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subject:"Estimation"
subject:"Volatilität"
~isPartOf:"Econometric reviews"
~isPartOf:"Journal of econometrics"
~person:"Koopman, Siem Jan"
~person:"Tauchen, George Eugene"
~subject:"Censored likelihood"
~subject:"Factor analysis"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Estimation
Volatilität
Censored likelihood
Factor analysis
Time series analysis
Estimation theory
17
Schätztheorie
17
Zeitreihenanalyse
11
Volatility
10
Schätzung
7
Börsenkurs
6
Share price
6
Stochastic process
6
Stochastischer Prozess
6
Stochastic volatility
5
Capital income
4
High-frequency data
4
Kapitaleinkommen
4
Consistency
3
Forecasting model
3
Maximum likelihood estimation
3
Maximum-Likelihood-Schätzung
3
Monte Carlo simulation
3
Monte-Carlo-Simulation
3
Prognoseverfahren
3
Adaptive estimation
2
Asymptotic normality
2
Bayes-Statistik
2
Bayesian inference
2
Beta
2
Beta risk
2
Betafaktor
2
Importance sampling
2
Invertibility
2
Kalman filter
2
Martingal
2
Martingale
2
Nichtlineare Regression
2
Nichtparametrisches Verfahren
2
Nonlinear regression
2
Nonparametric statistics
2
Observation-driven models
2
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English
16
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Koopman, Siem Jan
Tauchen, George Eugene
Phillips, Peter C. B.
15
Linton, Oliver
12
Taylor, Robert
10
Todorov, Viktor
10
Gao, Jiti
9
Andersen, Torben
7
Baltagi, Badi H.
7
Francq, Christian
7
Leybourne, Stephen James
7
Li, Jia
7
Li, Qi
7
Teräsvirta, Timo
7
Zhu, Ke
7
Cai, Zongwu
6
Chen, Xiaohong
6
Li, Degui
6
Li, Kunpeng
6
Li, Yingying
6
Su, Liangjun
6
Sun, Yiguo
6
Zakoïan, Jean-Michel
6
Aït-Sahalia, Yacine
5
Davis, Richard A.
5
Dong, Chaohua
5
Hsiao, Cheng
5
Kim, Donggyu
5
Li, Dong
5
Liang, Zhongwen
5
Maasoumi, Esfandiar
5
Mykland, Per A.
5
Ng, Serena
5
Park, Joon Y.
5
Robinson, Peter M.
5
Xiao, Zhijie
5
Zhang, Lan
5
Bai, Jushan
4
Baillie, Richard
4
Blasques, Francisco
4
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Econometric reviews
Journal of econometrics
Discussion paper / Tinbergen Institute
29
ERID working paper
4
Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Advances in econometrics
2
Discussion paper / Center for Economic Research, Tilburg University
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Suntory Toyota International Centre for Economics and Related Disciplines
2
A history of market performance : from ancient Babylonia to the modern world
1
Advances in economics and econometrics: theory and applications ; Vol. 3
1
Computation and estimation in finance and economics
1
Discussion paper series / LSE Financial Markets Group
1
Econometric theory
1
Econometrics : open access journal
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
Handbook of financial time series
1
International journal of forecasting
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Macroeconomic dynamics
1
NBP working paper
1
Nonparametric dynamic modelling
1
Research memorandum series / Tinbergen Instituut
1
Suntory and Toyota International Centres for Economics and Related Disciplines
1
Tinbergen Discussion Paper
1
Tinbergen Institute Discussion Paper 09-110/4
1
Tinbergen Institute Discussion Paper 11-090/4
1
Tinbergen Institute Discussion Paper 14-046/III
1
Tinbergen Institute Discussion Paper 20-004/III
1
Tinbergen Institute Discussion Paper 2018-013/III
1
Tinbergen Institute Discussion Paper 2018-027/III
1
Tinbergen Institute Discussion Paper 2021-098/III
1
Working paper series economics and econometrics
1
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ECONIS (ZBW)
16
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1
Beta observation-driven models with exogenous regressors : a joint analysis of realized correlation and leverage effects
Gorgi, Paolo
;
Koopman, Siem Jan
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471518
Saved in:
2
New directions in nonlinear structural estimation : Bayes and Frequentist: editorial
Tauchen, George Eugene
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 1-3
Persistent link: https://www.econbiz.de/10013441706
Saved in:
3
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
4
Maximum likelihood estimation for score-driven models
Blasques, Francisco
;
Brummelen, Janneke van
;
Koopman, …
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 325-346
Persistent link: https://www.econbiz.de/10013442028
Saved in:
5
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
6
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
7
Nonlinear autoregressive models with optimality properties
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
- In:
Econometric reviews
39
(
2020
)
6
,
pp. 559-578
Persistent link: https://www.econbiz.de/10012195421
Saved in:
8
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
9
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
10
Monte Carlo maximum likelihood estimation for generalized long-memory time series models
Mesters, G.
;
Koopman, Siem Jan
;
Ooms, Marius
- In:
Econometric reviews
35
(
2016
)
1/4
,
pp. 659-687
Persistent link: https://www.econbiz.de/10011550112
Saved in:
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