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subject:"Prognoseverfahren"
~accessRights:"restricted"
~isPartOf:"Computational economics"
~subject:"Bayes-Statistik"
~subject:"Nichtparametrisches Verfahren"
~subject:"Option pricing theory"
~subject:"Optionspreistheorie"
~subject:"Simulation"
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Search: subject_exact:"Wahrscheinlichkeitsverteilung"
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Prognoseverfahren
Bayes-Statistik
Nichtparametrisches Verfahren
Option pricing theory
Optionspreistheorie
Simulation
Statistical distribution
36
Statistische Verteilung
36
Theorie
18
Theory
18
Stochastic process
11
Stochastischer Prozess
11
Volatility
11
Volatilität
11
Risikomaß
8
Risk measure
8
Monte Carlo simulation
7
Monte-Carlo-Simulation
7
Estimation theory
6
Schätztheorie
6
ARCH model
5
ARCH-Modell
5
Estimation
5
Forecasting model
5
Schätzung
5
Aktienmarkt
4
Bayesian inference
4
Capital income
4
Kapitaleinkommen
4
Portfolio selection
4
Portfolio-Management
4
Stock market
4
Börsenkurs
3
Correlation
3
Importance sampling
3
Multivariate Verteilung
3
Multivariate distribution
3
Share price
3
State space model
3
Stochastic volatility
3
Time series analysis
3
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Article
22
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22
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22
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English
22
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Fabozzi, Frank J.
2
Afuecheta, Emmanuel
1
Akira Toda, Alexis
1
Avdoulas, Christos
1
Bai, Yizhou
1
Barth, Andrea
1
Bekiros, Stelios
1
Bianchi, Michele Leonardo
1
Boreiko, D. V.
1
Boubaker, Heni
1
Carr, Peter
1
Chib, Siddhartha
1
Eleftheriadis, Iordanis
1
Fallahgoul, Hasan A.
1
Fuh, Cheng-Der
1
Itkin, Andrey
1
Kakamu, Kazuhiko
1
Kang, Shuaimin
1
Kaniovski, Yuri M.
1
Khorunzhina, Natalia
1
Kiani, Khurshid M.
1
Kumar, Sumit
1
Kundu, Arindam
1
Liang, Rubing
1
Liu, Guangying
1
Loukeris, Nikolaos
1
Mauler, David J.
1
McDonald, James B.
1
Moreno-Bromberg, Santiago
1
Müller, Fernanda Maria
1
Nadarajah, Saralees
1
Nayak, Gangadhar
1
Nzeribe, Geraldine E.
1
Okorie, Idika E.
1
Pflug, Georg
1
Qi, Howard
1
Qin, Binbin
1
Račev, Svetlozar T.
1
Reichmann, Oleg
1
Richard, Jean-François
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Computational economics
International journal of forecasting
53
Journal of econometrics
33
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
18
Quantitative finance
18
Insurance / Mathematics & economics
15
International journal of theoretical and applied finance
14
Journal of banking & finance
14
The North American journal of economics and finance : a journal of financial economics studies
13
Applied economics
12
Economics letters
12
Finance research letters
12
European journal of operational research : EJOR
11
Journal of mathematical finance
11
Journal of forecasting
10
Econometric reviews
9
Economic modelling
9
Energy economics
9
International review of economics & finance : IREF
9
Journal of applied econometrics
9
Journal of economic dynamics & control
8
Journal of financial econometrics
8
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
8
The European journal of finance
8
Applied economics letters
7
Applied mathematical finance
7
Journal of empirical finance
7
Journal of financial econometrics : official journal of the Society for Financial Econometrics
7
Research paper series / Swiss Finance Institute
7
Review of derivatives research
7
Econometric theory
6
Journal of risk
6
Management science : journal of the Institute for Operations Research and the Management Sciences
6
Astin bulletin : the journal of the International Actuarial Association
5
Discussion papers / CEPR
5
International journal of financial engineering
5
International review of financial analysis
5
Review of quantitative finance and accounting
5
Swiss Finance Institute Research Paper
5
The econometrics journal
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ECONIS (ZBW)
22
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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
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:
5
Bayesian Estimation of the Skew Ornstein-Uhlenbeck Process
Bai, Yizhou
;
Wang, Yongjin
;
Zhang, Haoyan
;
Zhuo, Xiaoyang
- In:
Computational economics
60
(
2022
)
2
,
pp. 479-527
Persistent link: https://www.econbiz.de/10013380789
Saved in:
6
An expanded Local Variance Gamma model
Carr, Peter
;
Itkin, Andrey
- In:
Computational economics
57
(
2021
)
4
,
pp. 949-987
Persistent link: https://www.econbiz.de/10012543243
Saved in:
7
Data-based automatic discretization of nonparametric distributions
Akira Toda, Alexis
- In:
Computational economics
57
(
2021
)
4
,
pp. 1217-1235
Persistent link: https://www.econbiz.de/10012543278
Saved in:
8
Computational modeling of non-Gaussian option price using non-extensive Tsallis’ entropy framework
Nayak, Gangadhar
;
Singh, Amit Kumar
;
Senapati, Dilip
- In:
Computational economics
57
(
2021
)
4
,
pp. 1353-1371
Persistent link: https://www.econbiz.de/10012543376
Saved in:
9
Wavelet estimation performance of fractional integrated processes with heavy-tails
Boubaker, Heni
- In:
Computational economics
55
(
2020
)
2
,
pp. 473-498
Persistent link: https://www.econbiz.de/10012223642
Saved in:
10
Option implied risk-neutral density estimation : a robust and flexible method
Kundu, Arindam
;
Kumar, Sumit
;
Tomar, Nutan Kumar
- In:
Computational economics
54
(
2019
)
2
,
pp. 705-728
Persistent link: https://www.econbiz.de/10012134345
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