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subject:"Deutschland"
subject:"Forecasting model"
~isPartOf:"Quantitative finance"
~subject:"Risikomaß"
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Deutschland
Forecasting model
Risikomaß
Estimation theory
36
Schätztheorie
36
Volatility
15
Volatilität
15
Estimation
12
Schätzung
12
Time series analysis
10
Zeitreihenanalyse
10
Prognoseverfahren
9
Portfolio selection
8
Portfolio-Management
8
Börsenkurs
7
Option pricing theory
7
Optionspreistheorie
7
Share price
7
Stochastic process
7
Stochastischer Prozess
7
Market microstructure
5
Marktmikrostruktur
5
Risk measure
5
Capital income
4
Derivat
4
Derivative
4
Kapitaleinkommen
4
Modellierung
4
Scientific modelling
4
Statistical distribution
4
Statistische Verteilung
4
Analysis of variance
3
Autocorrelation
3
Autokorrelation
3
CAPM
3
Correlation
3
Estimation error
3
Korrelation
3
Monte Carlo simulation
3
Monte-Carlo-Simulation
3
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Article
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English
12
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Tsiotas, Georgios
2
Caccioli, Fabio
1
Canabarro, Askery
1
Chatterjee, Rupak
1
Chen, May-Ru
1
Chen, Wilson Ye
1
Chi, Xie
1
Galakis, John
1
Gerlach, Richard H.
1
Guo, Meihui
1
Hizmeri, Rodrigo
1
Huang, Shih-Feng
1
Izzeldin, Marwan
1
Jiang, Zhi-Qiang
1
Kaibuchi, Hibiki
1
Kawasaki, Yoshinori
1
Kim, Hyuksoo
1
Kim, Saejoon
1
Kondor, Imre
1
Nolte, Ingmar
1
Papp, Gábor
1
Pappas, Vasileios
1
Peters, Gareth
1
Podobnik, Boris
1
Ren, Yu
1
Sisson, Scott A.
1
Stanley, H. Eugene
1
Stupfler, G.
1
Tudor, Sebastian F.
1
Tydniouk, Igor
1
Vrontos, Ioannis D.
1
Vrontos, Spyridon D.
1
Wang, Gang-Jin
1
Xie, Tian
1
Zhou, Wei-Xing
1
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Quantitative finance
International journal of forecasting
115
Journal of econometrics
87
Journal of forecasting
71
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
65
Insurance / Mathematics & economics
35
Economics letters
30
Discussion paper / Tinbergen Institute
29
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
22
Journal of risk
22
Discussion paper
20
Working paper / Department of Econometrics and Business Statistics, Monash University
20
Europäische Hochschulschriften / 5
18
Journal of banking & finance
17
Finance research letters
15
Journal of the American Statistical Association : JASA
15
The econometrics journal
15
Computational economics
14
Econometric theory
14
Journal of empirical finance
14
Journal of financial econometrics : official journal of the Society for Financial Econometrics
14
Econometric reviews
13
European journal of operational research : EJOR
13
Journal of financial econometrics
13
Risks : open access journal
13
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
13
Working papers series in theoretical and applied economics
13
Applied economics
12
Discussion paper series / IZA
12
SFB 649 discussion paper
12
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
11
Economic modelling
11
Working paper
11
Working papers / Rutgers University, Department of Economics
11
Empirical economics : a quarterly journal of the Institute for Advanced Studies
10
Journal of risk and financial management : JRFM
10
NBER working paper series
10
Reihe Quantitative Ökonomie : Ökon
10
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
10
The North American journal of economics and finance : a journal of financial economics studies
10
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ECONIS (ZBW)
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1
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
2
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
3
Implied volatility directional forecasting : a machine learning approach
Vrontos, Spyridon D.
;
Galakis, John
;
Vrontos, Ioannis D.
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1687-1706
Persistent link: https://www.econbiz.de/10012653707
Saved in:
4
Forecasting exchange rates using asymmetric losses : a Bayesian approach
Tsiotas, Georgios
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 273-287
Persistent link: https://www.econbiz.de/10013167737
Saved in:
5
Dynamic quantile function models
Chen, Wilson Ye
;
Peters, Gareth
;
Gerlach, Richard H.
; …
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1665-1691
Persistent link: https://www.econbiz.de/10013367940
Saved in:
6
Reduction of estimation error impact in the risk parity strategiesv
Kim, Hyuksoo
;
Kim, Saejoon
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1351-1364
Persistent link: https://www.econbiz.de/10012608651
Saved in:
7
On a new parametrization class of solvable diffusion models and transition probability kernels
Tudor, Sebastian F.
;
Chatterjee, Rupak
;
Tydniouk, Igor
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1773-1790
Persistent link: https://www.econbiz.de/10012653711
Saved in:
8
Stock market trend prediction using a functional time series approach
Huang, Shih-Feng
;
Guo, Meihui
;
Chen, May-Ru
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 69-79
Persistent link: https://www.econbiz.de/10012194855
Saved in:
9
Portfolio optimization under Expected Shortfall : contour maps of estimation error
Caccioli, Fabio
;
Kondor, Imre
;
Papp, Gábor
- In:
Quantitative finance
18
(
2018
)
8
,
pp. 1295-1313
Persistent link: https://www.econbiz.de/10011911538
Saved in:
10
Short term prediction of extreme returns based on the recurrence interval analysis
Jiang, Zhi-Qiang
;
Wang, Gang-Jin
;
Canabarro, Askery
; …
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 353-370
Persistent link: https://www.econbiz.de/10011906380
Saved in:
11
A Bayesian encompassing test using combined value-at-risk estimates
Tsiotas, Georgios
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 395-417
Persistent link: https://www.econbiz.de/10011906387
Saved in:
12
Consumption, aggregate wealth and expected stock returns : a fractional cointegration approach
Ren, Yu
;
Xie, Tian
- In:
Quantitative finance
18
(
2018
)
12
,
pp. 2101-2112
Persistent link: https://www.econbiz.de/10012262986
Saved in:
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