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source:"econis"
~isPartOf:"CESifo working papers"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Journal of econometrics"
~isPartOf:"Risks : open access journal"
~isPartOf:"The econometrics journal"
~subject:"Schätzung"
~subject:"Stochastischer Prozess"
~subject:"Volatility"
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Search: subject_exact:"Time series analysis"
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Schätzung
Stochastischer Prozess
Volatility
Time series analysis
975
Zeitreihenanalyse
975
Theorie
461
Theory
461
Estimation theory
364
Schätztheorie
364
Estimation
208
Volatilität
144
Forecasting model
142
Prognoseverfahren
142
Stochastic process
100
Cointegration
92
Kointegration
91
Nichtparametrisches Verfahren
90
Nonparametric statistics
90
Statistical test
77
Statistischer Test
77
ARCH model
71
ARCH-Modell
71
VAR model
71
VAR-Modell
71
Einheitswurzeltest
68
Unit root test
68
Regression analysis
64
Regressionsanalyse
64
Factor analysis
62
Faktorenanalyse
62
Capital income
61
Kapitaleinkommen
61
Börsenkurs
60
Share price
60
Autocorrelation
56
Autokorrelation
56
Structural break
54
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54
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Aufsatz in Zeitschrift
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76
Working Paper
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Graue Literatur
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Non-commercial literature
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English
330
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Caporale, Guglielmo Maria
39
Gil-Alaña, Luis A.
34
Pesaran, M. Hashem
9
Phillips, Peter C. B.
8
Taylor, Robert
7
Todorov, Viktor
7
Koop, Gary
6
Li, Jia
6
McAleer, Michael
6
Andersen, Torben
5
Barigozzi, Matteo
5
Hallin, Marc
5
Kim, Donggyu
5
Li, Yingying
5
Tauchen, George Eugene
5
Bailey, Natalia
4
Bollerslev, Tim
4
Fan, Jianqing
4
Horváth, Lajos
4
Hounyo, Ulrich
4
Lütkepohl, Helmut
4
Park, Joon Y.
4
Patton, Andrew J.
4
Yu, Jun
4
Asai, Manabu
3
Chan, Joshua
3
Flaig, Gebhard
3
Francq, Christian
3
Gouriéroux, Christian
3
Kokoszka, Piotr
3
Kong, Xin-Bing
3
Koopman, Siem Jan
3
Li, Guodong
3
Lieberman, Offer
3
Martin-Valmayor, Miguel
3
Medeiros, Marcelo C.
3
Pick, Andreas
3
Plastun, Alex
3
Saikkonen, Pentti
3
Shephard, Neil G.
3
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CESifo working papers
International journal of theoretical and applied finance
Journal of econometrics
Risks : open access journal
The econometrics journal
Economic modelling
137
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
132
Discussion paper / Tinbergen Institute
129
Applied economics
118
International journal of forecasting
113
Economics letters
106
Energy economics
104
Applied economics letters
91
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
87
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
87
Journal of forecasting
78
Econometric reviews
77
Working paper
69
Journal of empirical finance
62
International review of economics & finance : IREF
54
CREATES research paper
51
Finance research letters
51
The North American journal of economics and finance : a journal of financial economics studies
47
Econometric theory
45
Journal of applied econometrics
45
Working paper / Department of Econometrics and Business Statistics, Monash University
45
Computational economics
43
International review of financial analysis
40
Journal of risk and financial management : JRFM
40
Journal of economic dynamics & control
39
Journal of banking & finance
38
Economics and finance working paper series
35
Research in international business and finance
35
SFB 649 discussion paper
35
Applied financial economics
34
CAMA working paper series
34
Macroeconomic dynamics
34
Journal of financial econometrics
33
Quantitative finance
33
Journal of financial econometrics : official journal of the Society for Financial Econometrics
32
Discussion papers / Deutsches Institut für Wirtschaftsforschung
31
Empirical economics : a quarterly journal of the Institute for Advanced Studies
30
International journal of finance & economics : IJFE
29
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31
Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model
Fan, Yanqin
;
Han, Fang
;
Park, Hyeonseok
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014471479
Saved in:
32
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
33
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
34
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
35
Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik
;
Dijk, Dick van
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
Saved in:
36
Time series estimation of the dynamic effects of disaster-type shocks
Davis, Richard A.
;
Ng, Serena
- In:
Journal of econometrics
235
(
2023
)
1
,
pp. 180-201
Persistent link: https://www.econbiz.de/10014434389
Saved in:
37
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
38
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
39
Identifying latent factors based on high-frequency data
Sun, Yucheng
;
Xu, Wen
;
Zhang, Chuanhai
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 251-270
Persistent link: https://www.econbiz.de/10014341048
Saved in:
40
Nonparametric comparison of epidemic time trends : the case of COVID-19
Khismatullina, Marina
;
Vogt, Michael
- In:
Journal of econometrics
232
(
2023
)
1
,
pp. 87-108
Persistent link: https://www.econbiz.de/10013472849
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