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subject:"Deutschland"
subject:"Forecasting model"
~isPartOf:"Journal of risk"
~isPartOf:"Quantitative finance"
~subject:"Risikomaß"
~subject:"Stochastic process"
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Deutschland
Forecasting model
Risikomaß
Stochastic process
Estimation theory
67
Schätztheorie
67
Risk measure
26
Estimation
25
Schätzung
25
Portfolio selection
21
Portfolio-Management
21
Volatility
20
Volatilität
20
Time series analysis
16
Zeitreihenanalyse
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ARCH model
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ARCH-Modell
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Prognoseverfahren
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Statistical distribution
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Börsenkurs
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Capital income
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Stochastischer Prozess
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Option pricing theory
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Optionspreistheorie
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Risiko
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Risk
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Risikomanagement
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Risk management
7
Autocorrelation
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Autokorrelation
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Correlation
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Derivat
5
Derivative
5
Korrelation
5
Market microstructure
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Marktmikrostruktur
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Monte Carlo simulation
5
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Article
41
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41
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41
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English
41
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Martin, R. Douglas
2
Tsiotas, Georgios
2
Abad, Pilar
1
Ally, Abdallah K.
1
Ardia, David
1
Arias-Sema, María A.
1
Arora, Rohit
1
Arunachalam, Viswanathan
1
Auer, Benjamin R.
1
Bayer, Christian
1
Baysal, Rafet Evren
1
Belhad, Ahmed
1
Benito Muela, Sonia
1
Berens, Tobias
1
Breneis, Simon
1
Butler, Andrew
1
Caccioli, Fabio
1
Canabarro, Askery
1
Cang, Yuquan
1
Capriotti, Luca
1
Caro-Lopera, Francisco J.
1
Chatterjee, Rupak
1
Chen, May-Ru
1
Chen, Wilson Ye
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Cipra, Tomáš
1
Feng, Yuanhua
1
Galakis, John
1
Gatarek, Lukasz
1
Gerlach, Richard H.
1
Guo, Meihui
1
Guo, Zi-Yi
1
Hand, D. J.
1
Hendrych, Radek
1
Hizmeri, Rodrigo
1
Hoogerheide, Lennart
1
Huang, Shih-Feng
1
Izzeldin, Marwan
1
Jiang, Zhi-Qiang
1
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Journal of risk
Quantitative finance
Journal of econometrics
144
International journal of forecasting
115
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
80
Journal of forecasting
75
Discussion paper / Tinbergen Institute
43
Insurance / Mathematics & economics
43
Economics letters
42
Econometric reviews
28
Econometric theory
26
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
26
Discussion paper
25
CREATES research paper
24
European journal of operational research : EJOR
24
Journal of empirical finance
24
Computational economics
23
Economic modelling
23
Working paper / Department of Econometrics and Business Statistics, Monash University
23
Journal of banking & finance
22
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
21
Journal of the American Statistical Association : JASA
20
SFB 649 discussion paper
20
The econometrics journal
20
Europäische Hochschulschriften / 5
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Risks : open access journal
19
Finance research letters
18
Journal of financial econometrics
18
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
18
Cowles Foundation discussion paper
16
Discussion papers of interdisciplinary research project 373
16
Working paper
16
Econometrics : open access journal
15
Empirical economics : a quarterly journal of the Institute for Advanced Studies
14
NBER working paper series
14
Operations research
14
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
14
Working papers series in theoretical and applied economics
14
Applied economics
13
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ECONIS (ZBW)
41
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1
Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian
;
Breneis, Simon
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
Saved in:
2
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:
3
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:
4
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:
5
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:
6
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:
7
Nonparametric estimation of systemic risk via conditional value-at-risk
Belhad, Ahmed
;
Lauria, Davide
;
Trindade, A. Alexandre
- In:
Journal of risk
25
(
2022
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10013549675
Saved in:
8
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:
9
Proof of non-convergence of the short-maturity expansion for the SABR model
Lewis, Alan L.
;
Pirjol, Dan
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1747-1757
Persistent link: https://www.econbiz.de/10013367944
Saved in:
10
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
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