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subject:"Deutschland"
subject:"Schätzung"
~isPartOf:"Journal of risk"
~subject:"ARCH model"
~type_genre:"Aufsatz in Zeitschrift"
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Deutschland
Schätzung
ARCH model
Estimation theory
31
Schätztheorie
31
Risikomaß
21
Risk measure
21
Estimation
13
Portfolio selection
13
Portfolio-Management
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
4
Measurement
3
Messung
3
generalized autoregressive conditional heteroscedasticity (GARCH)
3
Aktienindex
2
Autocorrelation
2
Autokorrelation
2
Bias
2
Börsenkurs
2
Correlation
2
Credit risk
2
Experiment
2
Korrelation
2
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Undetermined
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Article
17
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Aufsatz in Zeitschrift
Article in journal
17
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English
17
Author
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Abad, Pilar
1
Ardia, David
1
Auer, Benjamin R.
1
Benito Muela, Sonia
1
Berens, Tobias
1
Butler, Andrew
1
Feng, Yuanhua
1
Fischer, Matthias
1
Gatarek, Lukasz
1
Goldman, Elena
1
Guo, Zi-Yi
1
Hoogerheide, Lennart
1
Jiang, Yindeng
1
Kabaila, Paul
1
Kwon, Roy H.
1
Lamb, John D.
1
Letmathe, Sebastian
1
Luger, Richard
1
López-Martín, Carmen
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
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
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Journal of risk
Journal of econometrics
251
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
148
Economics letters
123
Econometric reviews
65
Econometric theory
61
Applied economics letters
59
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
57
Economic modelling
56
Applied economics
50
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
44
Journal of applied econometrics
41
The econometrics journal
40
Journal of banking & finance
33
International journal of forecasting
31
Journal of empirical finance
31
Quantitative economics : QE ; journal of the Econometric Society
29
Econometrics : open access journal
28
Journal of forecasting
28
Empirical economics : a quarterly journal of the Institute for Advanced Studies
27
Journal of the American Statistical Association : JASA
27
International journal of economics and financial issues : IJEFI
25
Computational economics
23
Finance research letters
23
Journal of financial econometrics
23
The review of economics and statistics
23
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
21
Energy economics
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
20
Journal of risk and financial management : JRFM
19
European journal of operational research : EJOR
18
Insurance / Mathematics & economics
17
Journal of economic dynamics & control
16
The North American journal of economics and finance : a journal of financial economics studies
16
Journal of international money and finance
14
The empirical economics letters : a monthly international journal of economics
14
The European journal of finance
13
The journal of real estate finance and economics
13
American journal of agricultural economics
12
Journal of productivity analysis
12
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ECONIS (ZBW)
17
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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
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:
6
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:
7
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:
8
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:
9
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:
10
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:
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