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  • Search: subject:"Variance-covariance"
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Year of publication
Subject
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Theorie 13 Theory 11 Portfolio selection 9 Portfolio-Management 9 Risikomaß 9 Risk measure 9 Prognoseverfahren 7 Risikomanagement 7 simulation 7 Monte Carlo simulation 6 Risk management 6 Simulation 6 Variance-covariance structure 6 combination of forecasts 6 Estimation theory 5 Forecasting model 5 Monte-Carlo-Simulation 5 Risiko 5 Risk 5 Schätztheorie 5 historical simulation 5 variance-covariance matrix 5 ARCH model 4 ARCH-Modell 4 VaR 4 Value at Risk 4 value-at-risk 4 variance-covariance 4 VAR model 3 VAR-Modell 3 Varianzanalyse 3 variance-covariance method 3 Aktienmarkt 2 Analysis of variance 2 Capital income 2 Correlation 2 Discrete Mixtures 2 EM Algorithm 2 EWMA (Exponentially Weighted Moving Average) 2 Estimation 2
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Online availability
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Free 25 Undetermined 22
Type of publication
All
Article 34 Book / Working Paper 20
Type of publication (narrower categories)
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Article in journal 18 Aufsatz in Zeitschrift 18 Working Paper 7 Arbeitspapier 5 Graue Literatur 5 Non-commercial literature 5 Thesis 2 Article 1
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Language
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English 27 Undetermined 22 Spanish 2 German 1 Lithuanian 1 Slovak 1
Author
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Klapper, Matthias 6 Betancourt Bejarano, Katherine 2 Gallali, Med Imen 2 García Díaz, Carlos Mario 2 Lanot, Gauthier 2 Lozano Riaño, Viviana 2 Mohanty, Madhu Sudan 2 Zahraa, Raggad 2 ANGHEL, Madalina Gabriela 1 ATOMEI, Alexandru 1 Anouncia, S. Margret 1 Arnold, Tom 1 Balasubramanian, G. 1 Barnett, Adrian G. 1 Barz, Till 1 Becker, Ralf 1 Bhatia, Parul 1 Bruno, Giovanni S. F. 1 Bruno, Giovanni S.F. 1 Burdorf, Tom 1 Chen, Chao 1 Chen, Jianming 1 Chen, Nan 1 Clements, Adam 1 Colivicchi, Ilaria 1 Crane, Martin 1 Do, Trung K. 1 Dobson, Annette J. 1 Dong, Zibo 1 Dutilleul, P. 1 El Din, Mohamed Bahaa 1 Eldomiaty, Tarek Ibrahim 1 Feng, Jichuang 1 Gallagher, Liam 1 Gao, Lijun 1 Garvey, John 1 Gottwald, Radim 1 Gu, Chaojun 1 Gupta, Priya 1 Harris, Richard D.F. 1
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Institution
All
Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 2 Banque de France 1 Centre for Economic Research, School of Economics and Management Studies 1 East Asian Bureau of Economic Research (EABER) 1 EconWPA 1 HAL 1 KITeS, Centre for Knowledge, Internationalization and Technology Studies, Universita' Bocconi, Milano, Italy 1 National Centre for Econometric Research (NCER) 1 Provozně ekonomická fakulta, Mendelova Univerzita v Brnĕ 1 Siauliai University 1 Society for Computational Economics - SCE 1 Universitätsverlag Potsdam 1
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Published in...
All
Journal of Applied Statistics 2 Technical Report 2 Technical Reports / Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 2 Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 2 Applied economics 1 Asia-Pacific financial markets 1 Asia-Pacific journal of management research and innovation : APJMRI 1 Atlantic Review of Economics 1 Atlantic review of economics : AROE 1 Computing in Economics and Finance 2004 1 Database Systems Journal 1 Development Economics Working Papers 1 Discussion paper series : discussion paper 1 Econometrics 1 Economics letters 1 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 1 International Journal of Ambient Computing and Intelligence (IJACI) 1 International Journal of Financial Services Management 1 International Journal of Forecasting 1 International journal of financial engineering 1 International journal of financial services management : IJFSM 1 International journal of forecasting 1 Investment management and financial innovations 1 Journal of International Money and Finance 1 Journal of behavioral and experimental economics 1 Journal of economic development 1 Journal of financial education 1 Journal of mathematical finance 1 KITeS Working Papers 1 Keele Economics Research Papers 1 MENDELU Working Papers in Business and Economics 1 NCER Working Paper Series 1 Physica A: Statistical Mechanics and its Applications 1 Politická ekonomie 1 Post-Print / HAL 1 Psychometrika 1 Renewable Energy 1 Romanian Statistical Review Supplement 1 Stata Journal 1 Statistics & Probability Letters 1
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Source
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RePEc 24 ECONIS (ZBW) 23 BASE 3 EconStor 3 Other ZBW resources 1
Showing 1 - 10 of 54
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Regularized robust strategic asset allocation under stochastic variance-covariance of asset returns
Kikuchi, Kentaro; Kusuda, Koji - 2024
Persistent link: https://www.econbiz.de/10014549549
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Herausforderungen des finanziellen Risikomanagements : eine empirische Untersuchung des Value at Risk-Ansatzes in Stresssituationen
Barz, Till; Nastansky, Andreas - 2024
Die Quantifizierung und Begrenzung extremer Wertverluste sind von zentraler Bedeutung für das finanzielle Risikomanagement. Besonders während volatiler Marktphasen tendieren traditionelle Risikomaße dazu, Risiken fehlerhaft einzuschätzen. Die Arbeit untersucht die Risikomaße Value at Risk...
Persistent link: https://www.econbiz.de/10015121111
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Investment portfolio optimization based on modern portfolio theory and deep learning models
Wysocki, Maciej; Sakowski, Paweł - 2022
Persistent link: https://www.econbiz.de/10013473216
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Likelihood-based inference in temporal hierarchies
Møller, Jan Kloppenborg; Nystrup, Peter; Madsen, Henrik - In: International journal of forecasting 40 (2024) 2, pp. 515-531
Persistent link: https://www.econbiz.de/10014547174
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Portfolio optimization with VaR approach : a comparative analysis for Japan, London, New York and India
Bhatia, Parul; Gupta, Priya - In: Theoretical and applied economics : GAER review 27 (2020) 4/625, pp. 245-262
Persistent link: https://www.econbiz.de/10012692462
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On the consistency of the logistic quasi-MLE under conditional symmetry
Wooldridge, Jeffrey M. - In: Economics letters 194 (2020), pp. 1-4
Persistent link: https://www.econbiz.de/10012509308
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Effects of job satisfaction on the worker's wage and weekly hours : a simultaneous equations approach
Mohanty, Madhu Sudan - In: Journal of behavioral and experimental economics 79 (2019), pp. 27-42
Persistent link: https://www.econbiz.de/10012240854
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Step-by-step computation of corrected asymptotic variance-covariance matrices of two-stage estimators in a simultaneous equations model with a mixture of four continuous and binary...
Mohanty, Madhu Sudan - In: Applied economics 51 (2019) 21, pp. 2249-2265
Persistent link: https://www.econbiz.de/10012196674
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Forecasting the impact of information security breaches on stock market returns and VaR backtest
Colivicchi, Ilaria; Vignaroli, Riccardo - In: Journal of mathematical finance 9 (2019) 3, pp. 402-454
Persistent link: https://www.econbiz.de/10012210337
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A test for joint market efficiency from an investor’s perspective
Viswanathan, Lakshmi; Maheswaran, S.; Balasubramanian, G. - In: Theoretical economics letters 9 (2019) 5, pp. 1518-1533
Persistent link: https://www.econbiz.de/10012104496
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