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subject:"Großbritannien"
subject:"Time series analysis"
~isPartOf:"CREATES research paper"
~isPartOf:"Discussion paper / Department of Economics, University of California San Diego"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Econometric reviews"
~isPartOf:"Macroeconomic dynamics"
~isPartOf:"Working paper series / University of Zurich, Department of Economics"
~person:"Cavaliere, Giuseppe"
~person:"Engle, Robert F."
~person:"Hendry, David F."
~person:"Hinich, Melvin J."
~person:"Hodgson, Douglas J."
~person:"Lucas, André"
~person:"McAleer, Michael"
~person:"Proietti, Tommaso"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Börsenkurs"
~subject:"Monte-Carlo-Simulation"
~subject:"Unit root test"
~subject:"Welt"
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Großbritannien
Time series analysis
ARCH model
ARCH-Modell
Börsenkurs
Monte-Carlo-Simulation
Unit root test
Welt
Theorie
149
Theory
149
Zeitreihenanalyse
61
Volatility
41
Volatilität
41
Stochastic process
29
Stochastischer Prozess
29
Portfolio selection
25
Portfolio-Management
25
Estimation
23
Schätzung
23
Capital income
19
Correlation
19
Kapitaleinkommen
19
Korrelation
19
Credit risk
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Kreditrisiko
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Forecasting model
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Prognoseverfahren
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Share price
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Estimation theory
13
Schätztheorie
13
Statistical distribution
13
Statistische Verteilung
13
State space model
11
USA
11
United States
11
Zustandsraummodell
11
Monte Carlo simulation
10
Maximum likelihood estimation
9
Maximum-Likelihood-Schätzung
9
Multivariate Analyse
9
Multivariate analysis
9
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8
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92
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Cavaliere, Giuseppe
Engle, Robert F.
Hendry, David F.
Hinich, Melvin J.
Hodgson, Douglas J.
Lucas, André
McAleer, Michael
Proietti, Tommaso
Koopman, Siem Jan
69
Dijk, Herman K. van
45
Franses, Philip Hans
21
Bos, Charles S.
20
Granger, C. W. J.
17
Dijk, Dick van
16
Hoogerheide, Lennart
16
Blasques, Francisco
12
Groot, Henri L. F. de
10
Ooms, Marius
10
Diks, Cees G. H.
9
Grassi, Stefano
9
Ledoit, Olivier
9
Paap, Richard
9
Teräsvirta, Timo
9
Wolf, Michael
9
Francois, Joseph F.
8
Haldrup, Niels
8
Gooijer, Jan G. de
7
Johansen, Søren
7
Taylor, Robert
7
Ardia, David
6
Basturk, Nalan
6
Boswijk, Herman Peter
6
Creal, Drew
6
De Nard, Gianluca
6
Elliott, Graham
6
Florax, Raymond J. G. M.
6
Jungbacker, Borus
6
Kilian, Lutz
6
Koop, Gary
6
Maasoumi, Esfandiar
6
Podolskij, Mark
6
Spanos, Aris
6
Timmermann, Allan
6
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CREATES research paper
Discussion paper / Department of Economics, University of California San Diego
Discussion paper / Tinbergen Institute
Econometric reviews
Macroeconomic dynamics
Working paper series / University of Zurich, Department of Economics
Journal of econometrics
17
Working paper
13
Econometric Institute research papers
12
International journal of forecasting
12
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
12
Department of Economics discussion paper series / University of Oxford
9
CEIS Working Paper
8
Discussion paper / Institute of Social and Economic Research
8
Journal of applied econometrics
8
Econometric theory
7
Journal of economic surveys
7
Working paper / National Bureau of Economic Research, Inc.
7
The econometrics journal
6
Advanced texts in econometrics
5
CEIS Tor Vergata research papers : CEIS Tor Vergata research paper series
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
NBER Working Paper
4
Discussion paper / Tinbergen Institute / Tinbergen Institute
3
Econometrics : open access journal
3
Journal of forecasting
3
NBER working paper series
3
Oxford bulletin of economics and statistics
3
Report / Econometric Institute, Erasmus University Rotterdam
3
Univ. of Copenhagen Dept. of Economics Discussion Paper
3
Contributions to financial econometrics : theoretical and practical issues
2
Department of Economics discussion paper / Department of Economics, The University of Birmingham
2
Department of Economics discussion paper series
2
EERI research paper series
2
Economics discussion papers
2
Economics letters
2
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
2
Journal of macroeconomics
2
Oxford review of economic policy
2
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ECONIS (ZBW)
92
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81
Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
Engle, Robert F.
;
Russell, Jeffrey R.
-
1995
Persistent link: https://www.econbiz.de/10000929607
Saved in:
82
Autoregressive conditional duration : a new model for irregularly spaced time series data
Engle, Robert F.
;
Russell, Jeffrey R.
-
1995
-
[Rev.]
Persistent link: https://www.econbiz.de/10000929636
Saved in:
83
A note on the relationship between GARCH and symmetric stable processes
Groenendijk, Patrick A.
;
Lucas, André
;
Vries, Casper G. de
-
1994
Persistent link: https://www.econbiz.de/10000560199
Saved in:
84
Outlier robust GMM estimation of leverage determinants
Lucas, André
;
Dijk, Ronald van
;
Kloek, Teun
-
1994
Persistent link: https://www.econbiz.de/10000151692
Saved in:
85
Cointegration and direct tests of the rational expectations hypothesis
McAleer, Michael
- In:
Econometric reviews
13
(
1994
)
2
,
pp. 231-258
Persistent link: https://www.econbiz.de/10001163111
Saved in:
86
Long run volatility forecasting for individual stocks in a one factor model
Engle, Robert F.
;
Lee, Gary G. J.
-
1993
Persistent link: https://www.econbiz.de/10000877958
Saved in:
87
A permanent and transitory component model of stock return volatility
Engle, Robert F.
;
Lee, Gary G. J.
-
1993
-
[Rev.]
Persistent link: https://www.econbiz.de/10000877975
Saved in:
88
Non-synchronous common cycles
Vahid, Farshid
;
Engle, Robert F.
-
1993
Persistent link: https://www.econbiz.de/10000878060
Saved in:
89
Arbitrage valuation of variance forecasts with simulated options
Engle, Robert F.
(
contributor
)
-
1992
-
Rev
Persistent link: https://www.econbiz.de/10000841635
Saved in:
90
A permanent and transitory component model of stock return volatality
Engle, Robert F.
;
Lee, Gary G. J.
-
1992
Persistent link: https://www.econbiz.de/10000853573
Saved in:
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