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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Insurance / Mathematics & economics"
~isPartOf:"Journal of banking & finance"
~subject:"Correlation"
~subject:"Risk management"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Correlation
Risk management
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
Measurement
17
Messung
17
Ausreißer
14
Outliers
14
Theorie
14
Theory
14
Volatilität
14
Risikomanagement
13
Stochastic process
13
ARCH model
12
ARCH-Modell
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Aufsatz in Zeitschrift
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44
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English
44
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Zhang, Zhimin
3
Avanzi, Benjamin
2
Guillou, Armelle
2
Pitera, Marcin
2
Schmidt, Thorsten
2
Schuermann, Til
2
Stupfler, Gilles
2
Taylor, Greg
2
Wong, Bernard
2
Adams, Zeno
1
Alexander, Carol
1
Aslanidis, Nektarios
1
Brailsford, Timothy J.
1
Bregantini, Daniele
1
Casas, Isabel
1
Cenedese, Gino
1
Chavez-Demoulin, Valérie
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
Gräler, Benedikt
1
Hamid, Alain
1
Hansen, Anne Lundgaard
1
Hanson, Samuel G.
1
Hartman, Brian
1
Hashorva, Enkelejd
1
Hou, Yanxi
1
Hüttner, Amelie
1
Jafry, Yusuf
1
Jondeau, Eric
1
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Insurance / Mathematics & economics
Journal of banking & finance
Journal of econometrics
184
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
75
Economics letters
59
Econometric reviews
40
Econometric theory
36
Journal of empirical finance
29
Economic modelling
27
Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
Finance research letters
24
Journal of the American Statistical Association : JASA
24
Journal of financial econometrics
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
22
The econometrics journal
22
International journal of forecasting
21
Quantitative finance
21
Econometrics : open access journal
20
Journal of forecasting
20
Applied economics letters
17
European journal of operational research : EJOR
17
International journal of theoretical and applied finance
17
Computational economics
15
Journal of risk and financial management : JRFM
14
The North American journal of economics and finance : a journal of financial economics studies
14
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 mathematical finance
12
Risks : open access journal
12
Applied economics
11
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
Finance and stochastics
11
Journal of risk
11
Mathematics of operations research
11
Operations research
11
Empirical economics : a quarterly journal of the Institute for Advanced Studies
10
Journal of applied econometrics
10
Cambridge working papers in economics
9
The European journal of finance
9
The journal of risk model validation
9
American journal of agricultural economics
8
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ECONIS (ZBW)
44
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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
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:
4
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:
5
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:
6
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:
7
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:
8
Modeling persistent interest rates with double-autoregressive processes
Hansen, Anne Lundgaard
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013257376
Saved in:
9
A hierarchical model for the joint mortality analysis of pension scheme data with missing covariates
Ungolo, Francesco
;
Kleinow, Torsten
;
Macdonald, Angus
- In:
Insurance / Mathematics & economics
91
(
2020
),
pp. 68-84
Persistent link: https://www.econbiz.de/10012241988
Saved in:
10
Risk analysis with categorical explanatory variables
Kang, Seul Ki
;
Peng, Liang
;
Xiao, Hongmin
- In:
Insurance / Mathematics & economics
91
(
2020
),
pp. 238-243
Persistent link: https://www.econbiz.de/10012242018
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