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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of risk"
~subject:"Estimation"
~subject:"Statistical distribution"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation
Statistical distribution
Estimation theory
31
Schätztheorie
31
Risikomaß
21
Risk measure
21
Portfolio selection
13
Portfolio-Management
13
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Abad, Pilar
1
Arunachalam, Viswanathan
1
Auer, Benjamin R.
1
Belhad, Ahmed
1
Benito Muela, Sonia
1
Berens, Tobias
1
Cipra, Tomáš
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Feng, Yuanhua
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Fischer, Matthias
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Goldman, Elena
1
Guo, Zi-Yi
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Hamidieh, Kam
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Hendrych, Radek
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Jiang, Yindeng
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Jiménez, José Alfredo
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Kabaila, Paul
1
Lamb, John D.
1
Lauria, Davide
1
Letmathe, Sebastian
1
Luger, Richard
1
López-Martín, Carmen
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Lüdemann, Stefan
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Mainzer, Rheanna
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Martin, Doug
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Sánchez Granero, Miguel Angel
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Tee, Kaihong
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Trindade, A. Alexandre
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1
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Journal of risk
Journal of econometrics
329
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
162
Economics letters
141
Econometric reviews
85
Economic modelling
61
Applied economics letters
60
Econometric theory
59
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
55
Insurance / Mathematics & economics
52
The econometrics journal
49
Applied economics
48
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
47
Journal of the American Statistical Association : JASA
42
International journal of forecasting
41
Journal of applied econometrics
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Journal of banking & finance
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Econometrics : open access journal
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Journal of empirical finance
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Quantitative economics : QE ; journal of the Econometric Society
33
European journal of operational research : EJOR
31
Computational economics
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Journal of forecasting
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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Journal of financial econometrics
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
27
Statistics in transition : an international journal of the Polish Statistical Association
27
Finance research letters
26
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of risk and financial management : JRFM
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International journal of economics and financial issues : IJEFI
23
Quantitative finance
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The review of economics and statistics
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Energy economics
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The North American journal of economics and finance : a journal of financial economics studies
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Journal of economic dynamics & control
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Risks : open access journal
16
International journal of theoretical and applied finance
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Journal of mathematical finance
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Oxford bulletin of economics and statistics
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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
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
Recursive estimation of the exponentially weighted moving average model
Hendrych, Radek
;
Cipra, Tomáš
- In:
Journal of risk
21
(
2018/2019
)
6
,
pp. 43-67
Persistent link: https://www.econbiz.de/10012117479
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