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accessRights:"restricted"
subject:"Monte Carlo simulation"
~isPartOf:"Finance research letters"
~isPartOf:"INFORMS journal on optimization"
~subject:"Korrelation"
~subject:"Statistische Verteilung"
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Search: subject_exact:"Estimation theory"
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Monte Carlo simulation
Korrelation
Statistische Verteilung
Estimation theory
59
Schätztheorie
59
Estimation
17
Schätzung
17
Portfolio selection
14
Portfolio-Management
14
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13
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13
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Finance research letters
INFORMS journal on optimization
Journal of econometrics
90
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
47
Economics letters
37
Econometric reviews
33
Insurance / Mathematics & economics
29
Computational economics
25
International journal of forecasting
18
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
18
Journal of financial econometrics
17
The econometrics journal
16
Applied economics
15
European journal of operational research : EJOR
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Applied economics letters
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10
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Working paper / National Bureau of Economic Research, Inc.
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ASTIN bulletin : the journal of the International Actuarial Association
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Journal of productivity analysis : an official journal of the International Society for Efficiency and Productivity Analysis
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Oxford bulletin of economics and statistics
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Scandinavian actuarial journal
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of risk model validation
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Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
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1
Estimation of fixed effects partially linear varying coefficient spatial autoregressive model with disturbances correlated in space and time
Li, Bogui
;
Chen, Hao
- In:
Finance research letters
59
(
2024
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014445336
Saved in:
2
Predicting stock market returns with average correlation and average variance : decomposition approach
Oh, Jong-Min
- In:
Finance research letters
63
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014531460
Saved in:
3
Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization
Bongiorno, Christian
;
Challet, Damien
- In:
Finance research letters
52
(
2023
),
pp. 1-5
Persistent link: https://www.econbiz.de/10014472232
Saved in:
4
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
Bodnar, Taras
;
Parolya, Nestor
;
Thorsén, Erik
- In:
Finance research letters
54
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014472777
Saved in:
5
Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures
Hartkopf, Jan Patrick
;
Reh, Laura
- In:
Finance research letters
56
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014473708
Saved in:
6
Correlation impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Finance research letters
57
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014513333
Saved in:
7
Distributionally robust optimization based on kernel density estimation and mean-entropic value-at-risk
Liu, Wei
;
Li, Yang
;
Yu, Bo
- In:
INFORMS journal on optimization
5
(
2023
)
1
,
pp. 68-91
Persistent link: https://www.econbiz.de/10014292039
Saved in:
8
Distributionally robust optimization with confidence bands for probability density functions
Chen, Xi
;
Lin, Qihang
;
Xu, Guanglin
- In:
INFORMS journal on optimization
4
(
2022
)
1
,
pp. 65-89
Persistent link: https://www.econbiz.de/10013185200
Saved in:
9
Improving sample average approximation using distributional robustness
Anderson, Edward J.
;
Philpott, Andy
- In:
INFORMS journal on optimization
4
(
2022
)
1
,
pp. 90-124
Persistent link: https://www.econbiz.de/10013185210
Saved in:
10
Augmented cointegrating linear models with possibly strongly correlated stationary and nonstationary regressors
Peng, Zhen
;
Dong, Chaohua
- In:
Finance research letters
47
(
2022
)
2
,
pp. 1-7
Persistent link: https://www.econbiz.de/10013553859
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