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Search: subject_exact:"Estimation theory"
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Estimation theory
29
Schätztheorie
29
Risikomaß
13
Risk measure
13
ARCH model
11
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11
Estimation
10
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10
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generalized autoregressive conditional heteroscedasticity (GARCH)
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Martin, R. Douglas
3
Wang, Yongning
2
Ardia, David
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Arias-Sema, María A.
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Econometrics : open access journal
Journal of risk
Journal of econometrics
699
Economics letters
278
Econometric reviews
250
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
249
Econometric theory
152
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
103
The econometrics journal
101
European journal of operational research : EJOR
98
International journal of forecasting
88
Computational economics
77
Insurance / Mathematics & economics
72
Economic modelling
70
Applied economics letters
65
Finance research letters
62
Journal of time series econometrics
56
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49
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
48
Operations research
47
Journal of quantitative economics
46
Journal of financial econometrics
41
Journal of econometric methods
39
Empirical economics : a quarterly journal of the Institute for Advanced Studies
38
Journal of economic dynamics & control
37
Operations research letters
36
Journal of forecasting
33
Quantitative finance
32
Journal of empirical finance
28
Scandinavian actuarial journal
26
Energy economics
25
Journal of applied econometrics
25
Journal of banking & finance
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Mathematics of operations research
24
Regional science & urban economics
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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
22
International journal of production research
22
Organizational research methods : ORM
20
The North American journal of economics and finance : a journal of financial economics studies
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The review of economics and statistics
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ECONIS (ZBW)
29
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1
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10
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29
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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
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:
3
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:
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
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:
6
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:
7
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:
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
Standard errors of risk and performance estimators for serially dependent returns
Chen, Xin
;
Martin, R. Douglas
- In:
Journal of risk
23
(
2020/2021
)
2
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012500245
Saved in:
10
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:
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