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subject:"Estimation"
subject:"Volatilität"
~accessRights:"restricted"
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Estimation
Volatilität
Estimation theory
21
Schätztheorie
21
Risikomaß
13
Risk measure
13
ARCH model
10
ARCH-Modell
10
Schätzung
10
Portfolio selection
9
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6
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expected shortfall (ES)
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generalized autoregressive conditional heteroscedasticity (GARCH)
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Aktienindex
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Auer, Benjamin R.
1
Berens, Tobias
1
Cipra, Tomáš
1
Feng, Yuanhua
1
Fischer, Matthias
1
Goldman, Elena
1
Guo, Zi-Yi
1
Hendrych, Radek
1
Kabaila, Paul
1
Lamb, John D.
1
Letmathe, Sebastian
1
Luger, Richard
1
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1
Monville, Maura E.
1
Nagl, Maximilian
1
Pfeuffer, Marius
1
Qiao, Xiao
1
Rösch, Daniel
1
Schuhmacher, Frank
1
Shen, Xiangjin
1
Tee, Kaihong
1
Uhde, André
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
196
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
77
Economics letters
75
Econometric reviews
47
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
44
Economic modelling
34
Discussion papers / CEPR
30
International journal of forecasting
27
Applied economics letters
23
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
23
Computational economics
20
Finance research letters
19
Journal of financial econometrics
18
Discussion paper / Centre for Economic Policy Research
17
Empirical economics : a quarterly journal of the Institute for Advanced Studies
17
Journal of banking & finance
17
Quantitative finance
17
Applied economics
16
The North American journal of economics and finance : a journal of financial economics studies
16
The econometrics journal
16
Journal of empirical finance
15
Energy economics
14
European journal of operational research : EJOR
12
Journal of quantitative economics
12
Econometric theory
11
Insurance / Mathematics & economics
11
Journal of economic dynamics & control
11
IEA CO2 Emissions from Fuel Combustion Statistics: Greenhouse Gas Emissions from Energy
10
Journal of forecasting
10
Journal of applied econometrics
9
Theoretical economics letters
9
Journal of econometric methods
8
Decisions in economics and finance : DEF ; a journal of applied mathematics
7
International journal of financial engineering
7
Journal of international financial markets, institutions & money
7
Journal of mathematical finance
7
Working paper / National Bureau of Economic Research, Inc.
7
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
Journal of time series econometrics
6
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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
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
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:
5
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:
6
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:
7
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:
8
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:
9
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
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:
11
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:
12
Testing for GARCH effects with quasilikelihood ratios
Luger, Richard
- In:
Journal of risk
16
(
2013/2014
)
4
,
pp. 23-59
Persistent link: https://www.econbiz.de/10013262927
Saved in:
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