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subject:"Prognoseverfahren"
~accessRights:"restricted"
~isPartOf:"Computational economics"
~isPartOf:"Journal of banking & finance"
~isPartOf:"The European journal of finance"
~subject:"Bayes-Statistik"
~subject:"Nichtparametrisches Verfahren"
~subject:"Theorie"
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Prognoseverfahren
Bayes-Statistik
Nichtparametrisches Verfahren
Theorie
Statistical distribution
79
Statistische Verteilung
79
Theory
45
Risikomaß
28
Risk measure
28
Volatility
23
Volatilität
23
Portfolio selection
21
Portfolio-Management
21
Forecasting model
19
Capital income
18
Kapitaleinkommen
18
Estimation
17
Schätzung
17
ARCH model
16
ARCH-Modell
16
Option pricing theory
15
Optionspreistheorie
15
Stochastic process
14
Stochastischer Prozess
14
Estimation theory
11
Schätztheorie
11
Risikomanagement
10
Risk management
10
Börsenkurs
9
Share price
9
Monte Carlo simulation
8
Monte-Carlo-Simulation
8
Risiko
8
Risk
8
Correlation
7
Expected shortfall
7
Simulation
7
Time series analysis
7
Zeitreihenanalyse
7
Aktienmarkt
6
Korrelation
6
Multivariate Analyse
6
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Conference paper
2
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English
51
Author
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Loperfido, Nicola
3
Catania, Leopoldo
2
Nadarajah, Saralees
2
Petrella, Lea
2
Adcock, Christopher
1
Afuecheta, Emmanuel
1
Akira Toda, Alexis
1
Anand, Abhinav
1
Aretz, Kevin
1
Arisoy, Yakup Eser
1
Avdoulas, Christos
1
Bai, Yizhou
1
Bataa, Erdenebat
1
Bekiros, Stelios
1
Bernard, Carole
1
Bernardi, Mauro
1
Biffi, Paola
1
Boreiko, D. V.
1
Burg, John van der
1
Chen, Yi-Hsuan
1
Chib, Siddhartha
1
Choi, Ahjin
1
De Luca, Giovanni
1
Dias, Alexandra
1
Eleftheriadis, Iordanis
1
Eling, Martin
1
Fabozzi, Frank J.
1
Fallahgoul, Hasan A.
1
Feng, Lingbing
1
Feunou, Bruno
1
Fu, Junhui
1
Fu, Tong
1
Gagnon, Marie-Hélène
1
Gillas, Konstantinos Gkillas
1
Golosnoy, Vasyl
1
Gordy, Michael B.
1
Gribisch, Bastian
1
Gupta, Rangan
1
Gómez, Fabio
1
Härdle, Wolfgang
1
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Computational economics
Journal of banking & finance
The European journal of finance
Insurance / Mathematics & economics
83
International journal of forecasting
56
Journal of econometrics
54
European journal of operational research : EJOR
34
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
30
Scandinavian actuarial journal
28
Economics letters
27
Applied economics
21
Quantitative finance
21
Economic modelling
19
Finance research letters
19
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
19
Operations research
18
Operations research letters
18
Working paper / National Bureau of Economic Research, Inc.
16
Discussion paper / Centre for Economic Policy Research
15
Econometric reviews
15
International review of financial analysis
15
Journal of empirical finance
15
Discussion papers / CEPR
14
Journal of applied econometrics
13
Journal of financial econometrics
13
Management science : journal of the Institute for Operations Research and the Management Sciences
13
The North American journal of economics and finance : a journal of financial economics studies
13
The journal of operational risk
13
Astin bulletin : the journal of the International Actuarial Association
12
International journal of quality & reliability management
12
Journal of forecasting
12
Journal of mathematical finance
12
ASTIN bulletin : the journal of the International Actuarial Association
11
International review of economics & finance : IREF
11
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
10
Econometric theory
10
Energy economics
10
International journal of theoretical and applied finance
10
Applied economics letters
9
Computers & operations research : and their applications to problems of world concern ; an international journal
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1
Comparison of Value at Risk (VaR) multivariate forecast models
Müller, Fernanda Maria
;
Righi, Marcelo Brutti
- In:
Computational economics
63
(
2024
)
1
,
pp. 75-110
Persistent link: https://www.econbiz.de/10014471980
Saved in:
2
Bayesian inference for mixed Gaussian GARCH-type model by Hamiltonian Monte Carlo algorithm
Liang, Rubing
;
Qin, Binbin
;
Xia, Qiang
- In:
Computational economics
63
(
2024
)
1
,
pp. 193-220
Persistent link: https://www.econbiz.de/10014472071
Saved in:
3
Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis
Afuecheta, Emmanuel
;
Okorie, Idika E.
;
Nadarajah, Saralees
- In:
Computational economics
63
(
2024
)
1
,
pp. 271-304
Persistent link: https://www.econbiz.de/10014472109
Saved in:
4
Importance sampling for calculating the Value-at-Risk and expected shortfall of the quadratic portfolio with t-distributed risk factors
Teng, Huei-Wen
- In:
Computational economics
62
(
2023
)
3
,
pp. 1125-1154
Persistent link: https://www.econbiz.de/10014382887
Saved in:
5
Modeling the time-varying dynamic term structure of interest rates
Choi, Ahjin
;
Kang, Kyu Ho
- In:
Journal of banking & finance
153
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014490339
Saved in:
6
The sum of all fears : forecasting international returns using option-implied risk measures
Gagnon, Marie-Hélène
;
Power, Gabriel J.
;
Toupin, Dominique
- In:
Journal of banking & finance
146
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014248207
Saved in:
7
The pricing of skewness over different return horizons
Aretz, Kevin
;
Arisoy, Yakup Eser
- In:
Journal of banking & finance
148
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014248256
Saved in:
8
DSGE-SVt : an econometric toolkit for high-dimensional DSGE models with SV and T errors
Chib, Siddhartha
;
Shin, Minchul
;
Tan, Fei
- In:
Computational economics
61
(
2023
)
1
,
pp. 69-111
Persistent link: https://www.econbiz.de/10014228405
Saved in:
9
Finite-state Markov chains with flexible distributions
Lkhagvasuren, Damba
;
Bataa, Erdenebat
- In:
Computational economics
61
(
2023
)
2
,
pp. 611-644
Persistent link: https://www.econbiz.de/10014228455
Saved in:
10
Modeling and forecasting realized portfolio weights
Golosnoy, Vasyl
;
Gribisch, Bastian
- In:
Journal of banking & finance
138
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013461907
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