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accessRights:"restricted"
subject:"Bootstrap approach"
~isPartOf:"Journal of mathematical finance"
~subject:"ARCH-Modell"
~subject:"Value-at-Risk"
~subject:"Volatility"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Bootstrap approach
ARCH-Modell
Value-at-Risk
Volatility
Zeitreihenanalyse
Estimation theory
16
Schätztheorie
16
ARCH model
7
Statistical distribution
7
Statistische Verteilung
7
Estimation
6
Schätzung
6
Time series analysis
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GARCH
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Risikomaß
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Risk measure
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Autocorrelation Function
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Capital income
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Change-Point
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Density Estimation
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Kapitaleinkommen
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Manhattan Distance
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Nichtparametrisches Verfahren
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Nonparametric statistics
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ARCH
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Bayes-Statistik
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Bayesian Method
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Bitcoin
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Börsenkurs
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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
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Yap, Nelson K. L.
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Journal of mathematical finance
Journal of econometrics
238
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
83
Econometric reviews
74
Economics letters
64
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
59
Econometric theory
47
International journal of forecasting
47
Journal of time series econometrics
40
Computational economics
34
Finance research letters
26
The econometrics journal
26
Economic modelling
24
Applied economics letters
19
Journal of empirical finance
18
Journal of financial econometrics
18
Journal of forecasting
16
Applied economics
15
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
15
Quantitative finance
15
Journal of quantitative economics
14
The North American journal of economics and finance : a journal of financial economics studies
14
Insurance / Mathematics & economics
13
European journal of operational research : EJOR
12
Journal of risk
12
Energy economics
10
Essays in honor of Joon Y. Park : econometric theory
10
Journal of banking & finance
9
Discussion paper / Centre for Economic Policy Research
8
Discussion papers / CEPR
8
Decisions in economics and finance : DEF ; a journal of applied mathematics
7
Empirical economics : a quarterly journal of the Institute for Advanced Studies
7
Journal of international financial markets, institutions & money
7
The journal of risk model validation
7
International journal of economics and finance
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
Research in international business and finance
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Theoretical economics letters
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Finance and stochastics
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International journal of financial engineering
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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
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:
9
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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