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isPartOf:"SFB 649 discussion paper"
~isPartOf:"CREATES research paper"
~isPartOf:"Insurance / Mathematics & economics"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of econometrics"
~subject:"Mortality"
~subject:"Risiko"
~subject:"Theorie"
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Search: subject_exact:"Stochastisches Modell"
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Mortality
Risiko
Theorie
Stochastic process
697
Stochastischer Prozess
697
Theory
381
Volatility
227
Volatilität
227
Time series analysis
122
Zeitreihenanalyse
122
Option pricing theory
117
Optionspreistheorie
117
Estimation theory
111
Schätztheorie
111
Portfolio selection
97
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97
Estimation
92
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90
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59
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53
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47
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ARCH model
39
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39
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Podolskij, Mark
10
Phillips, Peter C. B.
7
Yu, Jun
7
Barndorff-Nielsen, Ole E.
6
Härdle, Wolfgang
6
Liang, Zongxia
6
Chan, Joshua
5
Hainaut, Donatien
5
Todorov, Viktor
5
Veraart, Almut E. D.
5
Guan, Guohui
4
Li, Xiaohu
4
McAleer, Michael
4
Meyer-Gohde, Alexander
4
Pakkanen, Mikko S.
4
Renault, Eric
4
Tauchen, George Eugene
4
Taylor, Robert
4
Veliyev, Bezirgen
4
Wong, Hoi Ying
4
Yang, Hailiang
4
Arvanitis, Stelios
3
Avanzi, Benjamin
3
Belomestny, Denis
3
Bibinger, Markus
3
Christensen, Kim
3
Clark, Todd E.
3
Eisenberg, Julia
3
Hautsch, Nikolaus
3
Horst, Ulrich
3
Horváth, Lajos
3
Laeven, Roger J. A.
3
Li, Zhongfei
3
Lu, Yi
3
Marcellino, Massimiliano
3
Post, Thomas
3
Reiß, Markus
3
Rice, Gregory
3
Shevchenko, Pavel V.
3
Siu, Tak Kuen
3
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SFB 649 discussion paper
CREATES research paper
Insurance / Mathematics & economics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
European journal of operational research : EJOR
447
Computers & operations research : and their applications to problems of world concern ; an international journal
146
Finance and stochastics
132
International journal of production research
128
International journal of theoretical and applied finance
120
Operations research
117
Operations research letters
103
Mathematical finance : an international journal of mathematics, statistics and financial theory
83
Mathematics of operations research
82
International journal of production economics
77
Journal of economic dynamics & control
75
Discussion paper / Tinbergen Institute
72
Risks : open access journal
71
INFORMS journal on computing : JOC
63
Journal of economic theory
59
Econometric reviews
57
Quantitative finance
55
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
54
Computational Management Science : CMS
53
Economics letters
53
Transportation research / E : an international journal
52
Mathematical methods of operations research
51
Transportation science : a journal of the Institute for Operations Research and the Management Sciences
51
Computational economics
45
Discussion papers of interdisciplinary research project 373
45
Management science : journal of the Institute for Operations Research and the Management Sciences
44
Econometric theory
42
Economic modelling
41
SpringerLink / Bücher
40
Omega : the international journal of management science
39
Scandinavian actuarial journal
39
Annals of operations research
37
IMA journal of management mathematics
37
Working paper / National Bureau of Economic Research, Inc.
37
NBER Working Paper
36
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ECONIS (ZBW)
428
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428
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1
Panel stochastic frontier model with endogenous inputs and correlated random components
Hung-pin, Lai
;
Kumbhakar, Subal
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 80-96
Persistent link: https://www.econbiz.de/10013540641
Saved in:
2
Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
Saved in:
3
Stochastic properties of nonlinear locally-nonstationary filters
Blasques, Francisco
;
Nientker, Marc
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2082-2095
Persistent link: https://www.econbiz.de/10014471445
Saved in:
4
Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model
Fan, Yanqin
;
Han, Fang
;
Park, Hyeonseok
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014471479
Saved in:
5
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
6
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
7
Hedging longevity risk under non-Gaussian state-space stochastic mortality models : a mean-variance-skewness-kurtosis approach
Li, Johnny Siu-Hang
;
Liu, Yanxin
;
Chan, Wai-Sum
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 96-121
Persistent link: https://www.econbiz.de/10014466206
Saved in:
8
Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
Wang, Ning
;
Zhang, Yumo
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 251-273
Persistent link: https://www.econbiz.de/10014466215
Saved in:
9
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
10
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
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