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type_genre:"Aufsatz im Buch"
~subject:"Portfolio selection"
~subject:"Stochastic process"
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Handbook of financial time series
5
Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds
4
Risk measurement, econometrics and neural networks : selected articles of the 6th Econometric-Workshop in Karlsruhe, Germany
3
Essays in honor of Joon Y. Park : econometric theory
2
Risk assessment : decisions in banking and finance
2
Advanced Mathematical Methods for Economic Efficiency Analysis : Theory and Empirical Applications
1
Advanced mathematical methods for finance
1
Alternative investments and strategies : credit, derivatives, CPPI, investments, risk
1
Annals of operations research ; volume 244, number 2 (September 2016)
1
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1
Beschäftigungsanalysen mit den Daten des IAB-Betriebspanels : Tagungsband ; Beiträge zum Workshop des IAB und IWH 2005
1
Betriebswirtschaftliche Anwendungen des Soft Computing : neuronale Netze, Fuzzy-Systeme und evolutionäre Algorithmen
1
Crisis, credit and resource misallocation : evidence from Europe during the Great Recession : 1st Policy Research Conference of the European Central Banking Network
1
Data envelopment analysis in the service sector
1
Econometric analysis of financial and economic time series ; part a
1
Econometrics and economic theory in the 20th century : the Ragnar Frisch Centennial Symposium
1
Econometrics in theory and practice : Festschrift for Hans Schneeweiß ; with 33 tables
1
Economic dynamics : theory, games and empirical studies
1
Encyclopedia of economics research ; Vol. 1
1
Forecasting expected returns in the financial markets
1
Global information technology and competitive financial alliances
1
Identification and inference for econometric models : essays in honor of Thomas Rothenberg
1
Informationssysteme in der Finanzwirtschaft : mit 35 Tabellen
1
Mathematische Methoden der Wirtschaftswissenschaften : Festschrift für Otto Opitz
1
Modelling techniques for financial markets and bank management
1
Multiple criteria decision making : proceedings of the 12th International Conference, Hagen (Germany)
1
New econometric modelling research
1
New operational approaches for financial modelling
1
Nonlinear economic models : cross-sectional, times series and neural network applications
1
Operations research proceedings 2001 : selected papers of the International Conference on Operations Research (OR 2001) ; Duisburg, September 3-5, 2001 ; with 38 tables
1
Operations research proceedings 2002 : selected papers of the International Conference on Operations Research (SOR 2002) ; Klagenfurt, September 2 - 5, 2002 ; with 51 tables
1
Operations research proceedings 2010 : selected papers of the annual International Conference of the German Operations Research Society (GOR) at Universität der Bundeswehr München, September 1 - 3, 2010
1
Reliability and quality management in stochastic systems
1
Risk management decisions and wealth management in financial economics
1
Robustness in econometrics
1
Selected papers of the Symposium on Operations Research (SOR'97) : Jena, September 3 - 5, 1997
1
Statistical inference, econometric analysis and matrix algebra : Festschrift in honour of Götz Trenkler
1
The Oxford handbook of Bayesian econometrics
1
Topics in identification, limited dependent variables, partial observability, experimentation, and flexible modelling ; Part A
1
Uncertainty analysis in econometrics with applications : [This volume contains papers presented at TES 2013 - The Sixth International Conference of the Thailand Econometric Society, which is held in Chiang Mai, Thailand, during January 10th - 11th, 2013 ...]
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Asymptotic properties of the least squares estimator in local to unity processes with fractional Gaussian noise
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Essays in honor of Joon Y. Park : econometric theory
,
(pp. 73-95)
.
2023
Persistent link: https://www.econbiz.de/10014313249
Saved in:
2
A sequential test for a unit root in monitoring a p-th order autoregressive process
Hitomi, Kohtaro
;
Nagai, Keiji
;
Nishiyama, Yoshihiko
; …
- In:
Essays in honor of Joon Y. Park : econometric theory
,
(pp. 115-153)
.
2023
Persistent link: https://www.econbiz.de/10014313472
Saved in:
3
A hierarchical panel data model for the estimation of stochastic metafrontiers : computational issues and an empirical application
Amsler, Christine Elaine
;
Chen, Yi Yi
;
Schmidt, Peter
; …
- In:
Advanced Mathematical Methods for Economic Efficiency …
,
(pp. 183-195)
.
2023
Persistent link: https://www.econbiz.de/10014316966
Saved in:
4
Reliability estimation for a stochastic production system with finite buffer storage by a simulation approach
Chang, Ping-Chen
- In:
Reliability and quality management in stochastic systems
,
(pp. 119-133)
.
2019
Persistent link: https://www.econbiz.de/10012030108
Saved in:
5
A simple efficient moment-based estimator for the stochastic volatility model
Ahsan, Nazmul
;
Dufour, Jean-Marie
-
2019
Persistent link: https://www.econbiz.de/10012244154
Saved in:
6
Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier
Ben Salah, Hanene
;
Chaouch, Mohamed
;
Gannoun, Ali
- In:
Risk management decisions and wealth management in …
,
(pp. 653-681)
.
2018
Persistent link: https://www.econbiz.de/10011871715
Saved in:
7
The efficiency of banks’ credit portfolio allocation : an application of kernel density estimation on a panel of Albanian banking system data
Tanku, Altin
;
Dushku, Elona
;
Ceca, Kliti
- In:
Crisis, credit and resource misallocation : evidence …
,
(pp. 171-203)
.
2017
Persistent link: https://www.econbiz.de/10011643699
Saved in:
8
Analysis of global competitiveness using copula-based stochastic frontier kink model
Paravee Maneejuk
;
Woraphon Yamaka
;
Songsak Sriboonchitta
- In:
Robustness in econometrics
,
(pp. 543-559)
.
2017
Persistent link: https://www.econbiz.de/10011801844
Saved in:
9
Multi-period cardinality constrained portfolio selection models with interval coefficients
Liu, Yong-Jun
;
Zhang, Wei-guo
;
Wang, Jun-Bo
-
2016
Persistent link: https://www.econbiz.de/10011547224
Saved in:
10
A test for strict stationarity
Lima, Luiz Renato
;
Néri, Breno de Andrade Pinheiro
- In:
Uncertainty analysis in econometrics with applications …
,
(pp. 17-30)
.
2013
Persistent link: https://www.econbiz.de/10009711170
Saved in:
11
Realized volatility and correlation estimators under non-Gaussian microstructure noise
Safari, Amir
;
Sun, Wei
;
Seese, Detlef G.
;
Račev, …
-
2012
Persistent link: https://www.econbiz.de/10009579904
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12
Bayesian Methods In Finance
Jacquier, Eric
;
Polson, Nicholas
- In:
The Oxford handbook of Bayesian econometrics
.
2012
Persistent link: https://www.econbiz.de/10013476734
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13
Nonparametric methods for volatility density estimation
Es, Bert van
;
Spreij, Peter
;
Zanten, Harry van
- In:
Advanced mathematical methods for finance
,
(pp. 293-312)
.
2011
Persistent link: https://www.econbiz.de/10008991285
Saved in:
14
Confidence intervals for asset correlations in the asymptotic single risk factor model
Höse, Steffi
;
Huschens, Stefan
- In:
Operations research proceedings 2010 : selected papers …
,
(pp. 111-116)
.
2011
Persistent link: https://www.econbiz.de/10009270870
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15
Estimating mixed frequency data : stochastic interpolation with preserved covariance structure
Trovik, Tørres G.
;
Kane-Janus, Couro
- In:
Interest rate models, asset allocation and quantitative …
,
(pp. 325-336)
.
2010
Persistent link: https://www.econbiz.de/10003940954
Saved in:
16
Statistical inference for sharpe ratio
Schmid, Friedrich
;
Schmidt, Rafael
- In:
Interest rate models, asset allocation and quantitative …
,
(pp. 337-357)
.
2010
Persistent link: https://www.econbiz.de/10003940957
Saved in:
17
Inference for stochastic processes
Jacod, Jean
-
2010
Persistent link: https://www.econbiz.de/10003900783
Saved in:
18
Statistical inference for sharpe ratio
Schmid, Friedrich
;
Schmidt, Rafael
- In:
Interest rate models, asset allocation and quantitative …
,
(pp. 337-357)
.
2010
Persistent link: https://www.econbiz.de/10008746585
Saved in:
19
Estimating mixed frequency data : stochastic interpolation with preserved covariance structure
Trovik, Tørres G.
;
Kane-Janus, Couro
- In:
Interest rate models, asset allocation and quantitative …
,
(pp. 325-336)
.
2010
Persistent link: https://www.econbiz.de/10008746598
Saved in:
20
On the benefits of robust asset allocation for CPPI strategies
Schöttle, Katrin
;
Werner, Ralf
- In:
Alternative investments and strategies : credit, …
,
(pp. 295-326)
.
2010
Persistent link: https://www.econbiz.de/10008655199
Saved in:
21
Realized volatility and correlation estimators under non-Gaussian microstructure noise
Safari, Amir
;
Sun, Wei
;
Seese, Detlef G.
;
Račev, …
- In:
Economic dynamics : theory, games and empirical studies
,
(pp. 171-197)
.
2009
Persistent link: https://www.econbiz.de/10003867880
Saved in:
22
Moment-based estimation of stochastic volatility models
Renault, Eric
- In:
Handbook of financial time series
,
(pp. 269-311)
.
2009
Persistent link: https://www.econbiz.de/10003833955
Saved in:
23
Parameter estimation and practical aspects of modeling stochastic volatility
Jungbacker, Borus
;
Koopman, Siem Jan
- In:
Handbook of financial time series
,
(pp. 313-344)
.
2009
Persistent link: https://www.econbiz.de/10003833957
Saved in:
24
Multivariate stochastic volatility
Chib, Siddhartha
;
Omori, Yasuhiro
;
Asai, Manabu
- In:
Handbook of financial time series
,
(pp. 365-400)
.
2009
Persistent link: https://www.econbiz.de/10003833972
Saved in:
25
Maximum likelihood and Gaussian estimation of continuous time models in finance
Phillips, Peter C. B.
;
Yu, Jun
- In:
Handbook of financial time series
,
(pp. 497-530)
.
2009
Persistent link: https://www.econbiz.de/10003834176
Saved in:
26
Parametric inference for discretely sampled stochastic differential equations
Sørensen, Michael
- In:
Handbook of financial time series
,
(pp. 531-553)
.
2009
Persistent link: https://www.econbiz.de/10003834179
Saved in:
27
Improved estimation strategy in multi-factor Vasicek model
Ahmed, S. Ejaz
;
Nkurunziza, Sévérien
;
Liu, Shuangzhe
- In:
Statistical inference, econometric analysis and matrix …
,
(pp. 255-270)
.
2009
Persistent link: https://www.econbiz.de/10003781036
Saved in:
28
A closed-form approximation of likelihood functions for discretely sampled diffusions : the exponent expansion
Capriotti, Luca
- In:
New econometric modelling research
,
(pp. 187-215)
.
2008
Persistent link: https://www.econbiz.de/10003694090
Saved in:
29
Evidence on time-varying factor models for equity portfolio construction
Ebner, Markus
;
Neumann, Thorsten
- In:
Risk assessment : decisions in banking and finance
,
(pp. 11-14)
.
2008
Persistent link: https://www.econbiz.de/10003781592
Saved in:
30
Portfolio selection with common correlation mixture models
Haas, Markus
;
Mittnik, Stefan
- In:
Risk assessment : decisions in banking and finance
,
(pp. 47-76)
.
2008
Persistent link: https://www.econbiz.de/10003781608
Saved in:
31
Moving average models for volatility and correlation, and covariance matrices
Alexander, Carol
-
2008
Persistent link: https://www.econbiz.de/10003765837
Saved in:
32
A step-by-step guide to the Black-Litterman model : incorporating user-specified confidence levels
Idzorek, Thomas
- In:
Forecasting expected returns in the financial markets
,
(pp. 17-38)
.
2007
Persistent link: https://www.econbiz.de/10003557920
Saved in:
33
Malliavin calculus for the estimation of the U.S. dollar/euro exchange rate when the volatility is stochastic
Abutaleb, Ahmed
;
Papaioannou, Michael G.
- In:
Global information technology and competitive financial …
,
(pp. 71-101)
.
2006
Persistent link: https://www.econbiz.de/10003380428
Saved in:
34
Stochastische Produktions-Frontier Modelle: ein Überblick über alternative Schätzmethoden sowie eine Anwendung auf die Produktivitätseffekte von Überstunden
Schrank, Thorsten
- In:
Beschäftigungsanalysen mit den Daten des …
,
(pp. 216-236)
.
2006
Persistent link: https://www.econbiz.de/10003344525
Saved in:
35
On a simple two-stage closed-form estimator for a stochastic volatility in a general linear regression
Dufour, Jean-Marie
;
Valéry, Pascale
-
2006
Persistent link: https://www.econbiz.de/10003331387
Saved in:
36
A unified approach to testing for stationarity and unit roots
Harvey, Andrew C.
- In:
Identification and inference for econometric models : …
,
(pp. 403-425)
.
2005
Persistent link: https://www.econbiz.de/10003352588
Saved in:
37
Bayesian estimation of the Heston volatility model
Frühwirth-Schnatter, Sylvia
;
Sögner, Leopold
- In:
Operations research proceedings 2002 : selected papers …
,
(pp. 480-485)
.
2003
Persistent link: https://www.econbiz.de/10001752050
Saved in:
38
How to incorporate estimation risk into Markowitz optimization
Kempf, Alexander
;
Kreuzberg, Klaus
;
Memmel, Christoph
- In:
Operations research proceedings 2001 : selected papers …
,
(pp. 175-182)
.
2002
Persistent link: https://www.econbiz.de/10001677508
Saved in:
39
Mathematische Methoden des Marktrisikomanagements
Locarek-Junge, Hermann
- In:
Mathematische Methoden der Wirtschaftswissenschaften : …
,
(pp. 258-271)
.
1999
Persistent link: https://www.econbiz.de/10001426459
Saved in:
40
Bounded vs. unbounded noise in efficiency estimation: performance of alternative estimators
Gstach, Dieter
- In:
Data envelopment analysis in the service sector
,
(pp. 103-119)
.
1999
Persistent link: https://www.econbiz.de/10001437204
Saved in:
41
Estimation of the stochastic volatility by Markov Chain Monte Carlo
Boscher, Hans
- In:
Econometrics in theory and practice : Festschrift for …
,
(pp. 189-203)
.
1998
Persistent link: https://www.econbiz.de/10001301445
Saved in:
42
Die Beurteilung von Marktrisiken mit künstlichen neuronalen Netzen
Locarek-Junge, Hermann
- In:
Betriebswirtschaftliche Anwendungen des Soft Computing …
,
(pp. 127-144)
.
1998
Persistent link: https://www.econbiz.de/10001303748
Saved in:
43
Estimating value-at-risk using neural networks
Locarek-Junge, Hermann
- In:
Informationssysteme in der Finanzwirtschaft : mit 35 …
,
(pp. 385-397)
.
1998
Persistent link: https://www.econbiz.de/10001303892
Saved in:
44
Sind ökonomische Prozesse Irrfahrtprozesse?
Lorenzen, Gunter
- In:
Wirtschaftswissenschaft und Wirtschaftswirklichkeit
,
(pp. 169-179)
.
1998
Persistent link: https://www.econbiz.de/10001304246
Saved in:
45
Measuring and managing credit portfolio risk
Wilson, Thomas Charles
- In:
Risk measurement, econometrics and neural networks : …
,
(pp. 259-306)
.
1998
Persistent link: https://www.econbiz.de/10001305352
Saved in:
46
On the accuracy of VaR estimates based on the variance-covariance approach
Dave, Rakhal D.
- In:
Risk measurement, econometrics and neural networks : …
,
(pp. 189-232)
.
1998
Persistent link: https://www.econbiz.de/10001305354
Saved in:
47
Portfolio analysis based on the shortfall concept
Matthes, Rainer
- In:
Risk measurement, econometrics and neural networks : …
,
(pp. 147-160)
.
1998
Persistent link: https://www.econbiz.de/10001305356
Saved in:
48
Optimal sequential estimation procedures under delayed observations from multiparameter exponential families
Magiera, Ryszard
- In:
Selected papers of the Symposium on Operations Research …
,
(pp. 200-205)
.
1998
Persistent link: https://www.econbiz.de/10001323337
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49
Econometric issues related to errors in variables in financial models
Maddala, Gangadharrao S.
- In:
Econometrics and economic theory in the 20th century : …
,
(pp. 414-432)
.
1998
Persistent link: https://www.econbiz.de/10001548940
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50
GARCH models as diffusion approximation : a simulation approach for currency hedging using options
Castellano, Rosella
- In:
New operational approaches for financial modelling
,
(pp. 297-310)
.
1997
Persistent link: https://www.econbiz.de/10001299211
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