye
1
Chung, Munki
1
Fabozzi, Frank J.
1
Gerlach, Richard H.
1
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1
Guo, Meihui
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1
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1
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1
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Tsiotas, Georgios
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1
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Quantitative finance
Journal of econometrics
72
Econometric reviews
30
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
28
Economics letters
19
Finance research letters
19
Insurance / Mathematics & economics
18
Journal of risk
16
Journal of financial econometrics
15
European journal of operational research : EJOR
12
Journal of empirical finance
11
Journal of risk and financial management : JRFM
11
Econometrics : open access journal
10
Journal of banking & finance
10
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Econometric theory
9
International journal of forecasting
9
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
9
Computational economics
8
The econometrics journal
8
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8
The European journal of finance
7
Applied economics letters
6
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6
The North American journal of economics and finance : a journal of financial economics studies
6
Computational Management Science : CMS
5
Economic modelling
5
International journal of theoretical and applied finance
5
Journal of financial econometrics : official journal of the Society for Financial Econometrics
5
Journal of forecasting
5
International journal of economics and financial issues : IJEFI
4
Journal of mathematical finance
4
Journal of time series econometrics
4
Operations research
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Spatial economic analysis : the journal of the Regional Studies Association
4
Applied mathematical finance
3
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society
3
Cambridge working papers in economics
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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ECONIS (ZBW)
14
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1
An eigenvalue distribution derived "Stability Measure" for evaluating Minimum Variance portfolios
Smyth, William
;
Broby, Daniel
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 521-537
Persistent link: https://www.econbiz.de/10014232686
Saved in:
2
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:
3
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:
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
The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki
;
Lee, Yongjae
;
Kim, Jang Ho
;
Kim, Woo Chang
; …
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
Saved in:
6
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:
7
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:
8
Noise fit, estimation error and a Sharpe information criterion
Paulsen, Dirk
;
Söhl, Jakob
- In:
Quantitative finance
20
(
2020
)
6
,
pp. 1027-1043
Persistent link: https://www.econbiz.de/10012262656
Saved in:
9
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:
10
Estimating a covariance matrix for market risk management and the case of credit default swaps
Neuberg, Richard
;
Glasserman, Paul
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 77-92
Persistent link: https://www.econbiz.de/10012194621
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