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subject:"Großbritannien"
subject:"Time series analysis"
~isPartOf:"Econometric reviews"
~isPartOf:"International journal of forecasting"
~isPartOf:"Journal of econometrics"
~isPartOf:"Macroeconomic dynamics"
~isPartOf:"Working paper series / University of Zurich, Department of Economics"
~person:"Cavaliere, Giuseppe"
~person:"Engle, Robert F."
~person:"Hodgson, Douglas J."
~person:"Lucas, André"
~person:"McAleer, Michael"
~person:"Proietti, Tommaso"
~person:"Swanson, Norman R."
~subject:"ARCH-Modell"
~subject:"Börsenkurs"
~subject:"Unit root test"
~subject:"Welt"
~type_genre:"Article in journal"
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Großbritannien
Time series analysis
ARCH-Modell
Börsenkurs
Unit root test
Welt
Theorie
82
Theory
82
Zeitreihenanalyse
35
Volatility
23
Volatilität
23
Forecasting model
19
Prognoseverfahren
19
Estimation
12
Estimation theory
12
Schätztheorie
12
Schätzung
12
Stochastic process
12
Stochastischer Prozess
12
Bootstrap approach
10
Bootstrap-Verfahren
10
Statistical test
8
Statistischer Test
8
USA
8
United States
8
ARCH model
7
Capital income
6
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6
Einheitswurzeltest
6
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6
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6
Kapitaleinkommen
6
Kointegration
6
Statistical distribution
6
Statistische Verteilung
6
Correlation
5
Korrelation
5
Bayes-Statistik
4
Bayesian inference
4
Nichtlineare Regression
4
Nichtparametrisches Verfahren
4
Nonlinear regression
4
Nonparametric statistics
4
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Undetermined
16
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Article
43
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1
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Article in journal
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44
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7
Graue Literatur
7
Non-commercial literature
7
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1
Collection of articles of several authors
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English
44
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Cavaliere, Giuseppe
Engle, Robert F.
Hodgson, Douglas J.
Lucas, André
McAleer, Michael
Proietti, Tommaso
Swanson, Norman R.
Phillips, Peter C. B.
24
Taylor, Robert
15
Franses, Philip Hans
12
Makridakis, Spyros G.
11
Koop, Gary
10
Hendry, David F.
9
Hyndman, Rob J.
9
Pesaran, M. Hashem
9
Xiao, Zhijie
9
Assimakopoulos, V.
8
Chang, Yoosoon
8
Herwartz, Helmut
8
Spiliotis, Evangelos
8
Yu, Jun
8
Breitung, Jörg
7
Chan, Joshua
7
Hinich, Melvin J.
7
Kapetanios, George
7
Kilian, Lutz
7
Koopman, Siem Jan
7
Marcellino, Massimiliano
7
Park, Joon Y.
7
Perron, Pierre
7
Peña, Daniel
7
Rombouts, Jeroen V. K.
7
Teräsvirta, Timo
7
Bauwens, Luc
6
Dijk, Dick van
6
Granger, C. W. J.
6
Leybourne, Stephen James
6
Maasoumi, Esfandiar
6
Mariano, Roberto S.
6
Shin, Yongcheol
6
Spanos, Aris
6
Westerlund, Joakim
6
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Econometric reviews
International journal of forecasting
Journal of econometrics
Macroeconomic dynamics
Working paper series / University of Zurich, Department of Economics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
11
Econometric theory
7
Journal of applied econometrics
6
Journal of economic surveys
6
The econometrics journal
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
Econometrics : open access journal
3
Economics letters
3
Applied financial economics
2
Journal of empirical finance
2
Journal of forecasting
2
Oxford bulletin of economics and statistics
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
The journal of finance : the journal of the American Finance Association
2
Advances in futures and options research : a research annual
1
Economies : open access journal
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Energy economics
1
Estudios de economía aplicada : revista promovida por Asepelt, Asociación de Economía Aplicada
1
Finance research letters
1
International review of economics & finance : IREF
1
Jingji-lunwen
1
Journal of applied economics
1
Journal of banking & finance
1
Journal of international money and finance
1
Journal of monetary economics
1
Practical issues in cointegration analysis
1
Quantitative finance and economics
1
Statistical methods & applications : SMA ; journal of the Italian Statistical Society
1
The Japanese economic review : the journal of the Japanese Economic Association
1
The North American journal of economics and finance : a journal of financial economics studies
1
The econometrics of economic policy
1
The journal of economic perspectives : EP ; a journal of the American Economic Association
1
The review of economic studies
1
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ECONIS (ZBW)
44
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1
Bootstrap inference for Hawkes and general point processes
Cavaliere, Giuseppe
;
Lu, Ye
;
Rahbek, Anders
; …
- In:
Journal of econometrics
235
(
2023
)
1
,
pp. 133-165
Persistent link: https://www.econbiz.de/10014434387
Saved in:
2
Time-varying variance and skewness in realized volatility measures
Opschoor, Anne
;
Lucas, André
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 827-840
Persistent link: https://www.econbiz.de/10014465151
Saved in:
3
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
4
Observation-driven models for realized variances and overnight returns applied to value-at-risk and expected shortfall forecasting
Opschoor, Anne
;
Lucas, André
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 622-633
Persistent link: https://www.econbiz.de/10012792858
Saved in:
5
Predictability, real time estimation, and the formulation of unobserved components models
Proietti, Tommaso
- In:
Econometric reviews
40
(
2021
)
5
,
pp. 433-454
Persistent link: https://www.econbiz.de/10012515613
Saved in:
6
Forecasting volatility with time-varying leverage and volatility of volatility effects
Catania, Leopoldo
;
Proietti, Tommaso
- In:
International journal of forecasting
36
(
2020
)
4
,
pp. 1301-1317
Persistent link: https://www.econbiz.de/10012546666
Saved in:
7
Annals issue: econometric models of climate change
Hillebrand, Eric
(
ed.
);
Pretis, Felix
(
ed.
); …
-
2020
Persistent link: https://www.econbiz.de/10012439936
Saved in:
8
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
Cavaliere, Giuseppe
;
Skrobotov, Anton
;
Taylor, Robert
- In:
Econometric reviews
38
(
2019
)
5
,
pp. 509-532
Persistent link: https://www.econbiz.de/10012181330
Saved in:
9
On the invertibility of EGARCH(p, q)
Martinet, Guillaume Gaetan
;
McAleer, Michael
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 824-849
Persistent link: https://www.econbiz.de/10012040413
Saved in:
10
A fractionally integrated Wishart stochastic volatility model
Asai, Manabu
;
McAleer, Michael
- In:
Econometric reviews
36
(
2017
)
1/3
,
pp. 42-59
Persistent link: https://www.econbiz.de/10011794625
Saved in:
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