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subject:"Volatility"
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Search: subject_exact:"Multivariate Statistik"
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Volatility
Risikomaß
Multivariate Analyse
1,557
Multivariate analysis
1,557
Theorie
599
Theory
599
Time series analysis
232
Zeitreihenanalyse
232
ARCH model
208
ARCH-Modell
208
Volatilität
197
Estimation
190
Schätzung
190
Estimation theory
158
Schätztheorie
158
Statistical distribution
154
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154
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151
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151
USA
128
United States
128
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98
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98
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98
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98
Multivariate distribution
94
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93
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92
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92
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82
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82
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74
Börsenkurs
64
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64
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60
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57
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244
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McAleer, Michael
6
Asai, Manabu
5
Herwartz, Helmut
5
Gouriéroux, Christian
4
Koopman, Siem Jan
4
Rombouts, Jeroen V. K.
4
Silvennoinen, Annastiina
4
Teräsvirta, Timo
4
Bianchi, Michele Leonardo
3
Engle, Robert F.
3
Furman, Edward
3
Janus, Paweł
3
Jasiak, Joann
3
Lucas, André
3
Mailhot, Mélina
3
Righi, Marcelo Brutti
3
Shephard, Neil G.
3
Sheppard, Kevin
3
Stentoft, Lars
3
Stoja, Evarist
3
Su, Jianxi
3
Tassinari, Gian Luca
3
Amendola, Alessandra
2
Anatolyev, Stanislav
2
Ballotta, Laura
2
Bauwens, Luc
2
Candila, Vincenzo
2
Caporin, Massimiliano
2
Chen, Langnan
2
Chen, Rongda
2
Clements, Adam
2
Croux, Christophe
2
Dhaene, Geert
2
Di Bernardino, Elena
2
Escobar, Marcos
2
Fengler, Matthias R.
2
Hafner, Christian M.
2
Halbleib, Roxana
2
Harris, Richard D. F.
2
Hofert, Marius
2
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Econometric reviews
17
Journal of econometrics
17
Insurance / Mathematics & economics
9
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
9
International journal of forecasting
8
Energy economics
7
Journal of banking & finance
7
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
Applied economics
5
Astin bulletin : the journal of the International Actuarial Association
5
Economic modelling
5
Journal of empirical finance
5
Risks : open access journal
5
Econometrics : open access journal
4
Finance research letters
4
Journal of applied econometrics
4
Journal of forecasting
4
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
4
Applied quantitative finance
3
Computational economics
3
International journal of theoretical and applied finance
3
International review of economics & finance : IREF
3
Journal of financial econometrics
3
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Research in international business and finance
3
The European journal of finance
3
The journal of futures markets
3
Applied financial economics
2
Central European journal of economic modelling and econometrics
2
Economics letters
2
Emerging markets, finance and trade : EMFT
2
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
2
Empirical economics : a quarterly journal of the Institute for Advanced Studies
2
European journal of operational research : EJOR
2
Handbook of financial time series
2
International Journal of Energy Economics and Policy : IJEEP
2
International journal of economics and financial issues : IJEFI
2
International review of financial analysis
2
Investment management and financial innovations
2
Journal of financial and quantitative analysis : JFQA
2
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ECONIS (ZBW)
258
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91
Evolution of multivariate copulas in continuous and discrete processes
Yoshizawa, Yasukazu
;
Ishimura, Naoyuki
- In:
Intelligent systems in accounting finance and …
25
(
2018
)
1
,
pp. 44-59
Persistent link: https://www.econbiz.de/10011890511
Saved in:
92
Estimating value-at-risk using a multivariate copula-based volatility model : evidence from European banks
Sampid, Marius Galabe
;
Hasim, Haslifah Mohamad
- In:
International economics : a journal published by CEPII …
156
(
2018
),
pp. 175-192
Persistent link: https://www.econbiz.de/10012027269
Saved in:
93
Multivariate models with long memory dependence in conditional correlation and volatility
Dark, Jonathan
- In:
Journal of empirical finance
48
(
2018
),
pp. 162-180
Persistent link: https://www.econbiz.de/10012109291
Saved in:
94
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:
95
Vector-valued multivariate conditional value-at-risk
Meraklı, Merve
;
Küçükyavuz, Simge
- In:
Operations research letters
46
(
2018
)
3
,
pp. 300-305
Persistent link: https://www.econbiz.de/10011873363
Saved in:
96
Numerical comparison of multivariate models to forecasting risk measures
Müller, Fernanda Maria
;
Righi, Marcelo Brutti
- In:
Risk management : a journal of risk, crisis and disaster
20
(
2018
)
1
,
pp. 29-50
Persistent link: https://www.econbiz.de/10011859009
Saved in:
97
Time-varying correlations and Sharpe ratios during quantitative easing
Jones, Paul
;
O'Steen, Haley
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
1
,
pp. 1-11
Persistent link: https://www.econbiz.de/10011886649
Saved in:
98
Distortion risk measures for nonnegative multivariate risks
Guillén, Montserrat
;
Sarabia Alzaga, José Maria
; …
- In:
The journal of operational risk
13
(
2018
)
2
,
pp. 35-57
Persistent link: https://www.econbiz.de/10011895037
Saved in:
99
A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
Haas, Markus
;
Liu, Ji-Chun
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011897499
Saved in:
100
Strongly consistent multivariate conditional risk measures
Hoffmann, Hannes
;
Meyer-Brandis, Thilo
;
Svindland, Gregor
- In:
Mathematics and financial economics
12
(
2018
)
3
,
pp. 413-444
Persistent link: https://www.econbiz.de/10011963870
Saved in:
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