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~language:"eng"
~person:"Ardia, David"
~subject:"Estimation theory"
~subject:"Kapitaleinkommen"
~subject:"World"
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Estimation theory
Kapitaleinkommen
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15
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15
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11
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11
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9
Schätztheorie
9
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7
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7
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6
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5
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Ardia, David
McAleer, Michael
43
Pérez Amaral, Teodosio
14
Stoja, Evarist
14
Hammoudeh, Shawkat
13
Jiménez-Martín, Juan-Ángel
13
Polanski, Arnold
12
Bali, Turan G.
10
Francq, Christian
9
Härdle, Wolfgang
9
Zakoïan, Jean-Michel
9
Allen, David E.
8
Chang, Chia-Lin
8
Almeida, Caio
7
Asai, Manabu
7
Lucas, André
7
Lönnbark, Carl
7
Nguyen, Duc Khuong
7
Scharth, Marcel
7
Trojani, Fabio
7
Caporin, Massimiliano
6
Chiang, Thomas C.
6
Demirtas, K. Ozgur
6
Garcia, René
6
Gupta, Rangan
6
Hoogerheide, Lennart
6
Hoogerheide, Lennart F.
6
Ji, Qiang
6
Jiang, Hao
6
Karmakar, Madhusudan
6
Manganelli, Simone
6
Paolella, Marc S.
6
Ruenzi, Stefan
6
Weigert, Florian
6
Ardison, Kym
5
Bianchi, Michele Leonardo
5
Bormann, Carsten
5
Cai, Zongwu
5
Daouia, Abdelaati
5
Escanciano, Juan Carlos
5
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2
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2
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1
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1
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1
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1
Lecture Notes in Economics and Mathematical System
1
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ECONIS (ZBW)
13
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1
GARCH Models for Daily Stock Returns : Impact of Estimation Frequency on
Value-at-Risk
and Expected Shortfall Forecasts
Ardia, David
-
2020
returns for constituents of the S&P 500 index. We assess the implication for one-day ahead 95% and 99%
Value-at-Risk
(VaR …
Persistent link: https://www.econbiz.de/10012857089
Saved in:
2
Methods for Computing Numerical Standard Errors : Review and Application to
Value-at-Risk
Estimation
Ardia, David
-
2018
management where we assess the precision of the
Value–at–Risk
measure when the underlying risk model is estimated by simulation …
Persistent link: https://www.econbiz.de/10012936424
Saved in:
3
Regime changes in Bitcoin GARCH volatility dynamics
Ardia, David
;
Bluteau, Keven
;
Rüede, Maxime
- In:
Finance research letters
29
(
2019
),
pp. 266-271
Persistent link: https://www.econbiz.de/10012419095
Saved in:
4
A new bootstrap test for the validity of a set of marginal models for multiple dependent time series : an application to risk analysis
Ardia, David
;
Gatarek, Lukasz
;
Hoogerheide, Lennart F.
-
2014
for multiple time series is particularly useful if one wants to assess
Value-at-Risk
(or Expected Shortfall) predictions …
Persistent link: https://www.econbiz.de/10010250513
Saved in:
5
Methods for computing numerical standard errors : review and application to
value-at-risk
estimation
Ardia, David
;
Bluteau, Keven
;
Hoogerheide, Lennart
- In:
Journal of time series econometrics
10
(
2018
)
2
,
pp. 1-9
Persistent link: https://www.econbiz.de/10011898020
Saved in:
6
GARCH models for daily stock returns : impact of estimation frequency on
value-at-risk
and expected shortfall forecasts
Ardia, David
;
Hoogerheide, Lennart
-
2013
Persistent link: https://www.econbiz.de/10010191413
Saved in:
7
A new bootstrap test for multiple assets joint risk testing
Ardia, David
;
Gatarek, Lukasz
;
Hoogerheide, Lennart
- In:
Journal of risk
19
(
2016/2017
)
4
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011710231
Saved in:
8
GARCH models for daily stock returns : impact of estimation frequency on
Value-at-Risk
and Expected Shortfall forecasts
Ardia, David
;
Hoogerheide, Lennart F.
- In:
Economics letters
123
(
2014
)
2
,
pp. 187-190
Persistent link: https://www.econbiz.de/10010400299
Saved in:
9
Worldwide equity risk prediction
Ardia, David
;
Hoogerheide, Lennart F.
- In:
Applied economics letters
20
(
2013
)
13/15
,
pp. 1333-1339
Persistent link: https://www.econbiz.de/10010202894
Saved in:
10
GARCH Models for Daily Stock Returns : Impact of Estimation Frequency on
Value-at-Risk
and Expected Shortfall Forecasts
Ardia, David
-
2014
returns for constituents of the S&P 500 index. We assess the implication for one-day ahead 95% and 99%
Value-at-Risk
(VaR …
Persistent link: https://www.econbiz.de/10013064474
Saved in:
1
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