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source:"econis"
subject:"Schätztheorie"
~isPartOf:"Econometric reviews"
~isPartOf:"Journal of econometrics"
~person:"Aït-Sahalia, Yacine"
~person:"Deo, Rohit S."
~person:"Franses, Philip Hans"
~person:"Gonzalo, Jesús"
~person:"Granger, C. W. J."
~person:"Hsiao, Cheng"
~person:"Swanson, Norman R."
~subject:"ARMA-Modell"
~subject:"Estimation theory"
~subject:"Statistische Verteilung"
~subject:"USA"
~subject:"Volatilität"
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Schätztheorie
ARMA-Modell
Estimation theory
Statistische Verteilung
USA
Volatilität
Theorie
73
Theory
73
Time series analysis
26
Zeitreihenanalyse
26
Forecasting model
14
Prognoseverfahren
14
Volatility
10
Estimation
9
Schätzung
9
Ökonometrie
7
Econometrics
6
Nichtlineare Regression
6
Nonlinear regression
6
United States
6
CAPM
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Cointegration
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Kointegration
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Saisonale Schwankungen
4
Seasonal variations
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Statistical distribution
4
Stochastic process
4
Stochastischer Prozess
4
ARCH model
3
ARCH-Modell
3
Factor analysis
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35
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36
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1
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English
36
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Aït-Sahalia, Yacine
Deo, Rohit S.
Franses, Philip Hans
Gonzalo, Jesús
Granger, C. W. J.
Hsiao, Cheng
Swanson, Norman R.
McAleer, Michael
15
Li, Qi
9
Steel, Mark F. J.
9
Chib, Siddhartha
8
Diebold, Francis X.
8
Gouriéroux, Christian
8
King, Maxwell L.
8
Asai, Manabu
7
Baltagi, Badi H.
7
Lee, Lung-fei
7
Maasoumi, Esfandiar
7
Phillips, Peter C. B.
7
Bollerslev, Tim
6
Cavaliere, Giuseppe
6
Kohn, Robert
6
Koop, Gary
6
Park, Joon Y.
6
Schmidt, Peter
6
Andersen, Torben
5
Ghysels, Eric
5
Linton, Oliver
5
Lütkepohl, Helmut
5
Ohtani, Kazuhiro
5
Pesaran, M. Hashem
5
Renault, Eric
5
Slottje, Daniel Jonathan
5
Srivastava, Virendra K.
5
Taylor, Robert
5
Ullah, Aman
5
Ahn, Seung Chan
4
Andrews, Donald W. K.
4
Atkinson, Scott Estes
4
Bera, Anil K.
4
Boswijk, Herman Peter
4
Chan, Joshua
4
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Econometric reviews
Journal of econometrics
Working papers / Rutgers University, Department of Economics
29
Report / Econometric Institute, Erasmus University Rotterdam
15
Working paper / National Bureau of Economic Research, Inc.
10
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
9
Report / Econometric Institute, Erasmus University Rotterdam / Econometric Institute, Erasmus University Rotterdam
8
Discussion paper / Department of Economics, University of California San Diego
7
Journal of applied econometrics
7
Discussion paper / Tinbergen Institute
6
Discussion paper / Tinbergen Institute / Tinbergen Institute
5
Econometric theory
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
Economics letters
4
International journal of forecasting
4
Oxford bulletin of economics and statistics
4
Report / Erasmus Center for Financial Research, Erasmus University
4
Working papers / Federal Reserve Bank of Philadelphia, Research Department
4
Econometric Institute research papers
3
Econometric Society monographs
3
Journal of financial economics
3
Macroeconomic dynamics
3
Rotterdams Instituut voor Bedrijfseconomische Studies : RIBES
3
Technical working paper / National Bureau of Economic Research
3
CORE discussion paper : DP
2
Cowles Foundation discussion paper
2
DAE working paper
2
Journal of empirical finance
2
Journal of macroeconomics
2
NBER working paper series
2
Nonparametric dynamic modelling
2
Report / Econometric Institute, Erasmus University, Rotterdam / Econometric Institute, Erasmus University Rotterdam
2
The journal of finance : the journal of the American Finance Association
2
The review of economic studies
2
The review of economics and statistics
2
The review of financial studies
2
Analysis of panels and limited dependent variable models : in honour of G. S. Maddala
1
Annales d'économie et de statistique
1
Annals of economics and finance
1
Applied financial economics
1
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ECONIS (ZBW)
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1
High frequency traders and the price process
Aït-Sahalia, Yacine
;
Brunetti, Celso
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
Saved in:
2
Trends in distributional characteristics : existence of global warming
Gadea, María Dolores
;
Gonzalo, Jesús
- In:
Journal of econometrics
214
(
2020
)
1
,
pp. 153-174
Persistent link: https://www.econbiz.de/10012438316
Saved in:
3
High-frequency factor models and regressions
Aït-Sahalia, Yacine
;
Kalnina, Ilze
;
Xiu, Dacheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
Saved in:
4
The term structure of equity and variance risk premia
Aït-Sahalia, Yacine
;
Karamann, Mustafa
;
Mancini, Loriano
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
Saved in:
5
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 384-399
Persistent link: https://www.econbiz.de/10011920525
Saved in:
6
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep
;
Swanson, Norman R.
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
Saved in:
7
Volatility spillover effect : a semiparametric analysis of non-cointegrated process
Sun, Yiguo
;
Hsiao, Cheng
;
Li, Qi
- In:
Econometric reviews
34
(
2015
)
1/5
,
pp. 127-145
Persistent link: https://www.econbiz.de/10011373301
Saved in:
8
Forecasting a long memory process subject to structural breaks
Wang, Cindy Shin Huei
;
Bauwens, Luc
;
Hsiao, Cheng
- In:
Journal of econometrics
177
(
2013
)
2
,
pp. 171-184
Persistent link: https://www.econbiz.de/10010254878
Saved in:
9
Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
Corradi, Valentina
;
Swanson, Norman R.
- In:
Journal of econometrics
161
(
2011
)
2
,
pp. 304-324
Persistent link: https://www.econbiz.de/10009242123
Saved in:
10
Seeing inside the black box : using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments
Armah, Nii Ayi
;
Swanson, Norman R.
- In:
Econometric reviews
29
(
2010
)
5/6
,
pp. 476-510
Persistent link: https://www.econbiz.de/10008668183
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