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  • Search: subject:"Blockwise"
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Year of publication
Subject
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Bootstrap approach 5 Bootstrap-Verfahren 5 Estimation theory 5 Schätztheorie 5 blockwise bootstrap 3 Block-wise random weighting method 2 Börsenkurs 2 Capital income 2 Diagnostic checking 2 Efficient market hypothesis 2 Effizienzmarkthypothese 2 Estimation 2 Kapitaleinkommen 2 Least squares estimation 2 Nichtparametrisches Verfahren 2 Noise Trading 2 Noise trading 2 Nonparametric statistics 2 Portfolio selection 2 Portfolio-Management 2 Risikomanagement 2 Risikomaß 2 Risikopräferenz 2 Risk attitude 2 Risk management 2 Risk measure 2 Schätzung 2 Share price 2 Spectral test 2 Time series analysis 2 Weak ARMA models 2 Wild bootstrap 2 Zeitreihenanalyse 2 capital allocation 2 mean conditional value-at-risk (MCVaR) 2 nonparametric estimation 2 risk preference 2 ARMA model 1 ARMA-Modell 1 Autoregressive processes 1
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Online availability
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Undetermined 10 Free 3 CC license 1
Type of publication
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Article 12 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 8 Aufsatz in Zeitschrift 8 Article 1
Language
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English 9 Undetermined 4
Author
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Han, Yuecai 2 Liu, Xinyu 2 Zhang, Fengtong 2 Zhu, Ke 2 Axt, Ieva 1 Cao, Ricardo 1 Chen, Xuerong 1 Cuñado Eizaguirre, Juncal 1 Fan, Yunzheng 1 Fried, Roland 1 Gupta, Rangan 1 Hill, Jonathan B. 1 Lan, Wei 1 Li, Wai Keung 1 Li, Wai-Keung 1 Lin, Lu 1 Moscone, Francesco 1 Motegi, Kaiji 1 Sheng, Xin 1 Tan, Lin 1 Tiwari, Aviral Kumar 1 Tosetti, Elisa 1 Tsai, Chih-Ling 1 Vareschi, T. 1 Vinciotti, Veronica 1 Zhang, Xianyang 1 Zou, Tao 1
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Journal of econometrics 2 AStA Advances in Statistical Analysis 1 Economic modelling 1 Economics and Business Letters : EBL 1 Journal of Multivariate Analysis 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Journal of risk 1 Journal of risk : JOR 1 MPRA Paper 1 Metrika 1 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 1 The econometrics journal 1
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Source
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ECONIS (ZBW) 8 RePEc 4 EconStor 1
Showing 1 - 10 of 13
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Testing the white noise hypothesis in high-frequency housing returns of the United States
Tiwari, Aviral Kumar; Gupta, Rangan; Cuñado … - In: Economics and Business Letters : EBL 9 (2020) 3, pp. 178-188
Persistent link: https://www.econbiz.de/10012420487
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On variance estimation under shifts in the mean
Axt, Ieva; Fried, Roland - In: AStA Advances in Statistical Analysis 104 (2020) 3, pp. 417-457
In many situations, it is crucial to estimate the variance properly. Ordinary variance estimators perform poorly in the presence of shifts in the mean. We investigate an approach based on non-overlapping blocks, which yields good results in change-point scenarios. We show the strong consistency...
Persistent link: https://www.econbiz.de/10014503393
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An approach to capital allocation based on mean conditional value-at-risk
Han, Yuecai; Zhang, Fengtong; Liu, Xinyu - In: Journal of risk 25 (2023) 6, pp. 53-71
Persistent link: https://www.econbiz.de/10014546366
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An approach to capital allocation based on mean conditional value-at-risk
Han, Yuecai; Zhang, Fengtong; Liu, Xinyu - In: Journal of risk : JOR 25 (2023) 6, pp. 53-71
Persistent link: https://www.econbiz.de/10014487234
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Imputations for high missing rate data in covariates via semi-supervised learning approach
Lan, Wei; Chen, Xuerong; Zou, Tao; Tsai, Chih-Ling - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 1282-1290
Persistent link: https://www.econbiz.de/10013539511
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Testing the white noise hypothesis of stock returns
Hill, Jonathan B.; Motegi, Kaiji - In: Economic modelling 76 (2019), pp. 231-242
Persistent link: https://www.econbiz.de/10012198322
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A bootstrapped spectral test for adequacy in weak ARMA models
Zhu, Ke; Li, Wai-Keung - Volkswirtschaftliche Fakultät, … - 2013
$n^{-1/2}$. Due to the unknown dependence of error terms and the estimation effects, a new block-wise random weighting …
Persistent link: https://www.econbiz.de/10011111242
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Sparse estimation of huge networks with a block-wise structure
Moscone, Francesco; Tosetti, Elisa; Vinciotti, Veronica - In: The econometrics journal 20 (2017) 3, pp. 61-85
Persistent link: https://www.econbiz.de/10011805012
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Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
Zhang, Xianyang - In: Journal of econometrics 193 (2016) 1, pp. 123-146
Persistent link: https://www.econbiz.de/10011704780
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A bootstrapped spectral test for adequacy in weak ARMA models
Zhu, Ke; Li, Wai Keung - In: Journal of econometrics 187 (2015) 1, pp. 113-130
Persistent link: https://www.econbiz.de/10011498788
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