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type_genre:"Collection of articles of several authors"
~isPartOf:"Journal of risk"
~subject:"ARCH model"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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ARCH model
Estimation theory
31
Schätztheorie
31
Risikomaß
21
Risk measure
21
Estimation
13
Portfolio selection
13
Portfolio-Management
13
Schätzung
13
ARCH-Modell
12
Risiko
7
Risk
7
Statistical distribution
7
Statistische Verteilung
7
Time series analysis
6
Zeitreihenanalyse
6
Capital income
5
Kapitaleinkommen
5
Volatility
5
Volatilität
5
expected shortfall (ES)
5
value-at-risk (VaR)
5
Bootstrap approach
4
Bootstrap-Verfahren
4
Forecasting model
4
Prognoseverfahren
4
Risikomanagement
4
Risk management
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Measurement
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Messung
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generalized autoregressive conditional heteroscedasticity (GARCH)
3
Aktienindex
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Autocorrelation
2
Autokorrelation
2
Bias
2
Börsenkurs
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Correlation
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Credit risk
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Collection of articles of several authors
Article in journal
Aufsatz in Zeitschrift
12
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English
12
Author
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Abad, Pilar
1
Ardia, David
1
Benito Muela, Sonia
1
Berens, Tobias
1
Butler, Andrew
1
Feng, Yuanhua
1
Gatarek, Lukasz
1
Goldman, Elena
1
Hoogerheide, Lennart
1
Kabaila, Paul
1
Kwon, Roy H.
1
Lamb, John D.
1
Letmathe, Sebastian
1
Luger, Richard
1
López-Martín, Carmen
1
Mainzer, Rheanna
1
Monville, Maura E.
1
Muromachi, Yukio
1
Qiao, Xiao
1
Shen, Xiangjin
1
Sánchez Granero, Miguel Angel
1
Tee, Kaihong
1
Uhde, André
1
Wang, Yongning
1
Weiß, Gregory N. F.
1
Wu, Xinyu
1
Xia, Michelle
1
Zhang, Huanming
1
Ziggel, Daniel
1
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Journal of risk
Journal of econometrics
50
Econometric theory
35
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
25
Economics letters
20
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Econometric reviews
15
The econometrics journal
14
International journal of forecasting
13
Journal of empirical finance
13
Finance research letters
12
International journal of economics and financial issues : IJEFI
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Journal of forecasting
11
Applied economics
10
Journal of time series econometrics
10
Economic modelling
9
Journal of banking & finance
9
Journal of risk and financial management : JRFM
9
The North American journal of economics and finance : a journal of financial economics studies
9
Journal of financial econometrics
8
Applied economics letters
7
Econometrics : open access journal
7
Journal of mathematical finance
7
The journal of risk model validation
7
Computational economics
6
International Journal of Energy Economics and Policy : IJEEP
6
Annals of financial economics
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
5
The European journal of finance
5
CBN journal of applied statistics
4
International journal of economics and finance
4
Journal of economic dynamics & control
4
Theoretical economics letters
4
Central European journal of economic modelling and econometrics
3
Financial innovation : FIN
3
Insurance / Mathematics & economics
3
International journal of financial research
3
International journal of monetary economics and finance
3
International review of economics & finance : IREF
3
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ECONIS (ZBW)
12
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1
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Saved in:
2
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model
Wu, Xinyu
;
Xia, Michelle
;
Zhang, Huanming
- In:
Journal of risk
24
(
2022
)
6
,
pp. 61-92
Persistent link: https://www.econbiz.de/10013549674
Saved in:
3
Correlated idiosyncratic volatility shocks
Qiao, Xiao
;
Wang, Yongning
- In:
Journal of risk
23
(
2021
)
5
,
pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
Saved in:
4
Covariance estimation for risk-based portfolio optimization : an integrated approach
Butler, Andrew
;
Kwon, Roy H.
- In:
Journal of risk
24
(
2021
)
2
,
pp. 11-41
Persistent link: https://www.econbiz.de/10013284828
Saved in:
5
Procyclicality mitigation for initial margin models with asymmetric volatility
Goldman, Elena
;
Shen, Xiangjin
- In:
Journal of risk
22
(
2019/2020
)
5
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012421684
Saved in:
6
Making Cornish-Fisher fit for risk measurement
Lamb, John D.
;
Monville, Maura E.
;
Tee, Kaihong
- In:
Journal of risk
21
(
2018/2019
)
5
,
pp. 53-81
Persistent link: https://www.econbiz.de/10012059934
Saved in:
7
Estimation window strategies for value-at-risk and expected shortfall forecasting
Berens, Tobias
;
Weiß, Gregory N. F.
;
Ziggel, Daniel
- In:
Journal of risk
20
(
2017/2018
)
5
,
pp. 33-82
Persistent link: https://www.econbiz.de/10011914663
Saved in:
8
Estimation risk for value-at-risk and expected shortfall
Kabaila, Paul
;
Mainzer, Rheanna
- In:
Journal of risk
20
(
2017/2018
)
3
,
pp. 29-47
Persistent link: https://www.econbiz.de/10011847463
Saved in:
9
A new bootstrap test for multiple assets joint risk testing
Ardia, David
;
Gatarek, Lukasz
;
Hoogerheide, Lennart
- In:
Journal of risk
19
(
2016/2017
)
4
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011710231
Saved in:
10
Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis
Abad, Pilar
;
Benito Muela, Sonia
;
López-Martín, Carmen
; …
- In:
Journal of risk
18
(
2016
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011598265
Saved in:
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