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subject:"Stochastischer Prozess"
subject:"Volatility"
~accessRights:"restricted"
~isPartOf:"Insurance / Mathematics & economics"
~isPartOf:"Journal of banking & finance"
~subject:"Messung"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Messung
Estimation theory
97
Schätztheorie
97
Statistical distribution
29
Statistische Verteilung
29
Estimation
22
Risikomaß
20
Risk measure
20
Regression analysis
19
Regressionsanalyse
19
Schätzung
19
Risk
15
Forecasting model
14
Prognoseverfahren
14
Risiko
14
Nichtparametrisches Verfahren
13
Nonparametric statistics
13
Portfolio selection
13
Portfolio-Management
13
Measurement
11
Ausreißer
9
Outliers
9
Time series analysis
9
Zeitreihenanalyse
9
Bayes-Statistik
8
Bayesian inference
8
Multivariate Analyse
8
Multivariate analysis
8
Risikomanagement
8
Risk management
8
Maximum likelihood estimation
7
Maximum-Likelihood-Schätzung
7
Stochastic process
7
Volatilität
7
ARCH model
6
ARCH-Modell
6
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6
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English
24
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Avanzi, Benjamin
2
Chavez-Demoulin, Valérie
2
Guillou, Armelle
2
Pitera, Marcin
2
Schmidt, Thorsten
2
Taylor, Greg
2
Wang, Xing
2
Wong, Bernard
2
Zhang, Zhimin
2
Abdelli, Jihane
1
Aigner, Maximilian
1
Brahimi, Brahim
1
Clements, Adam
1
Escobar, Marcos
1
Fang, Runhuan
1
Hansen, Anne Lundgaard
1
Hartman, Brian
1
Hou, Yanxi
1
Jondeau, Eric
1
Lahaye, Jérôme
1
Lally, Nathan
1
Lauer, Alexandra
1
Li, Peng
1
Li, Yifan
1
Mao, Tiantian
1
Nolte, Ingmar
1
Paolella, Marc S.
1
Peng, Liang
1
Perote, Javier
1
Pitselis, Georgios
1
Polak, Pawel
1
Preve, Daniel P. A.
1
Psarrakos, Georgios
1
Rastegari, Javad
1
Rockinger, Michael
1
Shimizu, Yasutaka
1
Stentoft, Lars
1
Stupfler, Gilles
1
Vasios, Michalis
1
Vliora, Polyxeni
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Insurance / Mathematics & economics
Journal of banking & finance
Journal of econometrics
93
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
33
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
Econometric reviews
18
Economics letters
17
Econometric theory
16
Finance research letters
16
Economic modelling
15
International journal of forecasting
15
Journal of financial econometrics
13
Quantitative finance
12
Journal of empirical finance
11
European journal of operational research : EJOR
10
The North American journal of economics and finance : a journal of financial economics studies
10
Journal of risk
9
Computational economics
8
Operations research
8
Journal of forecasting
7
SpringerLink / Bücher
7
Journal of quantitative economics
6
Journal of time series econometrics
6
Mathematics of operations research
6
Operations research letters
6
Applied economics letters
5
Decisions in economics and finance : DEF ; a journal of applied mathematics
5
Discussion papers / CEPR
5
Empirical economics : a quarterly journal of the Institute for Advanced Studies
5
Energy economics
5
Finance and stochastics
5
International journal of financial engineering
5
International journal of theoretical and applied finance
5
Journal of mathematical finance
5
World Bank E-Library Archive
5
Discussion paper / Centre for Economic Policy Research
4
International journal of production research
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Policy research working paper : WPS
4
The econometrics journal
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ECONIS (ZBW)
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1
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
Mao, Tiantian
;
Stupfler, Gilles
;
Yang, Fan
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 173-192
Persistent link: https://www.econbiz.de/10014317144
Saved in:
2
Weighted least squares realized covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
Saved in:
3
Measuring and comparing risks of different types
Aigner, Maximilian
;
Chavez-Demoulin, Valérie
;
Guillou, …
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013271951
Saved in:
4
Estimating and backtesting risk under heavy tails
Pitera, Marcin
;
Schmidt, Thorsten
- In:
Insurance / Mathematics & economics
104
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013264930
Saved in:
5
Sample recycling method : a new approach to efficient nested Monte Carlo simulations
Fang, Runhuan
;
Li, Peng
- In:
Insurance / Mathematics & economics
105
(
2022
),
pp. 336-359
Persistent link: https://www.econbiz.de/10013349067
Saved in:
6
Sensitivity analysis and tail variability for the Wang's actuarial index
Psarrakos, Georgios
;
Vliora, Polyxeni
- In:
Insurance / Mathematics & economics
98
(
2021
),
pp. 147-152
Persistent link: https://www.econbiz.de/10012545279
Saved in:
7
On the modelling of multivariate counts with Cox processes and dependent shot noise intensities
Avanzi, Benjamin
;
Taylor, Greg
;
Wong, Bernard
;
Yang, Xinda
- In:
Insurance / Mathematics & economics
99
(
2021
),
pp. 9-24
Persistent link: https://www.econbiz.de/10012649204
Saved in:
8
A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of banking & finance
125
(
2021
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012819586
Saved in:
9
A practical guide to harnessing the HAR volatility model
Clements, Adam
;
Preve, Daniel P. A.
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013256626
Saved in:
10
Modeling persistent interest rates with double-autoregressive processes
Hansen, Anne Lundgaard
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013257376
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