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subject:"Monte-Carlo-Simulation"
subject:"Panel study"
~accessRights:"restricted"
~isPartOf:"Journal of risk"
~subject:"ARCH-Modell"
~subject:"Schätzung"
~subject:"United States"
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Search: subject_exact:"Estimation theory"
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Monte-Carlo-Simulation
Panel study
ARCH-Modell
Schätzung
United States
Estimation theory
21
Schätztheorie
21
Risikomaß
13
Risk measure
13
ARCH model
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
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2
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Market risk
2
Original research
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English
13
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Ardia, David
1
Auer, Benjamin R.
1
Berens, Tobias
1
Butler, Andrew
1
Feng, Yuanhua
1
Fischer, Matthias
1
Gatarek, Lukasz
1
Goldman, Elena
1
Guo, Zi-Yi
1
Hoogerheide, Lennart
1
Kabaila, Paul
1
Kwon, Roy H.
1
Lamb, John D.
1
Letmathe, Sebastian
1
Luger, Richard
1
Mainzer, Rheanna
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
Uhde, André
1
Wang, Yongning
1
Weiß, Gregory N. F.
1
Wu, Xinyu
1
Xia, Michelle
1
Zhang, Huanming
1
Ziggel, Daniel
1
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Journal of risk
Journal of econometrics
238
Economics letters
112
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
97
Econometric reviews
94
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
52
Economic modelling
43
Computational economics
36
Applied economics letters
33
Discussion papers / CEPR
33
International journal of forecasting
31
The econometrics journal
30
Applied economics
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
25
Finance research letters
23
Econometric theory
21
Journal of financial econometrics
21
Discussion paper / Centre for Economic Policy Research
17
Journal of economic dynamics & control
16
European journal of operational research : EJOR
15
Journal of banking & finance
15
Journal of empirical finance
15
Journal of quantitative economics
15
The North American journal of economics and finance : a journal of financial economics studies
15
Energy economics
14
Journal of time series econometrics
14
Journal of applied econometrics
13
Quantitative finance
13
Working paper / National Bureau of Economic Research, Inc.
13
Insurance / Mathematics & economics
12
Journal of econometric methods
12
Regional science & urban economics
12
Journal of forecasting
11
Theoretical economics letters
11
IEA CO2 Emissions from Fuel Combustion Statistics: Greenhouse Gas Emissions from Energy
10
Journal of mathematical finance
10
International journal of economics and finance
8
The European journal of finance
8
Journal of international financial markets, institutions & money
7
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ECONIS (ZBW)
13
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1
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:
2
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:
3
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:
4
Covariance estimation for risk-based portfolio optimization : an integrated approach
Butler, Andrew
;
Kwon, Roy H.
- In:
Journal of risk
24
(
2021
)
2
,
pp. 11-41
Persistent link: https://www.econbiz.de/10013284828
Saved in:
5
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:
6
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:
7
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:
8
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:
9
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:
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
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