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accessRights:"restricted"
subject:"Bootstrap approach"
~isPartOf:"Journal of mathematical finance"
~subject:"ARCH-Modell"
~subject:"Schätzung"
~subject:"Value-at-Risk"
~subject:"Zeitreihenanalyse"
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Bootstrap approach
ARCH-Modell
Schätzung
Value-at-Risk
Zeitreihenanalyse
Estimation theory
16
Schätztheorie
16
ARCH model
7
Statistical distribution
7
Statistische Verteilung
7
Estimation
6
Time series analysis
5
Volatility
5
Volatilität
5
GARCH
4
Risikomaß
4
Risk measure
4
Autocorrelation Function
2
Capital income
2
Change-Point
2
Correlation
2
Density Estimation
2
Forecasting model
2
Kapitaleinkommen
2
Korrelation
2
Manhattan Distance
2
Model Order
2
Nichtparametrisches Verfahren
2
Nonparametric statistics
2
Prognoseverfahren
2
ARCH
1
Asymptotic Minimaxity
1
BCa Confidence Intervals
1
Backtesting
1
Bayes-Statistik
1
Bayesian Method
1
Bayesian inference
1
Bitcoin
1
Bond Pricing
1
Börsenkurs
1
Change Point
1
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English
10
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Irungu, Irene W.
2
Mwita, Peter N.
2
Waititu, Antony G.
2
Adewuyi, Adejumo Wahab
1
Cheng, Hao
1
Ensor, Katherine Bennett
1
Epaphra, Manamba
1
Esen, Halil Erturk
1
Ginley, Matthew
1
Gumbo, Victor
1
Lim, Kian-Guan
1
Mundia, Simon
1
Ngunyi, Anthony
1
Omari, Cyprian Ondieki
1
Scott, David W.
1
Siziba, Simiso
1
Yap, Nelson K. L.
1
Zhao, Dianli
1
Zhou, Hanghang
1
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Journal of mathematical finance
Journal of econometrics
316
Economics letters
116
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
113
Econometric reviews
97
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
68
International journal of forecasting
53
Econometric theory
48
Economic modelling
41
Journal of time series econometrics
40
Computational economics
37
The econometrics journal
37
Applied economics letters
34
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
30
Finance research letters
29
Discussion papers / CEPR
28
Applied economics
24
Journal of financial econometrics
23
Empirical economics : a quarterly journal of the Institute for Advanced Studies
22
Discussion paper / Centre for Economic Policy Research
20
Insurance / Mathematics & economics
20
Journal of forecasting
20
European journal of operational research : EJOR
19
Journal of empirical finance
19
Journal of quantitative economics
18
The North American journal of economics and finance : a journal of financial economics studies
18
Energy economics
17
Journal of banking & finance
15
Journal of risk
15
Journal of applied econometrics
14
Quantitative finance
14
Journal of economic dynamics & control
11
Essays in honor of Joon Y. Park : econometric theory
10
IEA CO2 Emissions from Fuel Combustion Statistics: Greenhouse Gas Emissions from Energy
10
Regional science & urban economics
10
Theoretical economics letters
10
Working paper / National Bureau of Economic Research, Inc.
10
Journal of econometric methods
9
Robustness in econometrics
9
International journal of economics and finance
8
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ECONIS (ZBW)
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1
Modelling volatility dynamics of cryptocurrencies using GARCH models
Ngunyi, Anthony
;
Mundia, Simon
;
Omari, Cyprian Ondieki
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 591-615
Persistent link: https://www.econbiz.de/10012433128
Saved in:
2
Consistency of the model order change-point estimator for GARCH models
Irungu, Irene W.
;
Mwita, Peter N.
;
Waititu, Antony G.
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 266-282
Persistent link: https://www.econbiz.de/10011874721
Saved in:
3
Limit theory of model order change-point estimator for GARCH models
Irungu, Irene W.
;
Mwita, Peter N.
;
Waititu, Antony G.
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 426-445
Persistent link: https://www.econbiz.de/10011875287
Saved in:
4
Modeling exchange rate volatility : application of the GARCH and EGARCH models
Epaphra, Manamba
- In:
Journal of mathematical finance
7
(
2017
)
1
,
pp. 121-143
Persistent link: https://www.econbiz.de/10011658449
Saved in:
5
Multivariate stochastic volatility estimation with sparse grid integration
Esen, Halil Erturk
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 68-81
Persistent link: https://www.econbiz.de/10011543122
Saved in:
6
An econometric approach to incorporating non-normality in VaR measurement
Gumbo, Victor
;
Siziba, Simiso
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 82-98
Persistent link: https://www.econbiz.de/10011543127
Saved in:
7
Modelling stock prices with Exponential Weighted Moving Average (EWMA)
Adewuyi, Adejumo Wahab
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 99-104
Persistent link: https://www.econbiz.de/10011543134
Saved in:
8
The pricing of credit derivatives and estimation of default probability
Zhou, Hanghang
;
Zhao, Dianli
- In:
Journal of mathematical finance
5
(
2015
)
3
,
pp. 243-248
Persistent link: https://www.econbiz.de/10011438503
Saved in:
9
New approach to density estimation and application to value-at-risk
Lim, Kian-Guan
;
Cheng, Hao
;
Yap, Nelson K. L.
- In:
Journal of mathematical finance
5
(
2015
)
5
,
pp. 423-432
Persistent link: https://www.econbiz.de/10011440077
Saved in:
10
Simulation of leveraged ETF volatility using nonparametric density estimation
Ginley, Matthew
;
Scott, David W.
;
Ensor, Katherine Bennett
- In:
Journal of mathematical finance
5
(
2015
)
5
,
pp. 457-479
Persistent link: https://www.econbiz.de/10011440276
Saved in:
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