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person:"Croux, Christophe"
subject:"Volatility"
~accessRights:"restricted"
~person:"Liu, Zhi"
~person:"Zhu, Ke"
~subject:"Estimation"
~subject:"Statistischer Test"
~subject:"Vector AutoRegressive model"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation
Statistischer Test
Vector AutoRegressive model
Zeitreihenanalyse
Estimation theory
22
Schätztheorie
22
Time series analysis
14
Volatilität
7
ARCH model
5
ARCH-Modell
5
Schätzung
4
VAR model
4
VAR-Modell
4
Heteroscedasticity
3
Heteroskedastizität
3
Market microstructure
3
Marktmikrostruktur
3
Portmanteau test
3
Regression analysis
3
Regressionsanalyse
3
Statistical test
3
Stochastic process
3
Stochastischer Prozess
3
Central limit theorem
2
Cointegration
2
DAR model
2
Induktive Statistik
2
Kointegration
2
Lasso
2
Martingal
2
Martingale
2
Microstructure noise
2
Nichtparametrisches Verfahren
2
Noise Trading
2
Noise trading
2
Nonparametric statistics
2
Sparse estimation
2
Statistical inference
2
vector autoregression
2
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English
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Croux, Christophe
Liu, Zhi
Zhu, Ke
Gao, Jiti
18
Linton, Oliver
14
Phillips, Peter C. B.
13
Bera, Anil K.
12
Marcellino, Massimiliano
12
Cai, Zongwu
11
Kapetanios, George
11
Francq, Christian
10
Kumbhakar, Subal
10
Li, Jia
10
Su, Liangjun
10
Todorov, Viktor
10
Baltagi, Badi H.
9
Dufour, Jean-Marie
9
Kumar, Dilip
9
Sentana, Enrique
9
Westerlund, Joakim
9
Lee, Lung-fei
8
Lütkepohl, Helmut
8
Sun, Yiguo
8
Taylor, Robert
8
Teräsvirta, Timo
8
Tu, Yundong
8
Wang, Shouyang
8
Demetrescu, Matei
7
Koopman, Siem Jan
7
Li, Degui
7
Li, Qi
7
Sun, Yixiao
7
Tauchen, George Eugene
7
Tsionas, Efthymios G.
7
Andersen, Torben
6
Cavaliere, Giuseppe
6
Doğan, Osman
6
Escanciano, Juan Carlos
6
Hill, Jonathan B.
6
Hong, Yongmiao
6
Hsu, Yu-Chin
6
Kim, Donggyu
6
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Journal of econometrics
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Econometric reviews
1
Econometric theory
1
Energy economics
1
Finance and stochastics
1
International journal of forecasting
1
Journal of econometric methods
1
Journal of financial econometrics
1
Journal of retailing
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)
20
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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
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:
3
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:
4
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:
5
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:
6
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:
7
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
Saved in:
8
Double AR model without intercept : an alternative to modeling nonstationarity and heteroscedasticity
Li, Dong
;
Shaojun, Guo
;
Zhu, Ke
- In:
Econometric reviews
38
(
2019
)
3
,
pp. 319-331
Persistent link: https://www.econbiz.de/10012181294
Saved in:
9
Estimation of spot volatility with superposed noisy data
Liu, Qiang
;
Liu, Yiqi
;
Liu, Zhi
;
Wang, Li
- In:
The North American journal of economics and finance : a …
44
(
2018
),
pp. 62-79
Persistent link: https://www.econbiz.de/10012036296
Saved in:
10
Model checks for nonlinear cointegrating regression
Wang, Qiying
;
Wu, Dongsheng
;
Zhu, Ke
- In:
Journal of econometrics
207
(
2018
)
2
,
pp. 261-284
Persistent link: https://www.econbiz.de/10012116349
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