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  • Search: subject:"Estimation error"
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Year of publication
Subject
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Schätztheorie 51 Estimation theory 45 estimation error 45 Estimation error 38 parameter estimation error 36 Portfolio selection 34 Portfolio-Management 34 Theorie 25 Schätzung 24 Statistical error 24 Statistischer Fehler 24 Estimation 21 Prognoseverfahren 20 block bootstrap 19 Theory 16 Capital income 14 Kapitaleinkommen 14 Risikomaß 14 Risk measure 14 Bootstrap-Verfahren 12 Forecasting model 11 Risiko 11 Risk 11 Zeitreihenanalyse 11 CAPM 9 recursive estimation scheme 9 Bootstrap approach 8 Risikomanagement 8 Risk management 8 forecast 7 reality check 7 Asset allocation 6 Transaction costs 6 diffusion index 6 diffusion processes 6 factor 6 forecasting 6 macroeconometrics 6 nonlinear causality 6 proxy 6
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Online availability
All
Undetermined 56 Free 45
Type of publication
All
Article 78 Book / Working Paper 57
Type of publication (narrower categories)
All
Article in journal 57 Aufsatz in Zeitschrift 57 Working Paper 21 Graue Literatur 7 Non-commercial literature 7 Arbeitspapier 4 Article 3 Hochschulschrift 3 Aufsatzsammlung 1 Collection of articles written by one author 1 Conference paper 1 Konferenzbeitrag 1 Sammlung 1 research-article 1
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Language
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English 91 Undetermined 43 Russian 1
Author
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Corradi, Valentina 26 Swanson, Norman R. 25 Swanson, Norman 13 Armah, Nii Ayi 8 Bhardwaj, Geetesh 6 DeMiguel, Victor 5 Nogales, Francisco J. 5 Abid, Fathi 3 Alwan, Layth C. 3 Frahm, Gabriel 3 Garlappi, Lorenzo 3 Göb, Rainer 3 Homburg, Annika 3 Koeppel, Christian 3 Levy, Haim 3 Levy, Moshe 3 Lönnbark, Carl 3 Mroua, Mourad 3 Poddig, Thorsten 3 Siegel, Andrew F. 3 Uppal, Raman 3 Caccioli, Fabio 2 Choudhary, Preeti 2 Füss, Roland 2 Koester, Allison 2 Kondor, Imre 2 Lorentzen, Sindre 2 Martin-Utrera, Alberto 2 Miebs, Felix 2 Oglend, Atle 2 Osmundsen, Petter 2 Palczewski, Jan 2 Unger, Albina 2 Utrera, Alberto Martín 2 Wagner, Michael R. 2 Wang, Tan 2 Weiß, Christian H. 2 Yao, Wenying 2 Appert-Raullin, Yannick 1 Auer, Benjamin R. 1
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Institution
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Department of Economics, Rutgers University-New Brunswick 14 HAL 3 Institutionen för Nationalekonomi, Umeå Universitet 3 Bank for International Settlements (BIS) 2 C.E.P.R. Discussion Papers 2 Departamento de Estadistica, Universidad Carlos III de Madrid 2 Econometric Society 2 Business School, University of Exeter 1 Department of Econometrics and Business Statistics, Monash Business School 1 Department of Economics and Business, Universitat Pompeu Fabra 1 EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X) 1 London School of Economics (LSE) 1
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Published in...
All
Working Paper 16 Departmental Working Papers / Department of Economics, Rutgers University-New Brunswick 14 Journal of risk 4 European journal of operational research : EJOR 3 Finance research letters 3 Management science : journal of the Institute for Operations Research and the Management Sciences 3 Operations research 3 Quantitative finance 3 Umeå Economic Studies 3 BIS Working Papers 2 CEPR Discussion Papers 2 Econometric Society 2004 North American Winter Meetings 2 Empirical economics : a quarterly journal of the Institute for Advanced Studies 2 European Journal of Operational Research 2 Handbook of economic forecasting ; 1 2 International Journal of Managerial Finance 2 International journal of production research 2 International journal of theoretical and applied finance 2 Journal of banking & finance 2 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 2 Journal of investment management : JOIM 2 Management Science 2 Post-Print / HAL 2 Statistics and Econometrics Working Papers 2 Annals of Economics and Finance 1 Applied economics 1 Auditing : a journal of practice & theory 1 Belorusskij ėkonomičeskij žurnal : ežekvartalʹnyj naučno-praktičeskij žurnal 1 CESifo Working Paper 1 CESifo working papers 1 Discussion Papers / Business School, University of Exeter 1 ERIM Ph. D. series research in management / Erasmus Institute of Management 1 Econometric Reviews 1 Econometrics 1 Econometrics : open access journal 1 EconomiX Working Papers 1 Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 1 Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets 1 Financial Markets and Portfolio Management 1 Financial markets and portfolio management 1
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Source
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ECONIS (ZBW) 66 RePEc 47 EconStor 20 BASE 1 Other ZBW resources 1
Showing 71 - 80 of 135
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Hedging with futures : does anything beat the naïve hedging strategy?
Wang, Yudong; Wu, Chongfeng; Li, Yang - In: Management science : journal of the Institute for … 61 (2015) 12, pp. 2870-2889
Persistent link: https://www.econbiz.de/10011413497
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Guaranteed conditional performance of the S² control chart with estimated parameters
Faraz, Alireza; Woodalli, William H.; Heuchenne, C. - In: International journal of production research 53 (2015) 14, pp. 4405-4413
Persistent link: https://www.econbiz.de/10011302756
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Analiz vremennych rjadov i osobennosti maloj otkrytoj ėkonomiki pri prognozirovanii nalogovych postuplenij
Deduševa, M. V. - In: Belorusskij ėkonomičeskij žurnal : ežekvartalʹnyj … (2015) 4, pp. 126-142
Persistent link: https://www.econbiz.de/10011456155
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Fast rates for estimation error and oracle inequalities for model section
Bartlett, Peter L. - 2008
, however, where complexity penalties like this give loose upper bounds on the estimation error. In particular, if we choose a … function from a suitably simple convex function class with a strictly convex loss function, then the estimation error (the … models is ordered by inclusion, in these cases we can use tight upper bounds on estimation error as a complexity penalty …
Persistent link: https://www.econbiz.de/10009483398
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A Corrected Value-at-Risk Predictor
Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2008
In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of …
Persistent link: https://www.econbiz.de/10005651967
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Portfolio revision and optimal diversification strategy choices
Mroua, Mourad; Abid, Fathi - In: International Journal of Managerial Finance 10 (2014) 4, pp. 537-564
Purpose – Since equity markets have a dynamic nature, the purpose of this paper is to investigate the performance of a revision procedure for domestic and international portfolios, and provides an empirical selection strategy for optimal diversification from an American investor's point of...
Persistent link: https://www.econbiz.de/10014785585
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Theoretical and empirical estimates of mean–variance portfolio sensitivity
Palczewski, Andrzej; Palczewski, Jan - In: European Journal of Operational Research 234 (2014) 2, pp. 402-410
This paper studies properties of an estimator of mean–variance portfolio weights in a market model with multiple risky assets and a riskless asset. Theoretical formulas for the mean square error are derived in the case when asset excess returns are multivariate normally distributed and...
Persistent link: https://www.econbiz.de/10010730173
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Portfolio revision and optimal diversification strategy choices
Mroua, Mourad; Abid, Fathi - In: International Journal of Managerial Finance 10 (2014) August, pp. 537-564
Purpose –Since equity markets have a dynamic nature, the purpose of this paper is to investigate the performance of a revision procedure for domestic and international portfolios, and provides an empirical selection strategy for optimal diversification from an American investor's point of...
Persistent link: https://www.econbiz.de/10010891210
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The benefits of differential variance-based constraints in portfolio optimization
Levy, Haim; Levy, Moshe - In: European Journal of Operational Research 234 (2014) 2, pp. 372-381
The main problem of portfolio optimization is parameter estimation error. Various methods have been suggested to … standard deviation, the higher the potential estimation error of its parameters, and therefore the tighter the constraint …
Persistent link: https://www.econbiz.de/10011052537
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Adjusting MV-efficient portfolio frontier bias for skewed and non-mesokurtic returns
Huang, Hung-Hsi; Lin, Shin-Hung; Wang, Ching-Ping; … - In: The North American Journal of Economics and Finance 29 (2014) C, pp. 59-83
variance estimation error in Taiwan stock market. Although Siegel and Woodgate (2007; Management Science, 53, 1005–1015) and …
Persistent link: https://www.econbiz.de/10010931456
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