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subject:"Deutschland"
subject:"Forecasting model"
~accessRights:"restricted"
~person:"Francq, Christian"
~person:"Koop, Gary"
~subject:"ARCH model"
~subject:"Mixed frequency"
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Search: subject_exact:"Estimation theory"
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Deutschland
Forecasting model
ARCH model
Mixed frequency
Estimation theory
18
Schätztheorie
18
ARCH-Modell
9
Estimation
8
Schätzung
8
Time series analysis
8
Zeitreihenanalyse
8
Volatility
7
Volatilität
7
Prognoseverfahren
6
VAR model
6
VAR-Modell
6
Bayes-Statistik
5
Bayesian inference
5
Börsenkurs
3
Induktive Statistik
3
Share price
3
Statistical inference
3
Bootstrap approach
2
Bootstrap-Verfahren
2
Capital income
2
Dynamic portfolio
2
Filtered historical simulation
2
Forecasting
2
Hierarchical prior
2
Kapitaleinkommen
2
Portfolio selection
2
Portfolio-Management
2
Regression analysis
2
Regressionsanalyse
2
Risikomaß
2
Risk measure
2
Simulation
2
Statistical test
2
Statistischer Test
2
Stochastic process
2
Stochastic volatility
2
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12
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13
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1
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1
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1
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English
14
Author
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Francq, Christian
Koop, Gary
Kumar, Dilip
8
Winkelmann, Rainer
7
Ardia, David
6
Kim, Donggyu
6
Marcellino, Massimiliano
6
Sbrana, Giacomo
6
Shang, Han Lin
6
Zhang, Xinyu
6
Cai, Zongwu
5
Ling, Shiqing
5
Peng, Liang
5
Sucarrat, Genaro
5
Taylor, James W.
5
Teräsvirta, Timo
5
Zakoïan, Jean-Michel
5
Bauwens, Luc
4
Demetrescu, Matei
4
Fosten, Jack
4
Kapetanios, George
4
Kim, Jong-Min
4
Koopman, Siem Jan
4
Lechner, Michael
4
Lee, Ji Hyung
4
Li, Dong
4
Luger, Richard
4
Lütkepohl, Helmut
4
Panagiotelis, Anastasios
4
Rahbek, Anders
4
Shi, Yanlin
4
Taylor, Robert
4
Tsionas, Efthymios G.
4
Tu, Yundong
4
Wang, Shouyang
4
Wang, Yazhen
4
Wu, Xinyu
4
Xie, Tian
4
Zhu, Ke
4
Ñíguez, Trino-Manuel
4
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Journal of econometrics
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Discussion papers / CEPR
1
Economics letters
1
International journal of forecasting
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
National Institute economic review : journal of the National Institute of Economic and Social Research
1
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ECONIS (ZBW)
14
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1
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:
2
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
3
Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 346-363
Persistent link: https://www.econbiz.de/10014462786
Saved in:
4
Investigating growth-at-risk using a multicountry non-parametric quantile factor model
Clark, Todd E.
;
Huber, Florian
;
Koop, Gary
;
Marcellino, …
-
2023
Persistent link: https://www.econbiz.de/10014384414
Saved in:
5
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:
6
Inducing sparsity and shrinkage in time-varying parameter models
Huber, Florian
;
Koop, Gary
;
Onorante, Luca
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 669-683
Persistent link: https://www.econbiz.de/10012588006
Saved in:
7
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
8
Reconciled estimates and nowcasts of regional output in the UK
Koop, Gary
;
McIntyre, Stuart
;
Mitchell, James
;
Poon, Aubrey
- In:
National Institute economic review : journal of the …
253
(
2020
)
1
,
pp. R44-R59
Persistent link: https://www.econbiz.de/10012258699
Saved in:
9
Computationally efficient inference in large Bayesian mixed frequency VARs
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
- In:
Economics letters
191
(
2020
),
pp. 1-6
Persistent link: https://www.econbiz.de/10012508486
Saved in:
10
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
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