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accessRights:"restricted"
subject:"Bootstrap approach"
~person:"Francq, Christian"
~person:"Hounyo, Ulrich"
~person:"Inoue, Atsushi"
~person:"Mykland, Per A."
~person:"Taylor, Robert"
~subject:"Capital income"
~subject:"Estimation"
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Search: subject_exact:"Estimation theory"
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Bootstrap approach
Capital income
Estimation
Estimation theory
45
Schätztheorie
45
Time series analysis
18
Zeitreihenanalyse
18
Volatility
15
Volatilität
15
Bootstrap-Verfahren
14
ARCH model
12
ARCH-Modell
12
Schätzung
11
Kapitaleinkommen
10
VAR model
10
VAR-Modell
10
Forecasting model
8
Prognoseverfahren
8
Statistical test
7
Statistischer Test
7
Bootstrap
6
Börsenkurs
6
Market microstructure
6
Marktmikrostruktur
6
Share price
6
Induktive Statistik
5
Regression analysis
5
Regressionsanalyse
5
Statistical inference
5
Asynchronous times
4
Heteroscedasticity
4
Heteroskedastizität
4
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
4
Microstructure
4
Wild bootstrap
4
Consistency
3
Discrete observation
3
Endogeneity
3
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3
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28
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Francq, Christian
Hounyo, Ulrich
Inoue, Atsushi
Mykland, Per A.
Taylor, Robert
Gao, Jiti
10
Kumbhakar, Subal
9
Li, Jia
9
Linton, Oliver
9
Su, Liangjun
9
Marcellino, Massimiliano
8
Todorov, Viktor
8
Kumar, Dilip
7
Tauchen, George Eugene
7
Tsionas, Efthymios G.
7
Baltagi, Badi H.
6
Demetrescu, Matei
6
Kapetanios, George
6
Kim, Donggyu
6
Lee, Lung-fei
6
Nielsen, Morten Ørregaard
6
Parmeter, Christopher F.
6
Rodrigues, Paulo M. M.
6
Westerlund, Joakim
6
Yang, Zhenlin
6
Cai, Zongwu
5
Cavaliere, Giuseppe
5
Luger, Richard
5
MacKinnon, James G.
5
Park, Joon Y.
5
Sentana, Enrique
5
Wang, Shouyang
5
Webb, Matthew
5
Winkelmann, Rainer
5
Zakoïan, Jean-Michel
5
Andersen, Torben
4
Ardia, David
4
Corradi, Valentina
4
Egger, Peter
4
Escanciano, Juan Carlos
4
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Journal of econometrics
19
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
The econometrics journal
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ECONIS (ZBW)
28
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1
Extensions to IVX methods of inference for return predictability
Demetrescu, Matei
;
Georgiev, Iliyan
;
Rodrigues, Paulo M. M.
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014471800
Saved in:
2
Transformed regression-based long-horizon predictability tests
Demetrescu, Matei
;
Rodrigues, Paulo M. M.
;
Taylor, Robert
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10014471812
Saved in:
3
Estimating the variance of a combined forecast : bootstrap-based approach
Hounyo, Ulrich
;
Lahiri, Kajal
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 445-468
Persistent link: https://www.econbiz.de/10014340010
Saved in:
4
Bootstrapping two-stage quasi-maximum likelihood estimators of time series models
Gonçalves, Sílvia
;
Hounyo, Ulrich
;
Patton, Andrew J.
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 683-694
Persistent link: https://www.econbiz.de/10014448421
Saved in:
5
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
6
Adaptive inference in heteroscedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 50-65
Persistent link: https://www.econbiz.de/10012804084
Saved in:
7
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
8
Testing for episodic predictability in stock returns
Demetrescu, Matei
;
Georgiev, Iliyan
;
Rodrigues, Paulo M. M.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 85-113
Persistent link: https://www.econbiz.de/10013441625
Saved in:
9
Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi
;
Lu, Jin
;
Pelletier, Denis
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
Saved in:
10
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
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