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person:"Croux, Christophe"
subject:"Volatility"
~accessRights:"restricted"
~person:"Liu, Zhi"
~person:"Phillips, Peter C. B."
~person:"Zhu, Ke"
~subject:"Stochastischer Prozess"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Volatility
Stochastischer Prozess
Zeitreihenanalyse
Estimation theory
49
Schätztheorie
49
Time series analysis
24
Regression analysis
12
Regressionsanalyse
12
Cointegration
9
Kointegration
9
Estimation
8
Schätzung
8
Nichtparametrisches Verfahren
7
Nonparametric statistics
7
Volatilität
7
ARCH model
5
ARCH-Modell
5
Einheitswurzeltest
5
Induktive Statistik
5
Statistical inference
5
Statistical test
5
Statistischer Test
5
Stochastic process
5
Unit root test
5
Correlation
4
Endogeneity
4
Korrelation
4
VAR model
4
VAR-Modell
4
Heteroscedasticity
3
Heteroskedastizität
3
Local to unity
3
Market microstructure
3
Marktmikrostruktur
3
Nichtlineare Regression
3
Nonlinear regression
3
Portmanteau test
3
Statistical distribution
3
Statistische Verteilung
3
Central limit theorem
2
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28
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English
28
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Croux, Christophe
Liu, Zhi
Phillips, Peter C. B.
Zhu, Ke
Gao, Jiti
10
Li, Jia
10
Todorov, Viktor
10
Kumar, Dilip
9
Francq, Christian
8
Kapetanios, George
8
Linton, Oliver
8
Sentana, Enrique
8
Demetrescu, Matei
7
Koopman, Siem Jan
7
Li, Dong
7
Lütkepohl, Helmut
7
Taylor, Robert
7
Teräsvirta, Timo
7
Wang, Shouyang
7
Andersen, Torben
6
Cavaliere, Giuseppe
6
Kim, Donggyu
6
Li, Degui
6
Li, Yingying
6
Ling, Shiqing
6
Lucas, André
6
Marcellino, Massimiliano
6
Mykland, Per A.
6
Nielsen, Morten Ørregaard
6
Sbrana, Giacomo
6
Shang, Han Lin
6
Tauchen, George Eugene
6
Zakoïan, Jean-Michel
6
Bauwens, Luc
5
Blasques, Francisco
5
Bollerslev, Tim
5
Davis, Richard A.
5
Dong, Chaohua
5
Maheswaran, S.
5
Omay, Tolga
5
Park, Joon Y.
5
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Journal of econometrics
16
Econometric reviews
2
Econometric theory
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Finance and stochastics
1
International journal of forecasting
1
Journal of econometric methods
1
Journal of financial econometrics
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
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ECONIS (ZBW)
28
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1
A new generalized exponentially weighted moving average quantile model and its statistical inference
Zhu, Ke
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471471
Saved in:
2
Fully modified least squares cointegrating parameter estimation in multicointegrated systems
Kheifets, Igor L.
;
Phillips, Peter C. B.
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 300-319
Persistent link: https://www.econbiz.de/10014339925
Saved in:
3
Testing error distribution by kernelized Stein discrepancy in multivariate time series models
Luo, Donghang
;
Zhu, Ke
;
Gong, Huan
;
Li, Dong
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 111-125
Persistent link: https://www.econbiz.de/10013540650
Saved in:
4
Multifrequency-band tests for white noise under heteroscedasticity
Liu, Mengya
;
Zhu, Fukang
;
Zhu, Ke
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 799-814
Persistent link: https://www.econbiz.de/10013534533
Saved in:
5
Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang
;
Liu, Zhi
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
Saved in:
6
Understanding temporal aggregation effects on kurtosis in financial indices
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 25-46
Persistent link: https://www.econbiz.de/10013441621
Saved in:
7
Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang
;
Zhu, Ke
;
Li, Guodong
;
Li, Wai Keung
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
Saved in:
8
Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
Jiang, Feiyu
;
Li, Dong
;
Zhu, Ke
- In:
Journal of econometrics
224
(
2021
)
2
,
pp. 306-329
Persistent link: https://www.econbiz.de/10013275393
Saved in:
9
Econometric estimates of Earth's transient climate sensitivity
Phillips, Peter C. B.
;
Leirvik, Thomas
;
Storelvmo, Trude
- In:
Journal of econometrics
214
(
2020
)
1
,
pp. 6-32
Persistent link: https://www.econbiz.de/10012438082
Saved in:
10
Non-standard inference for augmented double autoregressive models with null volatility coefficients
Jiang, Feiyu
;
Li, Dong
;
Zhu, Ke
- In:
Journal of econometrics
215
(
2020
)
1
,
pp. 165-183
Persistent link: https://www.econbiz.de/10012439437
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