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Estimation theory
Copula
619
Multivariate Verteilung
573
Multivariate distribution
573
copula
433
Theorie
359
Theory
339
Statistische Verteilung
199
Tail dependence
193
Statistical distribution
192
Risikomaß
177
tail dependence
176
Risk measure
174
Kapitaleinkommen
152
Capital income
150
Portfolio-Management
128
Portfolio selection
125
Zeitreihenanalyse
122
Volatility
119
Volatilität
119
Risk management
114
Time series analysis
114
Risikomanagement
110
Schätzung
110
ARCH-Modell
109
ARCH model
107
Estimation
107
Börsenkurs
92
Share price
88
Schätztheorie
85
Aktienmarkt
84
Stock market
84
Risiko
77
Risk
77
Welt
71
Ausreißer
70
Outliers
70
Financial crisis
69
Finanzkrise
68
World
68
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Undetermined
38
Free
28
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3
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Article
60
Book / Working Paper
21
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Article in journal
57
Aufsatz in Zeitschrift
57
Arbeitspapier
19
Graue Literatur
19
Non-commercial literature
19
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19
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3
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English
81
Author
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Einmahl, John H. J.
5
Okhrin, Ostap
4
Fan, Yanqin
3
Hou, Yanxi
3
Kim, Jong-Min
3
Marra, Giampiero
3
Radice, Rosalba
3
Ristig, Alexander
3
Wu, Ximing
3
Ahmed, Hanan
2
Amengual, Dante
2
Chen Zhou
2
Chen, Xiaohong
2
Fasiolo, Matteo
2
Guégan, Dominique
2
Hautsch, Nikolaus
2
He, Yi
2
Hwang, Sun Young
2
Lin, Juan
2
Liu, Ruixuan
2
Peng, Liang
2
Schepsmeier, Ulf
2
Sentana, Enrique
2
Shiraya, Kenichiro
2
Tian, Zhanyuan
2
Wang, Bo
2
Weiß, Gregor
2
Winkelmann, Rainer
2
Xiao, Zhijie
2
Yamakami, Tomohisa
2
Yang, Jingping
2
Abberger, Klaus
1
Abdallah, Anas
1
Allen, David E.
1
Belhad, Ahmed
1
Bhat, Chandra R.
1
Boucher, Jean-Philippe
1
Bouezmarni, Taoufik
1
Chang, KC
1
Chatchai Khiewngamdee
1
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School of Economics and Management, University of Aarhus
1
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Insurance / Mathematics & economics
6
Journal of econometrics
6
Discussion paper / Center for Economic Research, Tilburg University
5
Econometric reviews
5
European journal of operational research : EJOR
4
Applied economics
3
Astin bulletin : the journal of the International Actuarial Association
3
SFB 649 discussion paper
3
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
2
Computational economics
2
Economics letters
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of risk
2
Risks : open access journal
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Asian journal of economics and banking : AJEB
1
CARF working paper
1
CEMFI working paper
1
CFS working paper series
1
CREATES Research Papers
1
Cahier scientifique
1
Cambridge working papers in economics
1
CoFE discussion papers
1
Cowles Foundation discussion paper
1
Documents de recherche / ESSEC Centre de Recherche
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Essays in honor of M. Hashem Pesaran : panel modeling, micro applications, and econometric methodology
1
Finance research letters
1
Financial econometrics and empirical market microstructure
1
Health economics
1
IMA journal of management mathematics
1
IWQW discussion paper series
1
International journal of business and economics research : IJBER
1
Journal of banking & finance
1
Journal of risk and financial management : JRFM
1
Journal of statistical and econometric methods
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Robustness in econometrics
1
Scandinavian actuarial journal
1
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ECONIS (ZBW)
80
RePEc
1
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1
Conditional systemic risk with penalized
copula
Okhrin, Ostap
;
Ristig, Alexander
;
Sheen, Jeffrey R.
; …
-
2015
, conditional quantiles are specified via hierarchical Archimedean
copula
. The parameters and structure of this
copula
are …
Persistent link: https://www.econbiz.de/10011309638
Saved in:
2
Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
Siburg, Karl Friedrich
;
Stoimenov, Pavel
;
Weiß, Gregor
- In:
Journal of banking & finance
54
(
2015
),
pp. 129-140
Persistent link: https://www.econbiz.de/10011377805
Saved in:
3
Nonparametric estimation of systemic risk via conditional value-at-risk
Belhad, Ahmed
;
Lauria, Davide
;
Trindade, A. Alexandre
- In:
Journal of risk
25
(
2022
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10013549675
Saved in:
4
Robust and bias-corrected estimation of the coefficient of tail dependence
Dutang, Christophe
;
Goegebeur, Yuri
;
Guillou, Armelle
- In:
Insurance / Mathematics & economics
57
(
2014
),
pp. 46-57
Persistent link: https://www.econbiz.de/10010402739
Saved in:
5
Estimation of extreme depth-based quantile regions
He, Yi
;
Einmahl, John H. J.
-
2014
Persistent link: https://www.econbiz.de/10011282830
Saved in:
6
Composite Bernstein copulas
Yang, Jingping
;
Chen, Zhijin
;
Wang, Fang
;
Wang, Ruodu
- In:
Astin bulletin : the journal of the International …
45
(
2015
)
2
,
pp. 445-475
Persistent link: https://www.econbiz.de/10011312277
Saved in:
7
Interval estimation for a measure of tail dependence
Liu, Aiai
;
Hou, Yanxi
;
Peng, Liang
- In:
Insurance / Mathematics & economics
64
(
2015
),
pp. 294-305
Persistent link: https://www.econbiz.de/10011398079
Saved in:
8
Improved estimation of the extreme value index using related variables
Ahmed, Hanan
;
Einmahl, John H. J.
-
2018
Persistent link: https://www.econbiz.de/10011879741
Saved in:
9
The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization
Salazar Flores, Yuri
;
Díaz Hernández, Adán
; …
- In:
Applied economics
55
(
2023
)
37
,
pp. 4289-4303
Persistent link: https://www.econbiz.de/10014301231
Saved in:
10
A comparison of tail dependence estimators
Supper, Hendrik
;
Irresberger, Felix
;
Weiß, Gregor
- In:
European journal of operational research : EJOR
284
(
2020
)
2
,
pp. 728-742
Persistent link: https://www.econbiz.de/10012238789
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