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subject:"Simulation"
~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"Journal of econometrics"
~person:"Cheng, Xu"
~person:"Francq, Christian"
~person:"Santos, Pedro M. Reis dos"
~subject:"Induktive Statistik"
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Simulation
Induktive Statistik
Estimation theory
17
Schätztheorie
17
ARCH model
10
ARCH-Modell
10
Regression analysis
5
Regressionsanalyse
5
Estimation
4
Schätzung
4
Stochastic process
4
Stochastischer Prozess
4
Time series analysis
4
Volatility
4
Volatilität
4
Zeitreihenanalyse
4
Börsenkurs
3
Maximum likelihood estimation
3
Maximum-Likelihood-Schätzung
3
Risikomaß
3
Risk measure
3
Share price
3
Statistical test
3
Statistischer Test
3
Bootstrap approach
2
Bootstrap-Verfahren
2
Dynamic portfolio
2
Filtered historical simulation
2
Forecasting model
2
Portfolio selection
2
Portfolio-Management
2
Prognoseverfahren
2
Quasi-maximum likelihood
2
Statistical inference
2
VAR model
2
VAR-Modell
2
Weak identification
2
Accuracy of VaR estimation
1
Adaptive penalty
1
Aktienindex
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Cheng, Xu
Francq, Christian
Santos, Pedro M. Reis dos
Fan, Yanqin
4
Inoue, Atsushi
4
Hall, Alastair R.
3
Khalaf, Lynda
3
Kilian, Lutz
3
Kitagawa, Toru
3
Kristensen, Dennis
3
Liu, Ruixuan
3
Shi, Xiaoxia
3
Andersen, Torben
2
Andrews, Donald W. K.
2
Chih, Mingchang
2
Dovonon, Prosper
2
Hajivassiliou, Vassilis Argyrou
2
Hansen, Christian Bailey
2
Hong, Han
2
Jansson, Michael
2
Lee, Lung-fei
2
Linton, Oliver
2
MacKinnon, James G.
2
McCloskey, Adam
2
Nason, James Michael
2
Nielsen, Morten Ørregaard
2
Olea, José Luis Montiel
2
Pesaran, M. Hashem
2
Sant'Anna, Pedro H. C.
2
Santos, M. Isabel Reis dos
2
Shin, Yongcheol
2
Song, Kyungchul
2
Song, Wheyming Tina
2
Todorov, Viktor
2
Urga, Giovanni
2
Varneskov, Rasmus Tangsgaard
2
Wan, Yuanyuan
2
Zakoïan, Jean-Michel
2
Alexopoulos, Christos
1
Anatolyev, Stanislav
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European journal of operational research : EJOR
Journal of econometrics
Cowles Foundation Discussion Paper
4
Cowles Foundation discussion paper
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Econometric theory
1
PIER Working Paper
1
Working papers / Penn Institute for Economic Research
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ECONIS (ZBW)
6
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1
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:
2
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:
3
Switching regression metamodels in stochastic simulation
Santos, M. Isabel Reis dos
;
Santos, Pedro M. Reis dos
- In:
European journal of operational research : EJOR
251
(
2016
)
1
,
pp. 142-147
Persistent link: https://www.econbiz.de/10011446236
Saved in:
4
Robust inference in nonlinear models with mixed identification strength
Cheng, Xu
- In:
Journal of econometrics
189
(
2015
)
1
,
pp. 207-228
Persistent link: https://www.econbiz.de/10011502516
Saved in:
5
Maximum likelihood estimation and uniform inference with sporadic indentification failure
Andrews, Donald W. K.
;
Cheng, Xu
- In:
Journal of econometrics
173
(
2013
)
1
,
pp. 36-56
Persistent link: https://www.econbiz.de/10009719636
Saved in:
6
Using subsystem linear regression metamodels in stochastic simulation
Santos, Pedro M. Reis dos
;
Santos, M. Isabel Reis dos
- In:
European journal of operational research : EJOR
196
(
2009
)
3
,
pp. 1031-1040
Persistent link: https://www.econbiz.de/10003825090
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