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  • Search: subject:"conditional expectations"
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Year of publication
Subject
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conditional expectations 12 Conditional expectations 10 Theorie 6 Theory 6 Unpredictability 4 Atomic probability measure 3 Distributional shifts 3 Forecast failure 3 Gibbs sampling 3 Graphical models 3 Intersection property 3 Iterated conditional expectations 3 Model selection 3 Risiko 3 Risk 3 Alternating conditional expectations 2 Consumption Euler equation 2 Continuous wavelet transformation 2 Erwartungsbildung 2 Estimation theory 2 Expectation formation 2 Keynesian consumption function 2 Mathematical programming 2 Mathematische Optimierung 2 Nonlinear cointegration 2 Option pricing theory 2 Optionspreistheorie 2 Portfolio selection 2 Portfolio-Management 2 Risikomaß 2 Risk measure 2 Schätztheorie 2 Stochastic process 2 Stochastischer Prozess 2 Stock prices 2 Time series analysis 2 Volatility 2 Volatilität 2 Zeitreihenanalyse 2 financial crisis 2
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Online availability
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Free 15 Undetermined 14 CC license 1
Type of publication
All
Article 20 Book / Working Paper 12
Type of publication (narrower categories)
All
Article in journal 9 Aufsatz in Zeitschrift 9 Working Paper 3 Graue Literatur 2 Non-commercial literature 2 Arbeitspapier 1 Article 1 Conference paper 1 Konferenzbeitrag 1 Thesis 1
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Language
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English 18 Undetermined 14
Author
All
Mizon, Grayham E. 5 Berti, Patrizia 3 Hendry, David F. 3 Pratelli, Luca 3 Rigo, Pietro 3 Boug, Pål 2 Cappelen, Ådne 2 Gopinathan, R. 2 Hendry, David 2 Jansen, Eilev S. 2 Swensen, Anders Rygh 2 ATANASIU, Virginia 1 Ackooij, Wim van 1 Alòs, Elisa 1 Bemmaor, Albert C. 1 Bryc, Wlodzimierz 1 Chen, Xiaohong 1 Durai S., Raja Sethu 1 Durai, S. Raja Sethu 1 Fournié, Eric 1 Gao, Niushan 1 Gatheral, Jim 1 Graaf, Cornelis S. L. de 1 Hansen, Lars Peter 1 Kandhai, D. 1 Kast, Robert 1 Lapied, André 1 Lasry, Jean-Michel 1 Lebuchoux, Jérôme 1 Leung, Denny H. 1 Lions, Pierre-Louis 1 Love, David R.F. 1 Marumo, Kohei 1 Meddahi, Nour 1 Morrison, Donald G. 1 Munari, Cosimo-Andrea 1 Navarro, J. 1 Neděla, David 1 Ortobelli Lozza, Sergio 1 Piermont, Evan 1
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Institution
All
Department of Economics, Oxford University 2 Cowles Foundation for Research in Economics, Yale University 1 Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia 1 Econometric Society 1 Economics Group, Nuffield College, University of Oxford 1 HAL 1
Published in...
All
Annals of the Institute of Statistical Mathematics 2 Economics Series Working Papers / Department of Economics, Oxford University 2 Quaderni di Dipartimento 2 Quantitative finance 2 Computational economics 1 Cowles Foundation Discussion Papers 1 Discussion Papers 1 Discussion papers / Statistics Norway, Research Department 1 EURO journal on computational optimization 1 Econometric Society 2004 North American Winter Meetings 1 Economic Theory 1 Economics Papers / Economics Group, Nuffield College, University of Oxford 1 Finance and Stochastics 1 Finance and stochastics 1 Financial Innovation 1 Financial innovation : FIN 1 International Journal of Computational Economics and Econometrics 1 Journal of Econometrics 1 Journal of econometrics 1 Journal of economic theory 1 Marketing Science 1 Quaderni del Dipartimento 1 Risk management : a journal of risk, crisis and disaster 1 Romanian Statistical Review Supplement 1 Statistics & Probability Letters 1 Statistics & Risk Modeling 1 Working Papers / HAL 1
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Source
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RePEc 16 ECONIS (ZBW) 11 EconStor 3 BASE 1 Other ZBW resources 1
Showing 1 - 10 of 32
Cover Image
Dynamic return scenario generation approach for large-scale portfolio optimisation framework
Neděla, David; Ortobelli Lozza, Sergio; Tichý, Tomáš - In: Computational economics 65 (2025) 2, pp. 819-843
Persistent link: https://www.econbiz.de/10015589859
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The consumption Euler equation or the Keynesian consumption function?
Boug, Pål; Cappelen, Ådne; Jansen, Eilev S.; Swensen, … - 2019
considering conditional expectations of future consumption and income in CVAR models. Only habit formation seems important in …
Persistent link: https://www.econbiz.de/10012005478
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Stock market and macroeconomic variables : new evidence from India
Gopinathan, R.; Durai S., Raja Sethu - In: Financial innovation : FIN 5 (2019) 29, pp. 1-17
transformation that extracts the actual functional relationship between these variables using the alternating conditional … expectations algorithm of (J Am Stat Assoc 80:580–598, 1985) identifies strong evidence of cointegration and indicates nonlinearity …
Persistent link: https://www.econbiz.de/10012267017
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Unforeseen evidence
Piermont, Evan - In: Journal of economic theory 193 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10012807280
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Stock market and macroeconomic variables: New evidence from India
Gopinathan, R.; Durai, S. Raja Sethu - In: Financial Innovation 5 (2019) 1, pp. 1-17
transformation that extracts the actual functional relationship between these variables using the alternating conditional … expectations algorithm of (J Am Stat Assoc 80:580-598, 1985) identifies strong evidence of cointegration and indicates nonlinearity …
Persistent link: https://www.econbiz.de/10012602823
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On conditional cuts for stochastic dual dynamic programming
Ackooij, Wim van; Warin, Xavier - In: EURO journal on computational optimization 8 (2020) 2, pp. 173-199
Persistent link: https://www.econbiz.de/10012240037
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Another look at the implied and realised volatility relation : a copula-based approach
Pérez Rodríguez, Jorge V. - In: Risk management : a journal of risk, crisis and disaster 22 (2020) 1, pp. 38-64
Persistent link: https://www.econbiz.de/10012297596
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Cover Image
The consumption Euler equation or the Keynesian consumption function?
Boug, Pål; Cappelen, Ådne; Jansen, Eilev S.; Swensen, … - 2019
considering conditional expectations of future consumption and income in CVAR models. Only habit formation seems important in …
Persistent link: https://www.econbiz.de/10012145546
Saved in:
Cover Image
Exponentiation of conditional expectations under stochastic volatility
Alòs, Elisa; Gatheral, Jim; Radoičić, Radoš - In: Quantitative finance 20 (2020) 1, pp. 13-27
Persistent link: https://www.econbiz.de/10012194851
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Efficient exposure computation by risk factor decomposition
Graaf, Cornelis S. L. de; Kandhai, D.; Reisinger, Christoph - In: Quantitative finance 18 (2018) 10, pp. 1657-1678
Persistent link: https://www.econbiz.de/10012259857
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