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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Insurance / Mathematics & economics"
~isPartOf:"Journal of banking & finance"
~subject:"Correlation"
~subject:"Risiko"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Correlation
Risiko
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
Multivariate Verteilung
19
Multivariate distribution
19
Time series analysis
18
Zeitreihenanalyse
18
Measurement
17
Messung
17
Ausreißer
14
Outliers
14
Theorie
14
Theory
14
Volatilität
14
Risikomanagement
13
Risk management
13
Stochastic process
13
ARCH model
12
ARCH-Modell
12
Capital income
11
Kapitaleinkommen
11
Korrelation
11
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50
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Aufsatz in Zeitschrift
Article in journal
50
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English
50
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Zhang, Zhimin
4
Guillou, Armelle
3
Avanzi, Benjamin
2
Chavez-Demoulin, Valérie
2
Pitera, Marcin
2
Rösch, Daniel
2
Schmidt, Thorsten
2
Stupfler, Gilles
2
Taylor, Greg
2
Wang, Xing
2
Wong, Bernard
2
Xie, Jiayi
2
Yang, Fan
2
Adams, Zeno
1
Ahn, Jae Youn
1
Aigner, Maximilian
1
Alexander, Carol
1
Aslanidis, Nektarios
1
Brailsford, Timothy J.
1
Bregantini, Daniele
1
Casas, Isabel
1
Cenedese, Gino
1
Claußen, Arndt
1
Clements, Adam
1
Coqueret, Guillaume
1
Dotsis, George
1
Escobar, Marcos
1
Esmaeili, Habib
1
Faff, Robert W.
1
Feng, Guohua
1
Foster, Michael E.
1
Füss, Roland
1
Glück, Thorsten
1
Golosnoy, Vasyl
1
Gomes-Gonçalves, Erika
1
Gräler, Benedikt
1
Guo, Xu
1
Gzyl, Henryk
1
Hamid, Alain
1
Han, Chulwoo
1
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Insurance / Mathematics & economics
Journal of banking & finance
Journal of econometrics
185
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
81
Economics letters
60
Econometric reviews
39
Econometric theory
37
Journal of empirical finance
28
Economic modelling
27
International journal of forecasting
25
Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
Journal of the American Statistical Association : JASA
25
Finance research letters
24
The econometrics journal
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
22
Journal of financial econometrics
21
Quantitative finance
21
Econometrics : open access journal
20
Journal of forecasting
20
Applied economics letters
18
European journal of operational research : EJOR
18
International journal of theoretical and applied finance
17
Computational economics
16
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
15
Applied economics
14
Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty
14
Journal of risk and financial management : JRFM
14
Operations research
14
The North American journal of economics and finance : a journal of financial economics studies
14
Journal of applied econometrics
13
Journal of risk
13
Mathematics of operations research
13
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
12
Journal of mathematical finance
12
Quantitative economics : QE ; journal of the Econometric Society
12
Finance and stochastics
11
Risks : open access journal
11
Cambridge working papers in economics
9
Empirical economics : a quarterly journal of the Institute for Advanced Studies
9
Operations research letters
9
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ECONIS (ZBW)
50
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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
Estimating the time value of ruin in a Lévy risk model under low-frequency observation
Wang, Wenyuan
;
Xie, Jiayi
;
Zhang, Zhimin
- In:
Insurance / Mathematics & economics
104
(
2022
),
pp. 133-157
Persistent link: https://www.econbiz.de/10013264942
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
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:
8
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:
9
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
Saved in:
10
A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks
Kircher, Felix
;
Rösch, Daniel
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013256632
Saved in:
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