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subject:"Statistische Methodenlehre"
subject:"Statistical theory"
~subject:"ARCH-Modell"
~isPartOf:"Journal of risk"
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Search: subject_exact:"Estimation theory"
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Statistische Methodenlehre
Statistical theory
ARCH-Modell
Estimation theory
31
Schätztheorie
31
Risikomaß
21
Risk measure
21
Estimation
13
Portfolio selection
13
Portfolio-Management
13
Schätzung
13
ARCH model
12
Risiko
7
Risk
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Statistical distribution
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Statistische Verteilung
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Time series analysis
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Zeitreihenanalyse
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Capital income
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Kapitaleinkommen
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Volatilität
5
expected shortfall (ES)
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value-at-risk (VaR)
5
Bootstrap approach
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Bootstrap-Verfahren
4
Forecasting model
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Prognoseverfahren
4
Risikomanagement
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Messung
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generalized autoregressive conditional heteroscedasticity (GARCH)
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Aktienindex
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Autokorrelation
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Börsenkurs
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Abad, Pilar
1
Ardia, David
1
Benito Muela, Sonia
1
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1
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1
Feng, Yuanhua
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Muromachi, Yukio
1
Qiao, Xiao
1
Shen, Xiangjin
1
Sánchez Granero, Miguel Angel
1
Tee, Kaihong
1
Uhde, André
1
Wang, Yongning
1
Weiß, Gregory N. F.
1
Wu, Xinyu
1
Xia, Michelle
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Journal of risk
Journal of econometrics
82
Econometric theory
57
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
54
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
50
Economics letters
44
Econometric reviews
41
Discussion paper / Tinbergen Institute
27
Série des documents de travail / Centre de Recherche en Économie et Statistique
19
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
The econometrics journal
17
CORE discussion paper : DP
14
Finance research letters
13
International journal of forecasting
13
Journal of empirical finance
13
CREATES research paper
12
Europäische Hochschulschriften / 5
12
Journal of financial econometrics : official journal of the Society for Financial Econometrics
12
Journal of forecasting
12
NBER Working Paper
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Working paper series
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Applied economics
11
Econometrics : open access journal
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International economic review
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International journal of economics and financial issues : IJEFI
11
Technical working paper / National Bureau of Economic Research
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Working paper / Department of Econometrics and Business Statistics, Monash University
11
Journal of quantitative economics : official journal of the Indian Econometric Society
10
Journal of time series econometrics
10
Oxford bulletin of economics and statistics
10
Working papers in economics and econometrics
10
American journal of agricultural economics
9
CORE discussion papers : DP
9
Computational economics
9
Discussion paper / Center for Economic Research, Tilburg University
9
Economic modelling
9
Journal of banking & finance
9
Journal of risk and financial management : JRFM
9
The North American journal of economics and finance : a journal of financial economics studies
9
Annales d'économie et de statistique
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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
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:
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
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:
7
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:
8
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:
9
A new bootstrap test for multiple assets joint risk testing
Ardia, David
;
Gatarek, Lukasz
;
Hoogerheide, Lennart
- In:
Journal of risk
19
(
2016/2017
)
4
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011710231
Saved in:
10
Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis
Abad, Pilar
;
Benito Muela, Sonia
;
López-Martín, Carmen
; …
- In:
Journal of risk
18
(
2016
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011598265
Saved in:
11
Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision
Muromachi, Yukio
- In:
Journal of risk
17
(
2014/2015
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011438902
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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