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subject:"Nonparametric statistics"
language:"eng"
~subject:"Volatilität"
~isPartOf:"Computational economics"
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Nonparametric statistics
Volatilität
Estimation theory
107
Schätztheorie
107
Time series analysis
31
Zeitreihenanalyse
31
Monte Carlo simulation
21
Monte-Carlo-Simulation
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Vinod, Hrishikesh D.
2
Akira Toda, Alexis
1
Aloy, Marcel
1
Alvarez, Susana
1
Aydin, Dursun
1
Baixauli, J. Samuel
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Bartolucci, Francesco
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Beek, Misha van
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Boubaker, Heni
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Computational economics
Journal of econometrics
409
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
143
CEMMAP working papers / Centre for Microdata Methods and Practice
124
Econometric theory
114
Economics letters
103
Econometric reviews
96
Journal of the American Statistical Association : JASA
78
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Discussion paper / Tinbergen Institute
54
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
48
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47
Working paper / Department of Econometrics and Business Statistics, Monash University
44
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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SFB 649 discussion paper
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European journal of operational research : EJOR
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
28
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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International journal of forecasting
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Discussion paper / Center for Economic Research, Tilburg University
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Journal of banking & finance
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Cambridge working papers in economics
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Robust portfolio optimization based on semi-parametric ARMA-TGARCH-EVT model with mixed copula using WCVaR
Deng, Xue
;
Liang, Ying
- In:
Computational economics
61
(
2023
)
1
,
pp. 267-294
Persistent link: https://www.econbiz.de/10014228426
Saved in:
2
Generalized, partial and canonical correlation coefficients
Vinod, Hrishikesh D.
- In:
Computational economics
60
(
2022
)
4
,
pp. 1479-1506
Persistent link: https://www.econbiz.de/10013447451
Saved in:
3
Calibration of agent-based models by means of meta-modeling and nonparametric regression
Chen, Siyan
;
Desiderio, Saul
- In:
Computational economics
60
(
2022
)
4
,
pp. 1457-1478
Persistent link: https://www.econbiz.de/10013447465
Saved in:
4
Portfolio selection using multivariate semiparametric estimators and a copula PCA-based approach
Kouaissah, Noureddine
;
Ortobelli Lozza, Sergio
; …
- In:
Computational economics
60
(
2022
)
3
,
pp. 833-859
Persistent link: https://www.econbiz.de/10013380843
Saved in:
5
Data-based automatic discretization of nonparametric distributions
Akira Toda, Alexis
- In:
Computational economics
57
(
2021
)
4
,
pp. 1217-1235
Persistent link: https://www.econbiz.de/10012543278
Saved in:
6
Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis
Mozumder, Sharif
;
Choudhry, Taufiq
;
Dempsey, Michael
- In:
Computational economics
57
(
2021
)
4
,
pp. 1287-1305
Persistent link: https://www.econbiz.de/10012543312
Saved in:
7
Bayesian estimation for high-frequency volatility models in a time deformed framework
Santos, Antonio A. F.
- In:
Computational economics
57
(
2021
)
2
,
pp. 455-479
Persistent link: https://www.econbiz.de/10012486920
Saved in:
8
Censored nonparametric time-series analysis with autoregressive error models
Aydin, Dursun
;
Yilmaz, Ersin
- In:
Computational economics
58
(
2021
)
2
,
pp. 169-202
Persistent link: https://www.econbiz.de/10012614970
Saved in:
9
A non-parametric test and predictive model for signed path dependence
Dias, Fabio S.
;
Peters, Gareth
- In:
Computational economics
56
(
2020
)
2
,
pp. 461-498
Persistent link: https://www.econbiz.de/10012272043
Saved in:
10
Option implied risk-neutral density estimation : a robust and flexible method
Kundu, Arindam
;
Kumar, Sumit
;
Tomar, Nutan Kumar
- In:
Computational economics
54
(
2019
)
2
,
pp. 705-728
Persistent link: https://www.econbiz.de/10012134345
Saved in:
11
Finite Gaussian mixture approximations to analytically intractable density Kernels
Khorunzhina, Natalia
;
Richard, Jean-François
- In:
Computational economics
53
(
2019
)
3
,
pp. 991-1017
Persistent link: https://www.econbiz.de/10012135106
Saved in:
12
Unified approach for the affine and non-affine models : an empirical analysis on the S&P 500 volatility dynamics
Zhu, Shunwei
;
Wang, Bo
- In:
Computational economics
53
(
2019
)
4
,
pp. 1421-1442
Persistent link: https://www.econbiz.de/10012135302
Saved in:
13
Nonparametric regression using clusters
Vinod, Hrishikesh D.
;
Viole, Fred
- In:
Computational economics
52
(
2018
)
4
,
pp. 1317-1334
Persistent link: https://www.econbiz.de/10012053357
Saved in:
14
Adaptive quadrature for maximum likelihood estimation of a class of dynamic latent variable models
Cagnone, Silvia
;
Bartolucci, Francesco
- In:
Computational economics
49
(
2017
)
4
,
pp. 599-622
Persistent link: https://www.econbiz.de/10011762141
Saved in:
15
Optimal estimation strategies for bivariate fractional cointegration systems and the co-persistence analysis of stock market realized volatilities
Aloy, Marcel
;
Truchis, Gilles de
- In:
Computational economics
48
(
2016
)
1
,
pp. 83-104
Persistent link: https://www.econbiz.de/10011646595
Saved in:
16
A non-parametric test for partial monotonicity in multiple regression
Beek, Misha van
;
Daniels, Hennie A. M.
- In:
Computational economics
44
(
2014
)
1
,
pp. 87-100
Persistent link: https://www.econbiz.de/10010396230
Saved in:
17
Estimating the long-memory parameter in nonstationary processes using wavelets
Boubaker, Heni
;
Péguin-Feissolle, Anne
- In:
Computational economics
42
(
2013
)
3
,
pp. 291-306
Persistent link: https://www.econbiz.de/10010189026
Saved in:
18
Implied severity density estimation : an extended semiparametric method to compute credit value at risk
Baixauli, J. Samuel
;
Alvarez, Susana
- In:
Computational economics
40
(
2012
)
2
,
pp. 115-129
Persistent link: https://www.econbiz.de/10009627482
Saved in:
19
A computationally efficient, consistent bootstrap for inference with non-parametric DEA estimators
Kneip, Alois
;
Simar, Léopold
;
Wilson, Paul W.
- In:
Computational economics
38
(
2011
)
4
,
pp. 483-515
Persistent link: https://www.econbiz.de/10009356871
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