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language:"ita"
subject:"Estimation"
~isPartOf:"Journal of risk"
~language:"eng"
~type:"article"
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Estimation
Estimation theory
31
Schätztheorie
31
Risikomaß
21
Risk measure
21
Portfolio selection
13
Portfolio-Management
13
Schätzung
13
ARCH model
12
ARCH-Modell
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Risiko
7
Risk
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Time series analysis
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Zeitreihenanalyse
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Capital income
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Kapitaleinkommen
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Volatility
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Volatilität
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expected shortfall (ES)
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value-at-risk (VaR)
5
Bootstrap approach
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Forecasting model
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Risikomanagement
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Risk management
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Measurement
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generalized autoregressive conditional heteroscedasticity (GARCH)
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Aktienindex
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Börsenkurs
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Italian
English
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Auer, Benjamin R.
1
Berens, Tobias
1
Fischer, Matthias
1
Goldman, Elena
1
Guo, Zi-Yi
1
Jiang, Yindeng
1
Kabaila, Paul
1
Lamb, John D.
1
Luger, Richard
1
Lüdemann, Stefan
1
Mainzer, Rheanna
1
Martin, Doug
1
Monville, Maura E.
1
Muromachi, Yukio
1
Nagl, Maximilian
1
Olschewsky, Michael
1
Pfeuffer, Marius
1
Poddig, Thorsten
1
Qiao, Xiao
1
Rösch, Daniel
1
Schuhmacher, Frank
1
Shen, Xiangjin
1
Tee, Kaihong
1
Wang, Yongning
1
Weiß, Gregory N. F.
1
Wu, Xinyu
1
Xia, Michelle
1
Zhang, Huanming
1
Ziggel, Daniel
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Journal of risk
Journal of econometrics
215
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
129
Economics letters
110
Applied economics letters
55
Econometric reviews
54
Economic modelling
53
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
48
Applied economics
43
Journal of applied econometrics
38
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
33
Quantitative economics : QE ; journal of the Econometric Society
29
Journal of banking & finance
28
The econometrics journal
28
Econometric theory
27
Empirical economics : a quarterly journal of the Institute for Advanced Studies
26
Econometrics : open access journal
24
Journal of the American Statistical Association : JASA
24
Journal of empirical finance
22
The review of economics and statistics
22
International journal of forecasting
20
Computational economics
19
International journal of economics and financial issues : IJEFI
19
Journal of financial econometrics
19
Energy economics
18
European journal of operational research : EJOR
18
Finance research letters
18
Insurance / Mathematics & economics
18
Journal of forecasting
18
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
16
Journal of economic dynamics & control
15
Journal of financial econometrics : official journal of the Society for Financial Econometrics
15
Journal of risk and financial management : JRFM
13
The empirical economics letters : a monthly international journal of economics
13
The journal of real estate finance and economics
13
American journal of agricultural economics
12
Journal of international money and finance
12
Quantitative finance
12
The North American journal of economics and finance : a journal of financial economics studies
12
Journal of productivity analysis
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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
Saved in:
7
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:
8
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:
9
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:
10
Finite difference methods for estimating marginal risk contributions in asset management
Olschewsky, Michael
;
Lüdemann, Stefan
;
Poddig, Thorsten
- In:
Journal of risk
18
(
2016
)
5
,
pp. 63-99
Persistent link: https://www.econbiz.de/10011598391
Saved in:
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