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~isPartOf:"Journal of banking & finance"
~isPartOf:"MPRA Paper"
~isPartOf:"Statistical Papers / Springer"
~subject:"Portfolio selection"
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Search: subject:"Multivariate"
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Portfolio selection
Multivariate distribution
32
Multivariate Verteilung
31
Theorie
23
Theory
23
Portfolio-Management
19
Multivariate GARCH
18
Risikomaß
17
Risk measure
17
ARCH model
16
ARCH-Modell
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Multivariate analysis
14
Volatility
14
Volatilität
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Börsenkurs
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Share price
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Statistical distribution
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Statistische Verteilung
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Aktienmarkt
10
Cluster analysis
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Clusteranalyse
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Copula
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Stock market
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Multivariate Analyse
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Schätzung
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Capital income
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Correlation
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Kapitaleinkommen
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Risikomanagement
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Risk management
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Derivat
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Derivative
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Korrelation
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Option pricing theory
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Optionspreistheorie
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multivariate GARCH
7
Copulas
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Alcock, Jamie
1
Ascheberg, Marius
1
Bick, Björn
1
Boubaker, Heni
1
Brailsford, Timothy J.
1
Chen Zhou
1
Chu, Ba
1
De Nard, Gianluca
1
Dias, Alexandra
1
Dorn, Jochen
1
Engle, Robert F.
1
Faff, Robert W.
1
Fortin, Ines
1
Geertsema, Paul
1
Geman, Hélyette
1
Gómez, Fabio
1
Harris, Richard D. F.
1
Hlouskova, Jaroslava
1
Kharoubi, Cécile
1
Koedijk, Kees
1
Kole, Erik
1
Kraft, Holger
1
Lai, Yi-hao
1
Ledoit, Olivier
1
Low, Rand Kwong Yew
1
Lu, Helen
1
Mazibas, Murat
1
Merlo, Luca
1
Paolella, Marc S.
1
Petrella, Lea
1
Polak, Pawel
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Qin, Xiao
1
Raponi, Valentina
1
Reboredo, Juan Carlos
1
Sghaier, Nadia
1
Tang, Qihe
1
Tong, Zhiwei
1
Verbeek, Marno
1
Walker, Patrick S.
1
Wang, Yi-chiuan
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Journal of banking & finance
MPRA Paper
Statistical Papers / Springer
Insurance / Mathematics & economics
30
The North American journal of economics and finance : a journal of financial economics studies
18
Applied economics
16
European journal of operational research : EJOR
14
Quantitative finance
13
Economic modelling
12
Finance research letters
11
Energy economics
10
Journal of risk and financial management : JRFM
10
International review of financial analysis
9
Journal of empirical finance
9
Risks : open access journal
9
Journal of risk
8
Computational economics
7
International review of economics & finance : IREF
7
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
6
Financial markets and portfolio management
6
International journal of forecasting
6
International journal of theoretical and applied finance
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
Journal of econometrics
6
The European journal of finance
6
Working paper series / University of Zurich, Department of Economics
6
Financial innovation : FIN
5
International journal of finance & economics : IJFE
5
Journal of forecasting
5
Pacific-Basin finance journal
5
SFB 649 discussion paper
5
The journal of asset management
5
The journal of asset management : a major new, international quarterly journal for the financial community
5
The journal of credit risk : published quarterly by Incisive Media
5
Discussion paper / Deutsche Bundesbank
4
Investment management and financial innovations
4
Reihe Quantitative Ökonomie : Ökon
4
Research in international business and finance
4
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
4
The journal of futures markets
4
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
4
Agricultural finance review
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ECONIS (ZBW)
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1
Large dynamic covariance matrices : enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
- In:
Journal of banking & finance
138
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013461761
Saved in:
2
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:
3
Evaluating Value-at-Risk forecasts : a new set of
multivariate
backtests
Wied, Dominik
;
Weiß, Gregor
;
Ziggel, Daniel
- In:
Journal of banking & finance
72
(
2016
),
pp. 121-132
Persistent link: https://www.econbiz.de/10011635501
Saved in:
4
The gradient allocation principle based on the higher moment risk measure
Gómez, Fabio
;
Tang, Qihe
;
Tong, Zhiwei
- In:
Journal of banking & finance
143
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013530990
Saved in:
5
Systemic risk allocation using the asymptotic marginal expected shortfall
Qin, Xiao
;
Chen Zhou
- In:
Journal of banking & finance
126
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012820456
Saved in:
6
Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation
Merlo, Luca
;
Petrella, Lea
;
Raponi, Valentina
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013256440
Saved in:
7
The correlation structure of anomaly strategies
Geertsema, Paul
;
Lu, Helen
- In:
Journal of banking & finance
119
(
2020
),
pp. 1-39
Persistent link: https://www.econbiz.de/10012521278
Saved in:
8
Is gold a safe haven or a hedge for the US dollar? : implications for risk management
Reboredo, Juan Carlos
- In:
Journal of banking & finance
37
(
2013
)
8
,
pp. 2665-2676
Persistent link: https://www.econbiz.de/10009776518
Saved in:
9
Canonical vine copulas in the context of modern portfolio management : are they worth it?
Low, Rand Kwong Yew
;
Alcock, Jamie
;
Faff, Robert W.
; …
- In:
Journal of banking & finance
37
(
2013
)
8
,
pp. 3085-3099
Persistent link: https://www.econbiz.de/10009777123
Saved in:
10
A revisit to the dependence structure between the stock and foreign exchange markets : a dependence-switching copula approach
Wang, Yi-chiuan
;
Wu, Yyh-lin
;
Lai, Yi-hao
- In:
Journal of banking & finance
37
(
2013
)
5
,
pp. 1706-1719
Persistent link: https://www.econbiz.de/10009729473
Saved in:
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