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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
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Undetermined 56 Free 45
Type of publication
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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 41 - 50 of 135
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One-Year Volatility of Reserve Risk in a Multivariate Framework
Appert-Raullin, Yannick; Devineau, Laurent; Pichevin, … - HAL - 2013
The one-year prediction error (one-year MSEP) proposed by Merz and Wüthrich has become a market-standard approach for the assessment of reserve volatilities for Solvency II purposes. However, this approach is declined in a univariate framework. Moreover, Braun proposed a closed-formed...
Persistent link: https://www.econbiz.de/10010899719
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Parameter uncertainty in multiperiod portfolio optimization with transaction costs
Miguel, Victor de; Utrera, Alberto Martín; Nogales, … - Departamento de Estadistica, Universidad Carlos III de … - 2013
We study the impact of parameter uncertainty in multiperiod portfolio selection with trading costs. We analytically characterize the expected loss of a multiperiod investor, and we find that it is equal to the product of two terms. The first term corresponds with the single-period utility loss...
Persistent link: https://www.econbiz.de/10010668411
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A robust perspective on transaction costs in portfolio optimization
Olivares-Nadal, Alba V.; DeMiguel, Victor - In: Operations research 66 (2018) 3, pp. 733-739
Persistent link: https://www.econbiz.de/10011884278
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A parametric bootstrap to evaluate portfolio allocation models
Boynton, Wentworth; Chen, Fang - In: Finance research letters 25 (2018), pp. 76-82
Persistent link: https://www.econbiz.de/10012003460
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Estimation risk for value-at-risk and expected shortfall
Kabaila, Paul; Mainzer, Rheanna - In: Journal of risk 20 (2017/2018) 3, pp. 29-47
Persistent link: https://www.econbiz.de/10011847463
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Is high active share always good?
De Rossi, Giuliano; Brar, Gurvinder - In: The journal of asset management 19 (2018) 7, pp. 460-471
Persistent link: https://www.econbiz.de/10011958126
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Estimation error in mean returns and the mean-variance efficient frontier
Simaan, Majeed; Simaan, Yusif E.; Tang, Yi - In: International review of economics & finance : IREF 56 (2018), pp. 109-124
Persistent link: https://www.econbiz.de/10012033674
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Portfolio optimization under Expected Shortfall : contour maps of estimation error
Caccioli, Fabio; Kondor, Imre; Papp, Gábor - In: Quantitative finance 18 (2018) 8, pp. 1295-1313
Persistent link: https://www.econbiz.de/10011911538
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Data envelopment analysis in satisfaction survey research : sample size problem
Tapia, Jesús Alberto; Salvador, Bonifacio; Rodríguez, … - In: Journal of the Operational Research Society 69 (2018) 7, pp. 1096-1104
Persistent link: https://www.econbiz.de/10012226547
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VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors
Poskitt, D.S.; Yao, Wenying - Department of Econometrics and Business Statistics, … - 2012
basic components, an estimation error that stems from the difference between the parameter estimates and their population … characterize, so called, truncation effects. Our theoretical analysis indicates that the magnitude of the estimation error exceeds … in practice the approximation error approaches its asymptotic position far more slowly than does the estimation error …
Persistent link: https://www.econbiz.de/10010543599
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