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~language:"eng"
~person:"Hoogerheide, Lennart F."
~subject:"Estimation theory"
~subject:"Kapitaleinkommen"
~subject:"Schätzung"
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Search: subject:"Value at Risk"
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Estimation theory
Kapitaleinkommen
Schätzung
Risikomaß
11
Risk measure
11
Forecasting model
9
Prognoseverfahren
9
ARCH model
5
ARCH-Modell
5
Theorie
5
Theory
5
Value-at-Risk
5
Capital income
4
GARCH
4
Schätztheorie
4
Bayes-Statistik
3
Bayesian inference
3
Volatility
3
Volatilität
3
Börsenkurs
2
Forecast
2
Prognose
2
Share price
2
Statistical distribution
2
Statistical test
2
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2
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2
Time series analysis
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Zeitreihenanalyse
2
marginal models
2
multiple time series
2
Analysis of variance
1
Backtest
1
Bootstrap approach
1
Bootstrap test
1
Bootstrap-Verfahren
1
Economic forecast
1
Equity
1
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English
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Hoogerheide, Lennart F.
McAleer, Michael
28
Stoja, Evarist
23
Polanski, Arnold
16
Allen, David E.
15
Ardia, David
13
Härdle, Wolfgang
13
Hammoudeh, Shawkat
12
Paolella, Marc S.
12
Lucas, André
11
Mittnik, Stefan
11
Caporin, Massimiliano
10
Escanciano, Juan Carlos
10
Bali, Turan G.
9
Francq, Christian
9
Zakoïan, Jean-Michel
9
Gupta, Rangan
8
Scharth, Marcel
8
Schrimpf, Andreas
8
Wang, Weining
8
Almeida, Caio
7
Asai, Manabu
7
Chang, Chia-Lin
7
Haas, Markus
7
Kratz, Marie
7
Lönnbark, Carl
7
Manganelli, Simone
7
Pierdzioch, Christian
7
Rösch, Daniel
7
Singh, Abhay Kumar
7
Trojani, Fabio
7
Zhang, Xin
7
Ahelegbey, Daniel Felix
6
Alexander, Carol
6
Chiang, Thomas C.
6
Garcia, René
6
Giacometti, Rosella
6
Harris, Richard D. F.
6
Herrera, Rodrigo
6
Hoogerheide, Lennart
6
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Applied economics letters
1
Discussion paper / Tinbergen Institute
1
Economics letters
1
Tinbergen Institute Discussion Paper 2013-047/III
1
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ECONIS (ZBW)
6
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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
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:
4
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:
5
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:
6
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:
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