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subject:"Deutschland"
subject:"Forecasting model"
~person:"Bauwens, Luc"
~person:"Francq, Christian"
~person:"Koop, Gary"
~person:"Shi, Yanlin"
~subject:"ARCH model"
~subject:"Estimation theory"
~type_genre:"Aufsatz in Zeitschrift"
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Deutschland
Forecasting model
ARCH model
Estimation theory
Schätztheorie
65
Time series analysis
28
Zeitreihenanalyse
28
ARCH-Modell
24
Theorie
19
Theory
19
Estimation
17
Schätzung
17
Prognoseverfahren
15
Volatility
13
Volatilität
13
VAR model
10
VAR-Modell
10
Bayes-Statistik
9
Bayesian inference
9
Börsenkurs
9
Share price
9
Maximum likelihood estimation
6
Maximum-Likelihood-Schätzung
6
Forecasting
5
Risikomaß
5
Risk measure
5
Capital income
4
Correlation
4
Induktive Statistik
4
Kapitaleinkommen
4
Korrelation
4
Regression analysis
4
Regressionsanalyse
4
Statistical inference
4
Stochastic process
4
Stochastischer Prozess
4
Analysis of variance
3
Cointegration
3
GARCH
3
Kointegration
3
Markov chain
3
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Undetermined
28
Free
2
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Article
65
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Aufsatz in Zeitschrift
Article in journal
65
Arbeitspapier
58
Working Paper
58
Graue Literatur
55
Non-commercial literature
55
Amtsdruckschrift
6
Government document
6
Aufsatz im Buch
3
Book section
3
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Language
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English
65
Author
All
Bauwens, Luc
Francq, Christian
Koop, Gary
Shi, Yanlin
Phillips, Peter C. B.
91
Lee, Lung-fei
65
Linton, Oliver
63
Baltagi, Badi H.
62
Li, Qi
59
Andrews, Donald W. K.
50
Newey, Whitney K.
48
Tsionas, Efthymios G.
48
Ullah, Aman
46
Su, Liangjun
44
Kumbhakar, Subal
39
Robinson, Peter M.
39
Gao, Jiti
38
Ohtani, Kazuhiro
38
Wooldridge, Jeffrey M.
38
Pesaran, M. Hashem
37
McAleer, Michael
36
Chen, Songnian
35
Simar, Léopold
35
White, Halbert
34
Bera, Anil K.
33
Horowitz, Joel
33
Parmeter, Christopher F.
33
Gouriéroux, Christian
32
Hahn, Jinyong
32
Perron, Pierre
32
Hsiao, Cheng
31
Lütkepohl, Helmut
31
Bai, Jushan
30
Cai, Zongwu
30
Fan, Yanqin
30
Krämer, Walter
30
Chen, Xiaohong
28
Giles, David E. A.
28
Westerlund, Joakim
28
Zhang, Xinyu
27
Florens, Jean-Pierre
26
Hansen, Bruce E.
26
Leybourne, Stephen James
26
Racine, Jeffrey
26
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Journal of econometrics
18
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Econometric theory
5
International journal of forecasting
3
Journal of applied econometrics
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Annales d'économie et de statistique
2
Economics letters
2
Finance research letters
2
Journal of the American Statistical Association : JASA
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Advances in econometrics
1
Annals of economics and statistics
1
Bayesian methods applied to time series data
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Econometrics : open access journal
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Insurance / Mathematics & economics
1
International review of finance : the official journal of the Asia Pacific Finance Association and the Nippon Finance Association
1
Journal of economics & business
1
Journal of empirical finance
1
Journal of financial econometrics
1
L'hétérogénéité en économétrie : numéro spécial
1
National Institute economic review : journal of the National Institute of Economic and Social Research
1
Scandinavian actuarial journal
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The econometrics journal
1
The review of economic studies
1
The review of economics and statistics
1
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ECONIS (ZBW)
65
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65
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1
A new unique impulse response function in linear vector autoregressive models
Shi, Yanlin
- In:
International review of finance : the official journal …
23
(
2023
)
2
,
pp. 460-468
Persistent link: https://www.econbiz.de/10014326311
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
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:
4
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:
5
Modeling realized covariance matrices : a class of hadamard exponential models
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1376-1401
Persistent link: https://www.econbiz.de/10014391463
Saved in:
6
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
39
(
2023
)
5
,
pp. 1067-1092
Persistent link: https://www.econbiz.de/10014436596
Saved in:
7
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:
8
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:
9
A discussion on the robustness of conditional heteroskedasticity models : simulation evidence and applications of the crude oil returns
Shi, Yanlin
- In:
Finance research letters
44
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014494772
Saved in:
10
A closed-form estimator for the Markov switching in mean model
Shi, Yanlin
- In:
Finance research letters
44
(
2022
),
pp. 1-7
Persistent link: https://www.econbiz.de/10014495068
Saved in:
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