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subject:"Simulation"
~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"Journal of econometrics"
~person:"Francq, Christian"
~person:"Hajivassiliou, Vassilis Argyrou"
~person:"Kristensen, Dennis"
~subject:"Induktive Statistik"
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Simulation
Induktive Statistik
Estimation theory
21
Schätztheorie
21
ARCH model
10
ARCH-Modell
10
Time series analysis
6
Zeitreihenanalyse
6
Estimation
4
Nichtparametrisches Verfahren
4
Nonparametric statistics
4
Schätzung
4
Statistical test
4
Statistischer Test
4
Volatility
4
Volatilität
4
Börsenkurs
3
Risikomaß
3
Risk measure
3
Share price
3
Stochastic process
3
Stochastischer Prozess
3
Dynamic portfolio
2
Filtered historical simulation
2
Financial market
2
Finanzmarkt
2
Maximum likelihood estimation
2
Maximum-Likelihood-Schätzung
2
Monte Carlo simulation
2
Monte-Carlo-Simulation
2
Portfolio selection
2
Portfolio-Management
2
Probability theory
2
Quasi-maximum likelihood
2
Theorie
2
Theory
2
VAR model
2
VAR-Modell
2
Wahrscheinlichkeitsrechnung
2
Accuracy of VaR estimation
1
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Francq, Christian
Hajivassiliou, Vassilis Argyrou
Kristensen, Dennis
Fan, Yanqin
4
Inoue, Atsushi
4
Hall, Alastair R.
3
Khalaf, Lynda
3
Kilian, Lutz
3
Kitagawa, Toru
3
Liu, Ruixuan
3
Shi, Xiaoxia
3
Andersen, Torben
2
Andrews, Donald W. K.
2
Cheng, Xu
2
Chih, Mingchang
2
Dovonon, Prosper
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
Santos, Pedro M. 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
1
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European journal of operational research : EJOR
Journal of econometrics
Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Suntory and Toyota International Centres for Economics and Related Disciplines
2
Arbeitspapier / Schwerpunktprogramm der Deutschen Forschungsgemeinschaft Marktstruktur und Gesamtwirtschaftliche Entwicklung
1
Barcelona GSE working paper series : working paper
1
CREATES Research Paper
1
CREATES Research Paper 2008-58
1
Cowles Foundation discussion paper
1
Econometric theory
1
Journal of applied econometrics
1
Journal of empirical finance
1
Projekt: Entwicklung und Schätzung eines mikroökonometrischen Firmenwachstumsmodells zur Analyse fiskalpolitischer Wachstumsanreize
1
The econometrics journal
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ECONIS (ZBW)
7
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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
Higher-order properties of approximate estimators
Kristensen, Dennis
;
Salanié, Bernard
- In:
Journal of econometrics
198
(
2017
)
2
,
pp. 189-208
Persistent link: https://www.econbiz.de/10011818777
Saved in:
4
Estimation of dynamic models with nonparametric simulated maximum likelihood
Kristensen, Dennis
;
Shin, Yongseok
- In:
Journal of econometrics
167
(
2012
)
1
,
pp. 76-94
Persistent link: https://www.econbiz.de/10009551440
Saved in:
5
Likelihood-based inference for cointegration with nonlinear error-correction
Kristensen, Dennis
;
Rahbek, Anders
- In:
Journal of econometrics
158
(
2010
)
1
,
pp. 78-94
Persistent link: https://www.econbiz.de/10008826874
Saved in:
6
Simulation of multivariate normal rectangle probabilities and their derivatives : theoretical and computational results
Hajivassiliou, Vassilis Argyrou
- In:
Journal of econometrics
72
(
1996
)
1
,
pp. 85-134
Persistent link: https://www.econbiz.de/10001198022
Saved in:
7
Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models
Börsch-Supan, Axel
- In:
Journal of econometrics
58
(
1993
)
3
,
pp. 347-368
Persistent link: https://www.econbiz.de/10001149096
Saved in:
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