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subject:"Prognoseverfahren"
~accessRights:"restricted"
~isPartOf:"Computational economics"
~isPartOf:"Journal of banking & finance"
~subject:"Bayes-Statistik"
~subject:"Nichtparametrisches Verfahren"
~subject:"Portfolio-Management"
~subject:"Theorie"
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Prognoseverfahren
Bayes-Statistik
Nichtparametrisches Verfahren
Portfolio-Management
Theorie
Statistical distribution
61
Statistische Verteilung
61
Theory
33
Risikomaß
22
Risk measure
22
Volatility
19
Volatilität
19
Portfolio selection
18
Option pricing theory
15
Optionspreistheorie
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Forecasting model
13
Stochastic process
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Stochastischer Prozess
13
Capital income
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Kapitaleinkommen
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Estimation
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Schätzung
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ARCH model
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ARCH-Modell
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Estimation theory
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Schätztheorie
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Monte Carlo simulation
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Monte-Carlo-Simulation
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Risikomanagement
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Risk management
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Expected shortfall
7
Risiko
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Risk
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Correlation
6
Aktienmarkt
5
Bayesian inference
5
Börsenkurs
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Korrelation
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Share price
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Simulation
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English
40
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Nadarajah, Saralees
2
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
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1
Boreiko, D. V.
1
Chib, Siddhartha
1
Choi, Ahjin
1
Dias, Alexandra
1
Eleftheriadis, Iordanis
1
Fabozzi, Frank J.
1
Fallahgoul, Hasan A.
1
Feng, Lingbing
1
Fu, Junhui
1
Fu, Tong
1
Gagnon, Marie-Hélène
1
Golosnoy, Vasyl
1
Gordy, Michael B.
1
Gribisch, Bastian
1
Gómez, Fabio
1
Härdle, Wolfgang
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Kaeck, Andreas
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Kang, Shuaimin
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Kaniovski, Yuri M.
1
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Krüger, Fabian
1
Kumar, Sumit
1
Kundu, Arindam
1
Kurosaki, Tetsuo
1
Lee, Kyungsub
1
Leiss, Matthias
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Computational economics
Journal of banking & finance
Insurance / Mathematics & economics
86
International journal of forecasting
58
Journal of econometrics
58
European journal of operational research : EJOR
35
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
31
Scandinavian actuarial journal
30
Economics letters
27
Finance research letters
27
Quantitative finance
24
Applied economics
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
Economic modelling
19
Journal of financial econometrics
18
Operations research
18
Operations research letters
18
Discussion paper / Centre for Economic Policy Research
17
Econometric reviews
17
Journal of empirical finance
16
Working paper / National Bureau of Economic Research, Inc.
16
Discussion papers / CEPR
15
International review of financial analysis
15
Management science : journal of the Institute for Operations Research and the Management Sciences
15
The North American journal of economics and finance : a journal of financial economics studies
15
Journal of applied econometrics
14
The European journal of finance
14
The journal of operational risk
14
Astin bulletin : the journal of the International Actuarial Association
13
Journal of mathematical finance
13
Energy economics
12
International journal of quality & reliability management
12
Journal of forecasting
12
ASTIN bulletin : the journal of the International Actuarial Association
11
International review of economics & finance : IREF
11
Journal of risk
11
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
10
Econometric theory
10
International journal of theoretical and applied finance
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Applied economics letters
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ECONIS (ZBW)
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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
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:
5
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:
6
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:
7
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:
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
Sensitivity-implied tail-correlation matrices
Paulusch, Joachim
;
Schlütter, Sebastian
- In:
Journal of banking & finance
134
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013400104
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