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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Insurance / Mathematics & economics"
~isPartOf:"Journal of banking & finance"
~subject:"Correlation"
~subject:"Measurement"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Correlation
Measurement
Estimation theory
191
Schätztheorie
191
Statistical distribution
50
Statistische Verteilung
50
Estimation
46
Schätzung
42
Risikomaß
32
Risk measure
32
Portfolio selection
27
Portfolio-Management
27
Regression analysis
25
Regressionsanalyse
25
Risk
22
Forecasting model
21
Nichtparametrisches Verfahren
21
Nonparametric statistics
21
Prognoseverfahren
21
Risiko
21
Multivariate Verteilung
19
Multivariate distribution
19
Time series analysis
18
Zeitreihenanalyse
18
Messung
17
Ausreißer
14
Outliers
14
Theorie
14
Theory
14
Volatilität
14
Risikomanagement
13
Risk management
13
Stochastic process
13
ARCH model
12
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Aufsatz in Zeitschrift
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49
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49
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Guillou, Armelle
3
Zhang, Zhimin
3
Avanzi, Benjamin
2
Chavez-Demoulin, Valérie
2
Pitera, Marcin
2
Schmidt, Thorsten
2
Stupfler, Gilles
2
Taylor, Greg
2
Wang, Xing
2
Wong, Bernard
2
Yang, Fan
2
Abdelli, Jihane
1
Adams, Zeno
1
Ahn, Jae Youn
1
Aigner, Maximilian
1
Alexander, Carol
1
Aslanidis, Nektarios
1
Brahimi, Brahim
1
Brailsford, Timothy J.
1
Bregantini, Daniele
1
Casas, Isabel
1
Cenedese, Gino
1
Clements, Adam
1
Dotsis, George
1
Ergün, Tolga A.
1
Escobar, Marcos
1
Esmaeili, Habib
1
Faff, Robert W.
1
Fang, Runhuan
1
Feng, Guohua
1
Foster, Michael E.
1
Füss, Roland
1
Girardi, Giulio
1
Glück, Thorsten
1
Golosnoy, Vasyl
1
Gräler, Benedikt
1
Hamid, Alain
1
Hansen, Anne Lundgaard
1
Hartman, Brian
1
Hou, Yanxi
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Insurance / Mathematics & economics
Journal of banking & finance
Journal of econometrics
186
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
86
Economics letters
61
Econometric theory
39
Econometric reviews
38
Economic modelling
27
Journal of empirical finance
27
Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
Journal of the American Statistical Association : JASA
24
Finance research letters
23
The econometrics journal
22
Journal of financial econometrics
21
Quantitative finance
21
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
Applied economics letters
20
Econometrics : open access journal
20
European journal of operational research : EJOR
20
International journal of forecasting
20
Journal of forecasting
20
International journal of theoretical and applied finance
17
Computational economics
15
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
14
Journal of risk and financial management : JRFM
14
Mathematics of operations research
13
The North American journal of economics and finance : a journal of financial economics studies
13
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
12
Journal of applied econometrics
12
Journal of mathematical finance
12
Applied economics
11
Empirical economics : a quarterly journal of the Institute for Advanced Studies
11
Finance and stochastics
11
Operations research
11
Journal of risk
10
Risks : open access journal
10
Cambridge working papers in economics
9
The European journal of finance
9
Asia-Pacific financial markets
8
International journal of economics and financial issues : IJEFI
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ECONIS (ZBW)
49
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1
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
Mao, Tiantian
;
Stupfler, Gilles
;
Yang, Fan
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 173-192
Persistent link: https://www.econbiz.de/10014317144
Saved in:
2
Weighted least squares realized covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
Saved in:
3
Measuring and comparing risks of different types
Aigner, Maximilian
;
Chavez-Demoulin, Valérie
;
Guillou, …
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013271951
Saved in:
4
Estimating and backtesting risk under heavy tails
Pitera, Marcin
;
Schmidt, Thorsten
- In:
Insurance / Mathematics & economics
104
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013264930
Saved in:
5
Sample recycling method : a new approach to efficient nested Monte Carlo simulations
Fang, Runhuan
;
Li, Peng
- In:
Insurance / Mathematics & economics
105
(
2022
),
pp. 336-359
Persistent link: https://www.econbiz.de/10013349067
Saved in:
6
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
Saved in:
7
Sensitivity analysis and tail variability for the Wang's actuarial index
Psarrakos, Georgios
;
Vliora, Polyxeni
- In:
Insurance / Mathematics & economics
98
(
2021
),
pp. 147-152
Persistent link: https://www.econbiz.de/10012545279
Saved in:
8
On the modelling of multivariate counts with Cox processes and dependent shot noise intensities
Avanzi, Benjamin
;
Taylor, Greg
;
Wong, Bernard
;
Yang, Xinda
- In:
Insurance / Mathematics & economics
99
(
2021
),
pp. 9-24
Persistent link: https://www.econbiz.de/10012649204
Saved in:
9
A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of banking & finance
125
(
2021
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012819586
Saved in:
10
A practical guide to harnessing the HAR volatility model
Clements, Adam
;
Preve, Daniel P. A.
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013256626
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