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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Insurance / Mathematics & economics"
~isPartOf:"Journal of banking & finance"
~isPartOf:"SFB 649 discussion paper"
~subject:"Risiko"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Risiko
Estimation theory
279
Schätztheorie
279
Estimation
65
Schätzung
61
Statistical distribution
56
Statistische Verteilung
56
Nichtparametrisches Verfahren
54
Nonparametric statistics
54
Theorie
52
Theory
52
Time series analysis
45
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Regressionsanalyse
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38
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28
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24
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Multivariate distribution
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Risk
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Volatilität
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Stochastic process
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Reiß, Markus
6
Bibinger, Markus
5
Zhang, Zhimin
4
Guillou, Armelle
3
Hautsch, Nikolaus
3
Avanzi, Benjamin
2
Chavez-Demoulin, Valérie
2
Härdle, Wolfgang
2
Kappus, Johanna
2
Malec, Peter
2
Pitera, Marcin
2
Rösch, Daniel
2
Schmidt, Thorsten
2
Stupfler, Gilles
2
Söhl, Jakob
2
Taylor, Greg
2
Wang, Xing
2
Wong, Bernard
2
Xie, Jiayi
2
Yang, Fan
2
Yang, Fuyu
2
Ahn, Jae Youn
1
Aigner, Maximilian
1
Alexander, Carol
1
Altmeyer, Randolf
1
Bocart, Fabian Y. R. P.
1
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1
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1
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1
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1
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1
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1
Faff, Robert W.
1
Feng, Guohua
1
Golosnoy, Vasyl
1
Gomes-Gonçalves, Erika
1
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Insurance / Mathematics & economics
Journal of banking & finance
SFB 649 discussion paper
Journal of econometrics
142
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
54
Discussion paper / Tinbergen Institute
37
Economics letters
36
Econometric reviews
30
Economic modelling
27
CREATES research paper
26
Econometric theory
25
Journal of empirical finance
23
International journal of forecasting
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Finance research letters
18
European journal of operational research : EJOR
17
International journal of theoretical and applied finance
17
Quantitative finance
17
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
15
Journal of financial econometrics
15
Journal of forecasting
15
The econometrics journal
15
Journal of risk and financial management : JRFM
14
Operations research
14
Série des documents de travail / Centre de Recherche en Économie et Statistique
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Cowles Foundation discussion paper
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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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Econometrics : open access journal
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Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty
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Mathematics of operations research
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NBER Working Paper
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The North American journal of economics and finance : a journal of financial economics studies
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Applied economics
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Journal of risk
12
Computational economics
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Discussion papers of interdisciplinary research project 373
11
Finance and stochastics
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NBER working paper series
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Quantitative economics : QE ; journal of the Econometric Society
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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
Estimating the time value of ruin in a Lévy risk model under low-frequency observation
Wang, Wenyuan
;
Xie, Jiayi
;
Zhang, Zhimin
- In:
Insurance / Mathematics & economics
104
(
2022
),
pp. 133-157
Persistent link: https://www.econbiz.de/10013264942
Saved in:
6
Sensitivity-implied tail-correlation matrices
Paulusch, Joachim
;
Schlütter, Sebastian
- In:
Journal of banking & finance
134
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013400104
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
A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks
Kircher, Felix
;
Rösch, Daniel
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013256632
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