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person:"Huschens, Stefan"
subject:"Probability theory"
~person:"Francq, Christian"
~person:"Haan, Laurens de"
~subject:"Risk measure"
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Search: subject_exact:"Estimation theory"
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Probability theory
Risk measure
Estimation theory
81
Schätztheorie
81
Theorie
42
Theory
42
ARCH model
27
ARCH-Modell
27
Risikomaß
14
Time series analysis
12
Zeitreihenanalyse
12
Wahrscheinlichkeitsrechnung
11
Estimation
9
Maximum likelihood estimation
9
Maximum-Likelihood-Schätzung
9
Schätzung
9
Credit risk
7
Kreditrisiko
7
Volatility
7
Volatilität
7
Bank risk
6
Bankrisiko
6
Statistical distribution
6
Statistische Verteilung
6
Börsenkurs
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Portfolio selection
5
Portfolio-Management
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Share price
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Autocorrelation
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Autokorrelation
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Heteroscedasticity
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Heteroskedastizität
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Korrelation
4
Risiko
4
Risk
4
Sampling
4
Simulation
4
Stichprobenerhebung
4
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3
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Article
8
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English
23
German
2
Author
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Huschens, Stefan
Francq, Christian
Haan, Laurens de
Gouriéroux, Christian
10
Ardia, David
9
Einmahl, John H. J.
9
Stock, James H.
8
Zakoïan, Jean-Michel
8
Dijk, Herman K. van
6
Hsu, Yu-Chin
6
Peng, Liang
6
Vries, Casper G. de
6
West, Kenneth D.
6
White, Halbert
6
Wilcox, David W.
6
Arnold, Bernhard
5
Balakrishnan, Narayanaswamy
5
Cai, Zongwu
5
Daouia, Abdelaati
5
Hoga, Yannick
5
Hoogerheide, Lennart
5
Härdle, Wolfgang
5
Kratz, Marie
5
Krämer, Walter
5
Lucas, André
5
Lönnbark, Carl
5
Magnus, Jan R.
5
Paolella, Marc S.
5
Pei, Pei
5
Renault, Eric
5
Spanos, Aris
5
Stahlecker, Peter
5
Stupfler, Gilles
5
Wooldridge, Jeffrey M.
5
Yang, Fan
5
Akkerboom, Hans
4
Bai, Jun
4
Boucher, Vincent
4
Canay, Ivan A.
4
Chamberlain, Gary
4
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Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
1
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Discussion paper / Tinbergen Institute
5
Dresdner Beiträge zu quantitativen Verfahren
5
Report / Econometric Institute, Erasmus University Rotterdam
4
Report / Econometric Institute, Erasmus University Rotterdam / Econometric Institute, Erasmus University Rotterdam
4
Journal of econometrics
3
Discussion paper / Tinbergen Institute / Tinbergen Institute
2
Série des documents de travail / Centre de Recherche en Économie et Statistique
2
Annals of economics and statistics
1
Geld, Finanzwirtschaft, Banken und Versicherungen : 1996 ; Beiträge zum 7. Symposium Geld, Finanzwirtschaft, Banken und Versicherungen an der Universität Karlsruhe vom 11.- 13. Dezember 1996
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Operations research proceedings 2010 : selected papers of the annual International Conference of the German Operations Research Society (GOR) at Universität der Bundeswehr München, September 1 - 3, 2010
1
Risk management : challenge and opportunity ; with 125 tables
1
TRACE discussion papers / Tinbergen Institute
1
Working paper series
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ECONIS (ZBW)
25
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25
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1
Estimating dynamic systemic risk measures
Cantin, Loïc
;
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013206985
Saved in:
2
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
3
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
4
Looking for efficient QML estimation of conditional VaRs at multiple risk levels
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 9-28
Persistent link: https://www.econbiz.de/10011592728
Saved in:
5
Risk-parameter estimation in volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
Saved in:
6
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
7
Confidence intervals for asset correlations in the asymptotic single risk factor model
Höse, Steffi
;
Huschens, Stefan
- In:
Operations research proceedings 2010 : selected papers …
,
(pp. 111-116)
.
2011
Persistent link: https://www.econbiz.de/10009270870
Saved in:
8
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
4
,
pp. 619-656
Persistent link: https://www.econbiz.de/10009407372
Saved in:
9
Confidence intervals for asset correlations in the asymptotic single risk factor model
Höse, Steffi
-
2011
Persistent link: https://www.econbiz.de/10013441202
Saved in:
10
Confidence intervals for quantiles of a vasicek-distributed credit portfolio loss
Höse, Steffi
-
2010
Persistent link: https://www.econbiz.de/10013441191
Saved in:
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