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accessRights:"restricted"
subject:"Monte Carlo simulation"
~isPartOf:"Journal of risk"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Schätzung"
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Search: subject_exact:"Estimation theory"
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Monte Carlo simulation
Maximum-Likelihood-Schätzung
Schätzung
Estimation theory
21
Schätztheorie
21
Risikomaß
13
Risk measure
13
ARCH model
10
ARCH-Modell
10
Estimation
10
Portfolio selection
9
Portfolio-Management
9
Time series analysis
6
Zeitreihenanalyse
6
Risiko
5
Risk
5
Volatility
5
Volatilität
5
Capital income
4
Kapitaleinkommen
4
Statistical distribution
4
Statistische Verteilung
4
expected shortfall (ES)
4
value-at-risk (VaR)
4
Forecasting model
3
Measurement
3
Messung
3
Prognoseverfahren
3
generalized autoregressive conditional heteroscedasticity (GARCH)
3
Aktienindex
2
Autocorrelation
2
Autokorrelation
2
Bias
2
Bootstrap approach
2
Bootstrap-Verfahren
2
Börsenkurs
2
Correlation
2
Korrelation
2
Market risk
2
Original research
2
Share price
2
Statistical error
2
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11
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11
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English
11
Author
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Auer, Benjamin R.
1
Berens, Tobias
1
Fischer, Matthias
1
Goldman, Elena
1
Guo, Zi-Yi
1
Kabaila, Paul
1
Lamb, John D.
1
Luger, Richard
1
Mainzer, Rheanna
1
Martin, R. Douglas
1
Monville, Maura E.
1
Nagl, Maximilian
1
Pfeuffer, Marius
1
Qiao, Xiao
1
Rösch, Daniel
1
Schuhmacher, Frank
1
Shen, Xiangjin
1
Tee, Kaihong
1
Wang, Yongning
1
Weiß, Gregory N. F.
1
Wu, Xinyu
1
Xia, Michelle
1
Zhang, Huanming
1
Zhang, Shengyu
1
Ziggel, Daniel
1
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Journal of risk
Journal of econometrics
206
Economics letters
92
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
92
Econometric reviews
67
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
44
Economic modelling
41
Computational economics
34
Discussion papers / CEPR
32
Applied economics letters
27
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
25
Empirical economics : a quarterly journal of the Institute for Advanced Studies
22
International journal of forecasting
22
Finance research letters
21
Applied economics
20
European journal of operational research : EJOR
19
Journal of financial econometrics
19
The econometrics journal
18
Discussion paper / Centre for Economic Policy Research
17
Journal of economic dynamics & control
17
Insurance / Mathematics & economics
15
Energy economics
13
Journal of banking & finance
13
Quantitative finance
13
Econometric theory
12
Journal of applied econometrics
12
Journal of quantitative economics
12
Journal of econometric methods
11
Journal of empirical finance
11
The North American journal of economics and finance : a journal of financial economics studies
11
IEA CO2 Emissions from Fuel Combustion Statistics: Greenhouse Gas Emissions from Energy
10
Journal of time series econometrics
10
Operations research
10
Working paper / National Bureau of Economic Research, Inc.
10
Theoretical economics letters
9
Journal of forecasting
7
Management science : journal of the Institute for Operations Research and the Management Sciences
7
Robustness in econometrics
7
The journal of risk model validation
7
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
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ECONIS (ZBW)
11
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1
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:
2
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:
3
Are there multiple independent risk anomalies in the cross section of stock returns?
Auer, Benjamin R.
;
Schuhmacher, Frank
- In:
Journal of risk
24
(
2021
)
2
,
pp. 43-87
Persistent link: https://www.econbiz.de/10013284832
Saved in:
4
Procyclicality mitigation for initial margin models with asymmetric volatility
Goldman, Elena
;
Shen, Xiangjin
- In:
Journal of risk
22
(
2019/2020
)
5
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012421684
Saved in:
5
Bias-corrected estimators for the Vasicek model : an application in risk measure estimation
Guo, Zi-Yi
- In:
Journal of risk
23
(
2020/2021
)
2
,
pp. 71-104
Persistent link: https://www.econbiz.de/10012500264
Saved in:
6
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
Pfeuffer, Marius
;
Nagl, Maximilian
;
Fischer, Matthias
; …
- In:
Journal of risk
22
(
2019/2020
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012297503
Saved in:
7
Making Cornish-Fisher fit for risk measurement
Lamb, John D.
;
Monville, Maura E.
;
Tee, Kaihong
- In:
Journal of risk
21
(
2018/2019
)
5
,
pp. 53-81
Persistent link: https://www.econbiz.de/10012059934
Saved in:
8
Nonparametric versus parametric expected shortfall
Martin, R. Douglas
;
Zhang, Shengyu
- In:
Journal of risk
21
(
2018/2019
)
6
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012117478
Saved in:
9
Estimation risk for value-at-risk and expected shortfall
Kabaila, Paul
;
Mainzer, Rheanna
- In:
Journal of risk
20
(
2017/2018
)
3
,
pp. 29-47
Persistent link: https://www.econbiz.de/10011847463
Saved in:
10
Estimation window strategies for value-at-risk and expected shortfall forecasting
Berens, Tobias
;
Weiß, Gregory N. F.
;
Ziggel, Daniel
- In:
Journal of risk
20
(
2017/2018
)
5
,
pp. 33-82
Persistent link: https://www.econbiz.de/10011914663
Saved in:
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