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~isPartOf:"Cambridge working papers in economics"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Journal of risk"
~subject:"ARCH model"
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Search: subject_exact:"Statistische Verteilung"
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ARCH model
Statistical distribution
108
Statistische Verteilung
108
Theorie
45
Theory
45
Option pricing theory
27
Optionspreistheorie
27
Risikomaß
22
Risk measure
22
Portfolio selection
21
Portfolio-Management
21
Stochastic process
21
Stochastischer Prozess
21
Volatility
19
Volatilität
19
Estimation
15
Schätzung
15
Capital income
14
Estimation theory
14
Kapitaleinkommen
14
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14
Time series analysis
12
Zeitreihenanalyse
12
Derivat
11
Derivative
11
ARCH-Modell
10
Risiko
9
Risk
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Simulation
9
Multivariate Verteilung
8
Multivariate distribution
8
Ausreißer
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Credit risk
7
Financial market
7
Finanzmarkt
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Forecasting model
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Kreditrisiko
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Nichtparametrisches Verfahren
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Harvey, Andrew C.
3
Abad, Pilar
1
Badescu, Alexandru
1
Benito Muela, Sonia
1
Berens, Tobias
1
D'Addona, Stefano
1
Elliott, Robert J.
1
Kulperger, Reg
1
Lamb, John D.
1
Lange, Rutger-Jan
1
López-Martín, Carmen
1
Marinelli, Carlo
1
Miettinen, Jarkko
1
Molgedey, Lutz
1
Monville, Maura E.
1
Palumbo, Dario
1
Račev, Svetlozar T.
1
Simonato, Jean-Guy
1
Siu, Tak Kuen
1
Sánchez Granero, Miguel Angel
1
Tee, Kaihong
1
Thiele, Stephen
1
Weiß, Gregory N. F.
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Cambridge working papers in economics
International journal of theoretical and applied finance
Journal of risk
Journal of econometrics
15
Discussion paper / Tinbergen Institute
14
International journal of forecasting
14
Journal of empirical finance
14
Economic modelling
12
The European journal of finance
11
Applied economics
10
Finance research letters
10
Journal of forecasting
10
Research paper series / Swiss Finance Institute
10
Swiss Finance Institute Research Paper
10
The North American journal of economics and finance : a journal of financial economics studies
9
International review of financial analysis
8
Journal of banking & finance
8
International review of economics & finance : IREF
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Journal of risk and financial management : JRFM
7
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
7
Economics letters
6
Energy economics
6
Journal of financial econometrics
6
Annals of financial economics
5
Computational economics
5
Econometrics : open access journal
5
Journal of economic dynamics & control
5
Applied economics letters
4
Discussion paper
4
Global business & economics review
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Review of quantitative finance and accounting
4
Risks : open access journal
4
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
4
Working papers
4
Diskussionspapiere / Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie
3
Econometric reviews
3
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
3
Journal of international financial markets, institutions & money
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ECONIS (ZBW)
10
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1
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
-
2019
Persistent link: https://www.econbiz.de/10012703124
Saved in:
2
Volatility modeling with a generalized t-distribution
Harvey, Andrew C.
;
Lange, Rutger-Jan
-
2015
Persistent link: https://www.econbiz.de/10011285967
Saved in:
3
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:
4
Testing against changing correlation
Harvey, Andrew C.
;
Thiele, Stephen
-
2014
Persistent link: https://www.econbiz.de/10010504846
Saved in:
5
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:
6
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:
7
Approximating the multivariate distribution of time-aggregated stock returns under GARCH
Simonato, Jean-Guy
- In:
Journal of risk
16
(
2013
)
2
,
pp. 25-49
Persistent link: https://www.econbiz.de/10010237931
Saved in:
8
Multivariate heavy-tailed models for value-at-risk estimation
Marinelli, Carlo
;
D'Addona, Stefano
;
Račev, Svetlozar T.
- In:
International journal of theoretical and applied finance
15
(
2012
)
4
,
pp. 1-32
Persistent link: https://www.econbiz.de/10009624462
Saved in:
9
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
Badescu, Alexandru
;
Elliott, Robert J.
;
Kulperger, Reg
; …
- In:
International journal of theoretical and applied finance
14
(
2011
)
5
,
pp. 669-708
Persistent link: https://www.econbiz.de/10009298478
Saved in:
10
Historical volatility distribution in Gaussian and GARCH (1,1) models
Molgedey, Lutz
- In:
International journal of theoretical and applied finance
3
(
2000
)
3
,
pp. 417
Persistent link: https://www.econbiz.de/10001522909
Saved in:
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