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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:"Hodgson, Douglas J."
~person:"Lucas, André"
~person:"McAleer, Michael"
~person:"Proietti, Tommaso"
~person:"Swanson, Norman R."
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Börsenkurs"
~subject:"Portfolio selection"
~subject:"Unit root test"
~subject:"Welt"
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Großbritannien
Time series analysis
ARCH model
ARCH-Modell
Börsenkurs
Portfolio selection
Unit root test
Welt
Theorie
81
Theory
81
Zeitreihenanalyse
35
Volatility
22
Volatilität
22
Forecasting model
20
Prognoseverfahren
20
Estimation
12
Schätzung
12
Stochastic process
12
Stochastischer Prozess
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Estimation theory
11
Schätztheorie
11
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Statistischer Test
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Bayes-Statistik
4
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4
Correlation
4
Econometrics
4
Financial market
4
Finanzmarkt
4
Korrelation
4
Nichtlineare Regression
4
Nichtparametrisches Verfahren
4
Nonlinear regression
4
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Undetermined
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Article
42
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2
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43
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43
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English
44
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Cavaliere, Giuseppe
Hodgson, Douglas J.
Lucas, André
McAleer, Michael
Proietti, Tommaso
Swanson, Norman R.
Phillips, Peter C. B.
24
Taylor, Robert
15
Franses, Philip Hans
13
Ledoit, Olivier
12
Makridakis, Spyros G.
12
Wolf, Michael
12
Hyndman, Rob J.
11
Koop, Gary
11
Hendry, David F.
9
Pesaran, M. Hashem
9
Xiao, Zhijie
9
Assimakopoulos, V.
8
Chang, Yoosoon
8
Engle, Robert F.
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
Linton, Oliver
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
De Nard, Gianluca
6
Dijk, Dick van
6
Granger, C. W. J.
6
Leybourne, Stephen James
6
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Association of Asia-Pacific Business School's Academic Conference <2018, Hongkong>
1
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Econometric reviews
International journal of forecasting
Journal of econometrics
Macroeconomic dynamics
Working paper series / University of Zurich, Department of Economics
Discussion paper / Tinbergen Institute
52
Working papers / Rutgers University, Department of Economics
19
Econometric Institute research papers
14
Working paper
13
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
9
CEIS Working Paper
8
Discussion paper / Institute of Social and Economic Research
8
Econometric theory
7
Journal of economic surveys
6
The econometrics journal
6
CEIS Tor Vergata research papers : CEIS Tor Vergata research paper series
5
Journal of applied econometrics
5
CREATES research paper
4
Discussion paper / Tinbergen Institute / Tinbergen Institute
4
Working papers / Federal Reserve Bank of Philadelphia, Research Department
4
Economics letters
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Journal of forecasting
3
Report / Econometric Institute, Erasmus University Rotterdam
3
Univ. of Copenhagen Dept. of Economics Discussion Paper
3
Advanced texts in econometrics
2
Applied financial economics
2
Contributions to financial econometrics : theoretical and practical issues
2
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
2
Discussion papers of interdisciplinary research project 373
2
EERI research paper series
2
Econometrics : open access journal
2
Finance research letters
2
Journal of empirical finance
2
Report / Econometric Institute, Erasmus University Rotterdam / Econometric Institute, Erasmus University Rotterdam
2
Report / Erasmus Center for Financial Research, Erasmus University
2
Rochester Center for Economic Research working paper
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
Working paper series / European Central Bank
2
A companion to economic forecasting
1
Advanced Texts in Econometrics Ser
1
Applied mathematical finance
1
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ECONIS (ZBW)
44
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1
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:
2
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:
3
Annals issue: Time series analysis of higher moments and distributions of financial data
Andersen, Torben
(
ed.
);
Chang, Chia-Lin
(
ed.
); …
-
Association of Asia-Pacific Business School's Academic …
-
2022
Persistent link: https://www.econbiz.de/10013440599
Saved in:
4
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:
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
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:
7
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:
8
Annals issue: econometric models of climate change
Hillebrand, Eric
(
ed.
);
Pretis, Felix
(
ed.
); …
-
2020
Persistent link: https://www.econbiz.de/10012439936
Saved in:
9
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:
10
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:
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