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accessRights:"restricted"
subject:"Bootstrap approach"
~isPartOf:"Journal of risk"
~isPartOf:"Quantitative finance"
~subject:"Schätzung"
~subject:"Stochastischer Prozess"
~subject:"Zeitreihenanalyse"
~type_genre:"Aufsatz in Zeitschrift"
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Bootstrap approach
Schätzung
Stochastischer Prozess
Zeitreihenanalyse
Estimation theory
52
Schätztheorie
52
Estimation
20
Risikomaß
17
Risk measure
17
Volatility
17
Volatilität
17
Portfolio selection
16
Portfolio-Management
16
Time series analysis
13
ARCH model
11
ARCH-Modell
11
Forecasting model
10
Prognoseverfahren
10
Statistical distribution
9
Statistische Verteilung
9
Stochastic process
9
Börsenkurs
8
Capital income
8
Kapitaleinkommen
8
Option pricing theory
8
Optionspreistheorie
8
Share price
8
Correlation
6
Korrelation
6
Risiko
6
Risk
6
Derivat
5
Derivative
5
Statistical error
5
Statistischer Fehler
5
Autocorrelation
4
Autokorrelation
4
CAPM
4
Market microstructure
4
Marktmikrostruktur
4
Probability theory
4
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Article
31
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Aufsatz in Zeitschrift
Article in journal
31
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English
31
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Achab, Massil
1
Ardia, David
1
Auer, Benjamin R.
1
Bacry, E.
1
Behrendt, Simon
1
Belhad, Ahmed
1
Berens, Tobias
1
Buccheri, G.
1
Butler, Andrew
1
Canabarro, Askery
1
Cang, Yuquan
1
Capriotti, Luca
1
Chen, May-Ru
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Chung, Munki
1
Cipra, Tomáš
1
Fabozzi, Frank J.
1
Feng, Yuanhua
1
Fischer, Matthias
1
Gatarek, Lukasz
1
Goldman, Elena
1
Guo, Meihui
1
Guo, Zi-Yi
1
Hendrych, Radek
1
Hoogerheide, Lennart
1
Huang, Shih-Feng
1
Jiang, Zhi-Qiang
1
Kabaila, Paul
1
Kim, Jang Ho
1
Kim, Woo Chang
1
Kwon, Roy H.
1
Lamb, John D.
1
Lauria, Davide
1
Lee, Yongjae
1
Letmathe, Sebastian
1
Lewis, Alan L.
1
Liu, Guangying
1
Luger, Richard
1
Mainzer, Rheanna
1
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Journal of risk
Quantitative finance
Journal of econometrics
320
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
114
Economics letters
113
Econometric reviews
97
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
69
International journal of forecasting
51
Econometric theory
50
Economic modelling
42
Journal of time series econometrics
39
Computational economics
38
The econometrics journal
35
Applied economics letters
33
Finance research letters
31
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
30
European journal of operational research : EJOR
25
Empirical economics : a quarterly journal of the Institute for Advanced Studies
23
Applied economics
22
Journal of financial econometrics
22
Insurance / Mathematics & economics
21
Journal of empirical finance
20
Journal of quantitative economics
19
Journal of forecasting
17
Energy economics
16
The North American journal of economics and finance : a journal of financial economics studies
16
Journal of applied econometrics
15
Journal of banking & finance
13
Operations research
13
Journal of economic dynamics & control
11
Regional science & urban economics
10
Journal of econometric methods
9
Theoretical economics letters
9
Decisions in economics and finance : DEF ; a journal of applied mathematics
8
International journal of economics and finance
8
Journal of mathematical finance
8
Management science : journal of the Institute for Operations Research and the Management Sciences
8
Scandinavian actuarial journal
8
International journal of computational economics and econometrics : IJCEE
7
International journal of financial engineering
7
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ECONIS (ZBW)
31
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31
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1
Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
Pelagatti, Matteo
;
Sbrana, Giacomo
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 451-464
Persistent link: https://www.econbiz.de/10014552077
Saved in:
2
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Saved in:
3
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model
Wu, Xinyu
;
Xia, Michelle
;
Zhang, Huanming
- In:
Journal of risk
24
(
2022
)
6
,
pp. 61-92
Persistent link: https://www.econbiz.de/10013549674
Saved in:
4
Nonparametric estimation of systemic risk via conditional value-at-risk
Belhad, Ahmed
;
Lauria, Davide
;
Trindade, A. Alexandre
- In:
Journal of risk
25
(
2022
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10013549675
Saved in:
5
Proof of non-convergence of the short-maturity expansion for the SABR model
Lewis, Alan L.
;
Pirjol, Dan
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1747-1757
Persistent link: https://www.econbiz.de/10013367944
Saved in:
6
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:
7
High-dimensional realized covariance estimation : a parametric approach
Buccheri, G.
;
Mboussa Anga, G.
- In:
Quantitative finance
22
(
2022
)
11
,
pp. 2093-2107
Persistent link: https://www.econbiz.de/10013490925
Saved in:
8
Structural breaks in Box-Cox transforms of realized volatility : a model selection perspective
Behrendt, Simon
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1905-1919
Persistent link: https://www.econbiz.de/10012696795
Saved in:
9
Correlated idiosyncratic volatility shocks
Qiao, Xiao
;
Wang, Yongning
- In:
Journal of risk
23
(
2021
)
5
,
pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
Saved in:
10
Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Realdon, Marco
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1365-1386
Persistent link: https://www.econbiz.de/10012608653
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