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subject:"Deutschland"
subject:"Forecasting model"
~language:"eng"
~person:"Bauwens, Luc"
~person:"Francq, Christian"
~person:"Hendry, David F."
~person:"Koop, Gary"
~person:"Sheppard, Kevin"
~subject:"ARCH model"
~type:"article"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Book section"
~type_genre:"Graue Literatur"
~type_genre:"Thesis"
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Search: subject_exact:"Estimation theory"
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Deutschland
Forecasting model
ARCH model
Estimation theory
92
Schätztheorie
92
Time series analysis
37
Zeitreihenanalyse
37
Theorie
33
Theory
33
ARCH-Modell
27
Estimation
17
Prognoseverfahren
17
Schätzung
17
Volatility
15
Volatilität
15
Bayes-Statistik
11
Bayesian inference
11
Börsenkurs
10
Share price
10
VAR model
8
VAR-Modell
8
Correlation
6
Korrelation
6
Maximum likelihood estimation
6
Maximum-Likelihood-Schätzung
6
Capital income
5
Forecasting
5
Kapitaleinkommen
5
Multivariate Analyse
5
Multivariate analysis
5
Regression analysis
5
Regressionsanalyse
5
Risikomaß
5
Risk measure
5
USA
5
United States
5
Cointegration
4
Großbritannien
4
Induktive Statistik
4
Kointegration
4
Macroeconometrics
4
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20
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Book / Working Paper
35
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Aufsatz in Zeitschrift
Book section
Graue Literatur
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Article in journal
37
Aufsatz im Buch
2
Conference paper
1
Konferenzbeitrag
1
Language
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English
Author
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Bauwens, Luc
Francq, Christian
Hendry, David F.
Koop, Gary
Sheppard, Kevin
Zakoïan, Jean-Michel
15
Teräsvirta, Timo
14
Kumar, Dilip
12
Lütkepohl, Helmut
10
Rahbek, Anders
8
Swanson, Norman R.
8
Cai, Zongwu
7
Ling, Shiqing
7
Shang, Han Lin
7
Tsay, Ruey S.
7
Ardia, David
6
Demetrescu, Matei
6
Feng, Yuanhua
6
Hafner, Christian M.
6
Kapetanios, George
6
Kim, Donggyu
6
Krämer, Walter
6
Lechner, Michael
6
Linton, Oliver
6
Maheswaran, S.
6
McCracken, Michael W.
6
Paolella, Marc S.
6
Peng, Liang
6
Taylor, James W.
6
Baltagi, Badi H.
5
Chan, Ngai Hang
5
Clements, Michael P.
5
Corradi, Valentina
5
Fosten, Jack
5
Horváth, Lajos
5
Lahiri, Kajal
5
Lee, Ji Hyung
5
Li, Guodong
5
Luger, Richard
5
McAleer, Michael
5
Rossi, Barbara
5
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Journal of econometrics
14
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
International journal of forecasting
4
Econometric theory
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Annals of economics and statistics
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economics letters
1
Handbook of financial time series
1
Journal of empirical finance
1
Journal of forecasting
1
Journal of the American Statistical Association : JASA
1
National Institute economic review : journal of the National Institute of Economic and Social Research
1
Oxford bulletin of economics and statistics
1
The Oxford handbook of economic forecasting
1
The econometrics of economic policy
1
The review of economic studies
1
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ECONIS (ZBW)
39
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1
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10
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39
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date (oldest first)
1
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:
2
We modeled long memory with just one lag!
Bauwens, Luc
;
Chevillon, Guillaume
;
Laurent, Sébastien
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332326
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
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
5
Bootstrapping two-stage quasi-maximum likelihood estimators of time series models
Gonçalves, Sílvia
;
Hounyo, Ulrich
;
Patton, Andrew J.
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 683-694
Persistent link: https://www.econbiz.de/10014448421
Saved in:
6
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:
7
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:
8
Fitting vast dimensional time-varying covariance models
Pakel, Cavit
;
Shephard, Neil G.
;
Sheppard, Kevin
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 652-668
Persistent link: https://www.econbiz.de/10012588005
Saved in:
9
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:
10
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
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