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Year of publication
Subject
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Multivariate Analyse 3,661 Multivariate analysis 3,508 Theorie 1,604 Theory 1,603 Zeitreihenanalyse 600 Time series analysis 595 Schätztheorie 495 Estimation theory 494 Estimation 470 Schätzung 465 ARCH-Modell 431 ARCH model 430 Volatility 418 Volatilität 418 Forecasting model 313 Prognoseverfahren 313 Statistical distribution 289 Statistische Verteilung 289 Korrelation 225 Portfolio selection 225 Portfolio-Management 225 multivariate analysis 225 Correlation 223 USA 213 United States 212 Stochastic process 199 Stochastischer Prozess 199 Multivariate distribution 195 Multivariate Verteilung 193 Statistical theory 189 Statistische Methodenlehre 189 Deutschland 181 Germany 174 Risikomaß 163 Risk measure 163 Capital income 157 Kapitaleinkommen 157 Regressionsanalyse 143 Risiko 128 Risk 128
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Online availability
All
Free 1,437 Undetermined 767 CC license 50
Type of publication
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Book / Working Paper 2,127 Article 1,921 Other 8 Journal 1
Type of publication (narrower categories)
All
Article in journal 1,540 Aufsatz in Zeitschrift 1,540 Graue Literatur 769 Non-commercial literature 769 Working Paper 758 Arbeitspapier 738 Aufsatz im Buch 164 Book section 164 Hochschulschrift 164 Thesis 139 Lehrbuch 70 Textbook 56 research-article 54 Collection of articles of several authors 48 Sammelwerk 48 Konferenzschrift 36 Dissertation u.a. Prüfungsschriften 29 Conference proceedings 20 Bibliografie enthalten 18 Bibliography included 18 Collection of articles written by one author 17 Sammlung 17 Article 15 Aufsatzsammlung 14 Conference paper 12 Konferenzbeitrag 12 Einführung 11 Forschungsbericht 8 Mikroform 5 Bibliografie 4 Case study 4 Fallstudie 4 Festschrift 4 Reprint 4 Amtsdruckschrift 3 Bibliographie 3 Government document 3 Handbook 3 Handbuch 3 case-report 3
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Language
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English 3,463 German 319 Undetermined 220 Polish 20 Spanish 15 French 11 Portuguese 6 Italian 5 Czech 2 Romanian 2 Slovak 2 Hungarian 1 Lithuanian 1 Russian 1
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Author
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McAleer, Michael 33 Backhaus, Klaus 31 Greenacre, Michael J. 31 Härdle, Wolfgang 24 Hafner, Christian M. 23 Rombouts, Jeroen V. K. 20 Croux, Christophe 19 DeSarbo, Wayne S. 19 Kangoye, Thierry 19 Erichson, Bernd 17 Gil-Alaña, Luis A. 17 Hallin, Marc 17 Shephard, Neil G. 17 Weiber, Rolf 17 Asai, Manabu 16 Brixiova, Zuzana 16 Schmid, Wolfgang 16 Domański, Czesław 15 Herwartz, Helmut 14 Pesaran, M. Hashem 14 Caporale, Guglielmo Maria 13 Furman, Edward 13 Kapetanios, George 13 Landsman, Zinoviy 13 Teräsvirta, Timo 13 Greene, William 12 Koopman, Siem Jan 12 Weihs, Claus 12 DeSarbo, Wayne 11 Lucas, André 11 Okhrin, Ostap 11 Brooks, Chris 10 Caporin, Massimiliano 10 Hecq, Alain W. J. 10 Marcellino, Massimiliano 10 Silvennoinen, Annastiina 10 Vernic, Raluca 10 Barndorff-Nielsen, Ole E. 9 Carriero, Andrea 9 Galichon, Alfred 9
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Institution
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 10 International Monetary Fund (IMF) 8 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 8 Econometrisch Instituut <Rotterdam> 7 National Bureau of Economic Research 6 Springer-Verlag GmbH 5 Tilburg University, Center for Economic Research 5 Department of Agricultural and Resource Economics, University of California-Berkeley 3 Department of Economics and Business, Universitat Pompeu Fabra 3 European Association of Agricultural Economists - EAAE 3 European Commission / Statistical Office of the European Communities 3 Europäische Kommission / Gemeinsame Forschungsstelle 3 Sociedade Brasileira de Economia e Sociologia Rural - SOBER 3 Universitat Pompeu Fabra / Departament d'Economia i Empresa 3 Aarhus Universitet / Afdeling for Nationaløkonomi 2 Akademia Ekonomiczna Imienia Oskara Langego we Wrocławiu 2 Center for Economic Research <Tilburg> 2 Center for European, Governance and Economic Development Research (CeGE), Wirtschaftswissenschaftliche Fakultät 2 Centro de Desenvolvimento e Planejamento Regional (Cedeplar), Universidade Federal de Minas Gerais 2 Centro di Economia del Lavoro e di Politica Economica (CELPE), Università degli Studi di Salerno 2 Departamento de Economía Aplicada III (Econometría y Estadística), Facultad de Ciencias Económicas y Empresariales 2 Department of Economics, McMaster University 2 Department of Economics, Oxford University 2 European University Institute / Department of Law 2 Facultad de Ciencias Económicas de la ULPGC 2 Gottfried Wilhelm Leibniz Universität Hannover 2 Institute for the Study of Labor (IZA) 2 Instytut Badañ Gospodarczych (IBG) 2 International Monetary Fund 2 Konjunkturforschungsstelle <Zürich> 2 Melbourne Institute of Applied Economic and Social Research 2 Springer Fachmedien Wiesbaden 2 AMACOM 1 Advanced Symposium on Multivariate Modeling and Data Analysis <1986, Harrisonburg, Va.> 1 Agricultural and Applied Economics Association - AAEA 1 Akademia Ekonomiczna <Krakau> / Katedra Statystyki 1 Akademia Ekonomiczna Imienia Karola Adamieckiego w Katowicach / Katedra Ekonomii 1 Akademia Ekonomiczna Imienia Oskara Langego we Wrocławiu / Katedra Ekonometrii i Informatyki 1 American Marketing Association 1 Books on Demand GmbH <Norderstedt> 1
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Published in...
All
Journal of econometrics 71 Insurance / Mathematics & economics 53 International journal of production research 36 Journal of the American Statistical Association : JASA 31 Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 31 Econometric reviews 30 International journal of forecasting 27 European journal of operational research : EJOR 25 Organizational research methods : ORM 25 Econometric Institute research papers 24 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 24 SFB 649 discussion paper 23 Applied economics 22 Discussion paper / Tinbergen Institute 21 Working papers / Universitat Pompeu Fabra, Department of Economics and Business 21 ECARES working paper 17 Economics letters 17 SpringerLink / Bücher 17 Folia oeconomica 16 Working paper 16 Energy economics 15 Econometric theory 14 Journal of applied econometrics 14 Journal of forecasting 14 Discussion paper / Center for Economic Research, Tilburg University 13 Discussion paper / Centre for Economic Policy Research 12 Discussion paper series / IZA 12 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 12 Risks : open access journal 12 CORE discussion papers : DP 11 Europäische Hochschulschriften / 5 11 Journal of empirical finance 11 KBI 11 Psychometrika 11 CESifo working papers 10 CREATES research paper 10 Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series 10 Computational economics 10 Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München 10 Discussion papers of interdisciplinary research project 373 10
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Source
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ECONIS (ZBW) 3,546 USB Cologne (EcoSocSci) 209 RePEc 183 Other ZBW resources 64 EconStor 37 BASE 18
Showing 1 - 50 of 4,057
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Dependency modeling approach of cause-related mortality and longevity risks : HIV/AIDS
Bett, Nicholas; Kasozi, Juma; Ruturwa, Daniel - In: Risks : open access journal 11 (2023) 2, pp. 1-18
Disaggregation of mortality by cause has advanced the development of life tables for life insurance and pension purposes. However, the assumption that the causes of death are independent is a challenge in reality. Furthermore, models that determine relationships among causes of death such as...
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Assessment of the relationship between regional variability in the level of education and population income : application of multivariate comparative analysis
Murawska, Anna - In: Ekonomia i prawo 22 (2023) 4, pp. 729-756
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Are cryptos becoming alternative assets?
Pele, Daniel Traian; Wesselhöfft, Niels; Härdle, Wolfgang - In: The European journal of finance 29 (2023) 10, pp. 1064-1105
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The mode and the measurement of inequality with single and multiple ordinal variables
Anderson, Gordon; Yalonetzky, Gastón - 2023
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Copula tensor count autoregressions for modeling multidimensional integer-valued time series
Armillotta, Mirko; Gorgi, Paolo; Lucas, André - 2025
This paper presents a novel copula-based autoregressive framework for multilayer arrays of integer-valued time series with tensor structure. It complements recent advances in tensor time series that predominantly focus on real-valued data and overlook the unique properties of integer-valued time...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195717
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A novel multivariate composite estimator for the Labour Force Survey
Hungnes, Håvard - 2025
This paper introduces a novel multivariate composite estimator for the Labour Force Survey (LFS). Unlike the univariate composite estimators used in some countries, the multivariate estimator takes into account the different probabilities of transitioning between labour market categories, such...
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On the correlations in linearized multivariate stochastic volatility models
Moussa, Karim - 2025
In the analysis of multivariate stochastic volatility models, many estimation procedures begin by transforming the data, taking the logarithm of the squared returns to obtain a linear state space model. A well-known series representation links the correlations between elements of the observation...
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Estimation of linear models from coarsened observations : a method of moments approach
Praag, Bernard M. S. van; Hop, J. Peter; Greene, William - 2025
In the last few decades, the study of ordinal data in which the variable of interest is not exactly observed but only known to be in a specific ordinal category has become important. In Psychometrics such variables are analysed under the heading of item response models (IRM). In Econometrics,...
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Multivariate Affine GARCH in portfolio optimization : analytical solutions and applications
Escobar, Marcos; Yang, Yu-Jung; Zagst, Rudi - 2025
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Advances on permutation multivariate analysis of variance for big data
Bonnini, Stefano; Assegie, Getnet Melak - In: Statistics in transition : an international journal of … 23 (2022) 2, pp. 163-183
In many applications of the multivariate analyses of variance, the classic parametric solutions for testing hypotheses of equality in population means or multisample and multivariate location problems might not be suitable for various reasons. Multivariate multisample location problems lack a...
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Multivariate rough volatility
Dugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo - 2024
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Deriving multivariate probabilistic solar generation forecasts based on hourly imbalanced data
Pflugfelder, Yannik; Schinke-Nendza, Aiko; Dumas, Jonathan - 2024
Accurate forecasting of solar PV generation is critical for integrating renewable energy into power systems. This paper presents a multivariate probabilistic forecasting model that addresses the challenges posed by imbalanced data resulting from day and night-time periods in solar photovoltaic...
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Evaluating density forecasts using weighted multivariate scores in a risk management context
Cheng, Jie - In: Computational economics 64 (2024) 6, pp. 3617-3643
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Multidimensional screening after 37 years
Rochet, Jean-Charles - 2024
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Multivariate trend-cycle-seasonal decompositions with correlated innovations
Tian, Jing; Jacobs, Jan; Osborn, Denise R. - In: Oxford bulletin of economics and statistics 86 (2024) 5, pp. 1260-1289
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Simultaneous inference for proportions in multivariate stratified random sampling without replacement for service quality control using multiple choice questions
Cozzucoli, Paolo Carmelo - In: Socio-economic planning sciences : the international … 95 (2024), pp. 1-15
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Estimation of linear models from coarsened observations : a method of moments approach
Praag, Bernard M. S. van; Hop, J. Peter; Greene, William - 2024
In the last few decades, the study of ordinal data in which the variable of interest is not exactly observed but only known to be in a specific ordinal category has become important. In Psychometrics such variables are analysed under the heading of item response models (IRM). In Econometrics,...
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Extended multivariate EGARCH model : a model for zero-return and negative spillovers
Xu, Yongdeng - 2024
This paper introduces an extended multivariate EGARCH model that overcomes the zero-return problem and allows for negative news and volatility spillover effects, making it an attractive tool for multivariate volatility modeling. Despite limitations, such as noninvertibility and unclear...
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L1 regularization for high-dimensional multivariate GARCH models
Yao, Sijie; Zou, Hui; Xing, Haipeng - In: Risks : open access journal 12 (2024) 2, pp. 1-29
The complexity of estimating multivariate GARCH models increases significantly with the increase in the number of asset series. To address this issue, we propose a general regularization framework for high-dimensional GARCH models with BEKK representations, and obtain a penalized quasi-maximum...
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Comparing multivariate distributions : a novel approach using optimal transport-based plots
Singha, Sibsankar; Kratz, Marie; Vadlamani, Sreekar - 2024
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Detection and treatment of outliers for multivariate robust loss reserving
Avanzi, Benjamin; Lavender, Mark; Taylor, Greg; Wong, … - In: Annals of actuarial science : publ. by the Institute of … 18 (2024) 1, pp. 102-125
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The impact of crowdsourcing and user-driven innovation on R&D departments' innovation activity : application of multivariate correspondence analysis
Szopik-Depczyńska, Katarzyna; Dembińska, Izabela; … - In: Equilibrium : quarterly journal of economics and … 19 (2024) 1, pp. 171-206
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Deep learning for multivariate volatility forecasting in high-dimensional financial time series
Iwafuchi, Rei; Matsuda, Yasumasa - 2024
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The time-varying multivariate autoregressive index model
Cubadda, Gianluca; Grassi, Stefano; Guardabascio, Barbara - 2024
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Relevance of dynamic variables in multicategory choice models
Hruschka, Harald - In: OR spectrum : quantitative approaches in management 46 (2024) 1, pp. 109-133
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Integrated modified OLS estimation and fixed-b inference for cointegrating multivariate polynomial regressions
Vogelsang, Timothy J.; Wagner, Martin - 2024
This paper shows that the integrated modified OLS (IM-OLS) estimator developed for cointegrating linear regressions in Vogelsang and Wagner (2014a) can be straightforwardly extended to cointegrating multivariate polynomial regressions. These are regression models that include as explanatory...
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The multivariate fractional Ornstein-Uhlenbeck process
Dugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo - 2024
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A semi-structural credit gap for Malta : a multivariate filter approach
Gatt, William - 2024
This paper presents a credit gap for Malta derived from a semi-structural multivariate filter. This modelling approach has several advantages over univariate approaches typically used, for example to construct the Basel gap. The multivariate filtering of observed data into trends and cycles is...
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Multivariate stochastic volatility modeling via integrated nested laplace approximations : a multifactor extension
Nacinben, João Pedro Coli de Souza Monteneri; Laurini, … - In: Econometrics : open access journal 12 (2024) 1, pp. 1-28
This study introduces a multivariate extension to the class of stochastic volatility models, employing integrated nested Laplace approximations (INLA) for estimation. Bayesian methods for estimating stochastic volatility models through Markov Chain Monte Carlo (MCMC) can become computationally...
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Looking at gender is not enough : how diversity of farmers' marginalization relates to varietal trait preferences
Bacud, Eva Salve Tino; Gerullis, Maria Katharina; … - In: Food policy 124 (2024), pp. 1-18
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Multidimensional screening after 37 years
Rochet, Jean-Charles - In: Journal of mathematical economics 113 (2024), pp. 1-7
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Time-varying multivariate causal processes
Gao, Jiti; Peng, Bin; Wu, Wei Biao; Yan, Yayi - In: Journal of econometrics 240 (2024) 1, pp. 1-17
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Estimating time-varying potential output and NAIRU using a multivariate filter for Türkiye
Gökcü, Mert - In: Central Bank review / Central Bank of the Republic of Turkey 24 (2024) 2, pp. 1-12
This paper extends the multivariate filter approach for estimating potential output and NAIRU developed for Türkiye by integrating the capacity utilization block into the model. The model gives more negative estimates of the output gap and smaller estimates of NAIRU in recession periods...
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The method of moments for multivariate random sums
Javed, Farrukh; Loperfido, Nicola; Mazur, Stepan - 2024
Multivariate random sums appear in many scientific fields, most notably in actuarial science, where they model both the number of claims and their sizes. Unfortunately, they pose severe inferential problems. For example, their density function is analytically intractable, in the general case,...
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Dimensionality reduction analysis of the renewable energy sector in Azerbaijan : nonparametric analyses of large datasets
Niftiyev, Ibrahim - In: Statistics in transition : an international journal of … 25 (2024) 2, pp. 81-102
Although the number of econometric analyses related to the renewable energy sector in Azerbaijan is increasing, studies on nonparametric dimensionality reduction are rather sparse. Principal component analysis (PCA) and multiple correspondence analysis (MCA) were chosen to fill this apparent...
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Realized variances vs. correlations : unlocking the gains in multivariate volatility forecasting
Capera Romero, Laura; Opschoor, Anne - 2024
This paper disentangles the added value of using high-frequency-based (realized) covariance measures on multivariate volatility forecasting into two pillars: the realized variances and realized correlations and quantifies the corresponding economic gains using a broad set of portfolio...
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High-dimensional forecasting with known knowns and known unknowns
Pesaran, M. Hashem; Smith, Ron - 2024
Forecasts play a central role in decision making under uncertainty. After a brief review of the general issues, this paper considers ways of using high-dimensional data in forecasting. We consider selecting variables from a known active set, known knowns, using Lasso and OCMT, and approximating...
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High-dimensional forecasting with known knowns and known unknowns
Pesaran, M. Hashem; Smith, Ron - 2024
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Optimal market-neutral multivariate pair trading on the cryptocurrency platform
Yang, Hongshen; Malik, Avinash - 2024
This research proposes a novel arbitrage approach in multivariate pair trading, termed the Optimal Trading Technique (OTT). We present a method for selectively forming a "bucket" of fiat currencies anchored to cryptocurrency for monitoring and exploiting trading opportunities simultaneously. To...
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Identification and forecasting of bull and bear markets using multivariate returns
Liu, Jia; Maheu, John M.; Song, Yong - In: Journal of applied econometrics 39 (2024) 5, pp. 723-745
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Should moderated regressions include or exclude quadratic terms? : present both! : then apply our linear algebraic analysis to identify the preferable specification
Kalnins, Arturs - In: Organizational research methods : ORM 27 (2024) 1, pp. 29-63
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Multivariate analysis of ethnic migrants' entrepreneurial motivation in Ghana
Zakpaa, Jacqueline; Dana, Leo Paul - In: International journal of business and globalisation : IJBG 36 (2024) 4, pp. 469-521
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The pre-pandemic role of customer online satisfaction in price determination : eevidence from hotel industry
Palić, Irena; Palić, Petra; Banić, Frane - In: Croatian review of economic, business and social … 7 (2021) 2, pp. 50-60
This study examines the importance of online reviews for price determination in the hotel industry in the pre-pandemic period. The research is conducted for Croatian small open economy with a developed tourism sector. The paper fills the gap in existing literature by using multivariate principal...
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The Sustainability of Digital Networks and Globalisation, the Key to Resilience?
Titan, Emilia; Apostu, Simona-Andreea; Mihai, Mihaela; … - In: Amfiteatru Economic 25 (2023) Special Issue No. 17, pp. 950-967
Rethinking the concept of resilience in the post-pandemic period is urgently needed considering an uncertain and unpredictable future. To identify the necessary solutions for the recovery of the economy, the involvement of all actors in the socio-economic and political environment is vital....
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A Practical Multivariate Approach to Testing Volatility Spillover
Leong, Soon Heng; Urga, Giovanni - 2023
We propose an asymptotic N(0, 1) inferential strategy to test for volatility spillover between markets consisting of multiple sectors. First, we use nonparametric kernel method to derive test statistics that assign flexible weight to each lag order and are able to check a growing number of lags...
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Implicit Multivariate Backtesting Expected Shortfall
Chen, Yu; Zhang, Xin; Gong, Tingnan - 2023
For risk management, implementing risk measures and backtesting them are essential tasks. Since the expected shortfall (ES) possesses coherence and tail sensitivity, the Basel Committee has raised the option to replace the classical risk measure value-at-risk (VaR) with ES. However, the...
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A Robust Latent Factor Model for High-Dimensional Portfolio Selection
Shu, Lianjie; Shi, Fangquan; Gu, Xinhua - 2023
Portfolio selection is often faced with large noisy data sets of strongly correlated asset returns, and so is prone to unstable portfolio weights and serious estimation error. To attenuate these problems, this paper proposes a new latent factor model equipped with both a suitable robust...
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Tweedie Multivariate Semi-Parametric Credibility
Jeong, Himchan - 2023
This article proposes a framework for determining credibility premiums for multiple coverages in a compound risk model with Tweedie distribution. The framework builds upon previous results on credibility premium and provides an explicit multivariate credibility premium formula that is applicable...
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Pandemic Influences on Americans’ Online Activities : A Spatial and Multivariate Analysis
Sarkar, Avijit; Pick, James B. - 2023
Over the span of a decade, the spectrum of online activities has expanded worldwide. From casual browsing to social networking, from education to entertainment, and from engaging in commercial to philanthropic pursuits, the array of online activities has continued to diversify in scope. Some...
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Multivariate Probabilistic Forecasting of Electricity Prices With Trading Applications
Agakishiev, Ilyas; Härdle, Wolfgang Karl; Kozmik, Karel; … - 2023
A recently introduced approach is extended to probabilistic electricity price forecasting (EPF) utilizing distributional artificial neural networks, based on a regularized distributional multilayer perceptron (DMLP). We develop this technique for a multivariate case EPF with incorporated...
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