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A Comparison of Estimators for...
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Subject
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Monte Carlo simulation
Theorie
37
Theory
37
Forecasting model
30
Prognoseverfahren
30
Volatility
28
Volatilität
27
ARCH model
26
ARCH-Modell
26
Bayes-Statistik
23
Bayesian inference
23
Estimation
20
Schätzung
20
Markov chain
18
Markov-Kette
18
Estimation theory
17
Schätztheorie
17
Time series analysis
17
Zeitreihenanalyse
17
Monte-Carlo-Simulation
16
Risikomaß
16
Risk measure
16
Capital income
13
Kapitaleinkommen
13
Regression analysis
12
Regressionsanalyse
12
Statistical distribution
11
Statistische Verteilung
11
Großbritannien
8
United Kingdom
8
Value-at-Risk
8
CAPM
7
CAViaR model
7
France
6
Frankreich
6
Markov chain Monte Carlo method
6
Börsenkurs
5
Expected shortfall
5
Financial market
5
Finanzmarkt
5
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Undetermined
9
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3
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Article
13
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3
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13
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13
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3
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3
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3
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3
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English
16
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Chen, Cathy W. S.
11
Chan, Jennifer S. K.
3
Gerlach, Richard
3
Chen, Wilson Ye
2
Gerlach, Richard H.
2
Hwang, Bruce B. K.
2
Lee, Sangyeol
2
McAleer, Michael
2
Asai, Manabu
1
Chen, Shu-yu
1
Chien, Cindy T. H.
1
Choy, S. T. Boris
1
Dong, Alice X. D.
1
Dong, Manh Cuong
1
Hsu, Hsiao-Yun
1
Huang, Tara F. J.
1
Koike, Takaaki
1
Lin, Edward M. H.
1
Makov, Udi E.
1
Peiris, Shelton
1
Peters, Gareth
1
Peters, Gareth W.
1
Phillip, Andrew
1
Shau, Wei-Hsuan
1
Sisson, Scott A.
1
So, Mike Ka-pui
1
Songsak Sriboonchitta
1
Wang, Zona
1
Watanabe, Toshiaki
1
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Journal of forecasting
3
Computational economics
2
Astin bulletin : the journal of the International Actuarial Association
1
Econometric Institute research papers
1
Finance research letters
1
International journal of finance & economics : IJFE
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Quantitative finance
1
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The North American journal of economics and finance : a journal of financial economics studies
1
Working paper
1
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ECONIS (ZBW)
16
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1
Robust Bayesian analysis of loss reserves data using the generalized-t distribution
Chan, Jennifer S. K.
;
Choy, S. T. Boris
;
Makov, Udi E.
-
2007
Persistent link: https://www.econbiz.de/10003685206
Saved in:
2
Risk margin quantile function via parametric and non-parametric Bayesian approaches
Dong, Alice X. D.
;
Chan, Jennifer S. K.
;
Peters, Gareth W.
- In:
Astin bulletin : the journal of the International …
45
(
2015
)
3
,
pp. 503-550
Persistent link: https://www.econbiz.de/10011397246
Saved in:
3
Bayesian estimation of Gegenbauer long memory processes with stochastic volatility : methods and applications
Phillip, Andrew
;
Chan, Jennifer S. K.
;
Peiris, Shelton
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011897536
Saved in:
4
Semiparametric GARCH via Bayesian model averaging
Chen, Wilson Ye
;
Gerlach, Richard H.
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 437-452
Persistent link: https://www.econbiz.de/10012499090
Saved in:
5
Dynamic quantile function models
Chen, Wilson Ye
;
Peters, Gareth
;
Gerlach, Richard H.
; …
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1665-1691
Persistent link: https://www.econbiz.de/10013367940
Saved in:
6
Subset threshold autoregression
So, Mike Ka-pui
;
Chen, Cathy W. S.
- In:
Journal of forecasting
22
(
2003
)
1
,
pp. 49-66
Persistent link: https://www.econbiz.de/10001737081
Saved in:
7
Bayesian quantile forecasting via the realized hysteretic GARCH model
Chen, Cathy W. S.
;
Lin, Edward M. H.
;
Huang, Tara F. J.
- In:
Journal of forecasting
41
(
2022
)
7
,
pp. 1317-1337
Persistent link: https://www.econbiz.de/10013465697
Saved in:
8
Improving quantile forecasts via realized double hysteretic GARCH model in stock markets
Chen, Cathy W. S.
;
Chien, Cindy T. H.
- In:
Computational economics
64
(
2024
)
6
,
pp. 3447-3471
Persistent link: https://www.econbiz.de/10015144246
Saved in:
9
Forecasting value-at-risk using nonlinear regression quantiles and the intra-day range
Chen, Cathy W. S.
;
Gerlach, Richard
;
Hwang, Bruce B. K.
; …
-
2011
Persistent link: https://www.econbiz.de/10009011936
Saved in:
10
Bayesian unit root test in double threshold heteroskedastic models
Chen, Cathy W. S.
;
Chen, Shu-yu
;
Lee, Sangyeol
- In:
Computational economics
42
(
2013
)
4
,
pp. 471-490
Persistent link: https://www.econbiz.de/10010249863
Saved in:
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