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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Journal of risk"
~subject:"Correlation"
~subject:"Risikomaß"
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Search: subject_exact:"Estimation theory"
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Volatility
Correlation
Risikomaß
Estimation theory
104
Schätztheorie
104
Risk measure
30
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26
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Corsi, Fulvio
2
Francq, Christian
2
Horváth, Lajos
2
Martin, R. Douglas
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Yu, Keming
2
Zakoïan, Jean-Michel
2
Abad, Pilar
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of risk
Journal of econometrics
169
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
79
Economics letters
50
Discussion paper / Tinbergen Institute
39
Econometric reviews
31
Journal of empirical finance
28
Econometric theory
27
Insurance / Mathematics & economics
26
Journal of banking & finance
26
Finance research letters
25
Journal of financial econometrics
24
Quantitative finance
22
SFB 649 discussion paper
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
The econometrics journal
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Cambridge working papers in economics
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International journal of forecasting
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Journal of the American Statistical Association : JASA
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Computational economics
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International journal of theoretical and applied finance
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Applied economics letters
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Journal of risk and financial management : JRFM
13
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
13
The North American journal of economics and finance : a journal of financial economics studies
13
Applied economics
12
Risks : open access journal
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Working paper / National Bureau of Economic Research, Inc.
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Working papers
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European journal of operational research : EJOR
11
Journal of mathematical finance
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Série des documents de travail / Centre de Recherche en Économie et Statistique
11
The journal of risk model validation
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ECONIS (ZBW)
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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
Nonparametric estimation of systemic risk via conditional value-at-risk
Belhad, Ahmed
;
Lauria, Davide
;
Trindade, A. Alexandre
- In:
Journal of risk
25
(
2022
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10013549675
Saved in:
4
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:
5
Risk measures : a generalization from the univariate to the matrix-variate
Arias-Sema, María A.
;
Caro-Lopera, Francisco J.
; …
- In:
Journal of risk
23
(
2021
)
4
,
pp. 1-20
Persistent link: https://www.econbiz.de/10012593431
Saved in:
6
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:
7
Are there multiple independent risk anomalies in the cross section of stock returns?
Auer, Benjamin R.
;
Schuhmacher, Frank
- In:
Journal of risk
24
(
2021
)
2
,
pp. 43-87
Persistent link: https://www.econbiz.de/10013284832
Saved in:
8
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:
9
Bias-corrected estimators for the Vasicek model : an application in risk measure estimation
Guo, Zi-Yi
- In:
Journal of risk
23
(
2020/2021
)
2
,
pp. 71-104
Persistent link: https://www.econbiz.de/10012500264
Saved in:
10
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
Pfeuffer, Marius
;
Nagl, Maximilian
;
Fischer, Matthias
; …
- In:
Journal of risk
22
(
2019/2020
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012297503
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