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subject:"Zeitreihenanalyse"
~subject:"Kapitaleinkommen"
~subject:"Statistical distribution"
~isPartOf:"Finance research letters"
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Zeitreihenanalyse
Kapitaleinkommen
Statistical distribution
Estimation theory
58
Schätztheorie
58
Estimation
17
Schätzung
17
Portfolio selection
14
Portfolio-Management
14
Capital income
13
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Ardia, David
2
Auer, Benjamin R.
2
De Luca, Giovanni
2
Rivieccio, Giorgia
2
Schuhmacher, Frank
2
Arnerić, Josip
1
Beechey, Meredith Jane
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Finance research letters
Journal of econometrics
382
Econometric theory
181
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
173
Economics letters
163
Discussion paper / Tinbergen Institute
113
Econometric reviews
109
International journal of forecasting
74
Working paper / Department of Econometrics and Business Statistics, Monash University
66
CREATES research paper
64
Journal of forecasting
62
Applied economics letters
58
Econometrics : open access journal
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of the American Statistical Association : JASA
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Insurance / Mathematics & economics
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NBER Working Paper
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The econometrics journal
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
47
Cowles Foundation discussion paper
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
45
Applied economics
42
Computational economics
41
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40
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
40
Journal of empirical finance
40
Journal of time series econometrics
39
Série des documents de travail / Centre de Recherche en Économie et Statistique
37
CEMMAP working papers / Centre for Microdata Methods and Practice
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Discussion paper / Center for Economic Research, Tilburg University
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NBER working paper series
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Journal of applied econometrics
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SFB 649 discussion paper
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Journal of risk and financial management : JRFM
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LSE STICERD Research Paper
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Oxford bulletin of economics and statistics
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Statistics in transition : an international journal of the Polish Statistical Association
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Discussion papers of interdisciplinary research project 373
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1
Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization
Bongiorno, Christian
;
Challet, Damien
- In:
Finance research letters
52
(
2023
),
pp. 1-5
Persistent link: https://www.econbiz.de/10014472232
Saved in:
2
LIBOR meets machine learning : A Lasso regression approach to detecting data irregularities
Pontines, Victor
;
Rummel, Ole
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-5
Persistent link: https://www.econbiz.de/10014473047
Saved in:
3
Estimating the US trend short-term interest rate
Beechey, Meredith Jane
;
Österholm, Pär
;
Poon, Aubrey
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-8
Persistent link: https://www.econbiz.de/10014473294
Saved in:
4
An improved FIGARCH model with the fractional differencing operator (1-νL>)d
Pan, Qunxing
;
Li, Peng
;
Du, Xiuli
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-13
Persistent link: https://www.econbiz.de/10014473485
Saved in:
5
Do extreme range estimators improve realized volatility forecasts? : evidence from G7 Stock Markets
Korkusuz, Burak
;
Kambouroudis, Dimos
;
McMillan, David G.
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-7
Persistent link: https://www.econbiz.de/10014473523
Saved in:
6
Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures
Hartkopf, Jan Patrick
;
Reh, Laura
- In:
Finance research letters
56
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014473708
Saved in:
7
Correlation impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Finance research letters
57
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014513333
Saved in:
8
S&P volatility, VIX, and asymptotic volatility estimates
Bonaparte, Yosef
;
Chatrath, Arjun
;
Christie-David, Rohan
- In:
Finance research letters
51
(
2023
),
pp. 1-5
Persistent link: https://www.econbiz.de/10014286751
Saved in:
9
A discussion on the robustness of conditional heteroskedasticity models : simulation evidence and applications of the crude oil returns
Shi, Yanlin
- In:
Finance research letters
44
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014494772
Saved in:
10
Modelling bursts and chaos regularization in credit risk with a deterministic nonlinear model
Orlando, Giuseppe
;
Bufalo, Michele
- In:
Finance research letters
47
(
2022
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10013455602
Saved in:
11
A realized EGARCH-MIDAS model with higher moments
Wu, Xinyu
;
Xie, Haibin
- In:
Finance research letters
38
(
2021
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012485028
Saved in:
12
A bootstrap test for predictability of asset returns
Kim, Jae H.
;
Shamsuddin, Abul
- In:
Finance research letters
35
(
2020
),
pp. 1-7
Persistent link: https://www.econbiz.de/10012438374
Saved in:
13
Mispricing, returns and the quest for parsimony
Rudkin, Wanling
- In:
Finance research letters
37
(
2020
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012484942
Saved in:
14
Comparison of range-based volatility estimators against integrated volatility in European emerging markets
Arnerić, Josip
;
Matković, Mario
;
Sorić, Petar
- In:
Finance research letters
28
(
2019
),
pp. 118-124
Persistent link: https://www.econbiz.de/10012388033
Saved in:
15
Model comparison tests of linear factor models in U.K. stock returns
Fletcher, Jonathan
- In:
Finance research letters
28
(
2019
),
pp. 281-291
Persistent link: https://www.econbiz.de/10012388326
Saved in:
16
Regime changes in Bitcoin GARCH volatility dynamics
Ardia, David
;
Bluteau, Keven
;
Rüede, Maxime
- In:
Finance research letters
29
(
2019
),
pp. 266-271
Persistent link: https://www.econbiz.de/10012419095
Saved in:
17
Optimization of multi-period portfolio model after fitting best distribution
Kamali, Rezvan
;
Mahmoodi, Safieh
;
Jahandideh, Mohammad-Taghi
- In:
Finance research letters
30
(
2019
),
pp. 44-50
Persistent link: https://www.econbiz.de/10012420187
Saved in:
18
Assessing tail risk for nonlinear dependence of MSCI sector indices : a copula three-stage approach
De Luca, Giovanni
;
Guégan, Dominique
;
Rivieccio, Giorgia
- In:
Finance research letters
30
(
2019
),
pp. 327-333
Persistent link: https://www.econbiz.de/10012420870
Saved in:
19
A note on Guo and Xiao's (2016) results on monotonic functions of the Sharpe ratio
Auer, Benjamin R.
- In:
Finance research letters
24
(
2018
),
pp. 289-290
Persistent link: https://www.econbiz.de/10011982607
Saved in:
20
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
Saved in:
21
Unit root quantile autoregression testing with smooth structural changes
Li, Haiqi
;
Zheng, Chaowen
- In:
Finance research letters
25
(
2018
),
pp. 83-89
Persistent link: https://www.econbiz.de/10012003465
Saved in:
22
Strike asymptotics for Laplace implied volatilities
Madan, Dilip B.
;
Wang, King
- In:
Finance research letters
25
(
2018
),
pp. 183-189
Persistent link: https://www.econbiz.de/10012003516
Saved in:
23
Moments of standardized Fernandez-Steel skewed distributions : applications to the estimation of GARCH-type models
Trottier, Denis-Alexandre
;
Ardia, David
- In:
Finance research letters
18
(
2016
),
pp. 311-316
Persistent link: https://www.econbiz.de/10011657263
Saved in:
24
Evaluating monthly volatility forecasts using proxies at different frequencies
Ñíguez, Trino-Manuel
- In:
Finance research letters
17
(
2016
),
pp. 41-47
Persistent link: https://www.econbiz.de/10011596208
Saved in:
25
Copula function approaches for the analysis of serial and cross dependence in stock returns
Rivieccio, Giorgia
;
De Luca, Giovanni
- In:
Finance research letters
17
(
2016
),
pp. 55-61
Persistent link: https://www.econbiz.de/10011596218
Saved in:
26
The sharpe ratio of estimated efficient portfolios
Kourtis, Apostolos
- In:
Finance research letters
17
(
2016
),
pp. 72-78
Persistent link: https://www.econbiz.de/10011596225
Saved in:
27
Performance hypothesis testing with the sharpe ratio : the case of hedge funds
Auer, Benjamin R.
;
Schuhmacher, Frank
- In:
Finance research letters
10
(
2013
)
4
,
pp. 196-208
Persistent link: https://www.econbiz.de/10010252332
Saved in:
28
Robust estimation of skewness and kurtosis in distributions with infinite higher moments
Bonato, Matteo
- In:
Finance research letters
8
(
2011
)
2
,
pp. 77-87
Persistent link: https://www.econbiz.de/10009301294
Saved in:
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