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subject:"Großbritannien"
subject:"Time series analysis"
~isPartOf:"Econometric reviews"
~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 model"
~subject:"ARCH-Modell"
~subject:"Börsenkurs"
~subject:"Unit root test"
~subject:"Welt"
~type_genre:"Aufsatz in Zeitschrift"
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Großbritannien
Time series analysis
ARCH model
ARCH-Modell
Börsenkurs
Unit root test
Welt
Theorie
68
Theory
68
Zeitreihenanalyse
27
Volatility
19
Volatilität
19
Stochastic process
12
Stochastischer Prozess
12
Estimation theory
11
Schätztheorie
11
Forecasting model
10
Prognoseverfahren
10
Bootstrap approach
9
Bootstrap-Verfahren
9
Estimation
9
Schätzung
9
Statistical test
7
Statistischer Test
7
Cointegration
6
Einheitswurzeltest
6
Kointegration
6
Correlation
5
Financial market
5
Finanzmarkt
5
Korrelation
5
USA
5
United States
5
Nichtlineare Regression
4
Nichtparametrisches Verfahren
4
Nonlinear regression
4
Nonparametric statistics
4
Statistical distribution
4
Statistische Verteilung
4
ARMA model
3
ARMA-Modell
3
Autocorrelation
3
Autokorrelation
3
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Undetermined
11
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Article
34
Book / Working Paper
1
Type of publication (narrower categories)
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Aufsatz in Zeitschrift
Article in journal
35
Arbeitspapier
7
Graue Literatur
7
Non-commercial literature
7
Working Paper
7
Aufsatzsammlung
1
Collection of articles of several authors
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Conference paper
1
Festschrift
1
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English
35
Author
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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
Koop, Gary
9
Xiao, Zhijie
9
Chang, Yoosoon
8
Pesaran, M. Hashem
8
Yu, Jun
8
Franses, Philip Hans
7
Herwartz, Helmut
7
Hinich, Melvin J.
7
Kilian, Lutz
7
Park, Joon Y.
7
Teräsvirta, Timo
7
Kapetanios, George
6
Leybourne, Stephen James
6
Maasoumi, Esfandiar
6
Mariano, Roberto S.
6
Rombouts, Jeroen V. K.
6
Shin, Yongcheol
6
Spanos, Aris
6
Westerlund, Joakim
6
Andreou, Elena
5
Bauwens, Luc
5
Breitung, Jörg
5
Chan, Joshua
5
Chen, Xiaohong
5
Granger, C. W. J.
5
Hallin, Marc
5
Hendry, David F.
5
Hong, Yongmiao
5
Linton, Oliver
5
Morley, James C.
5
Ng, Serena
5
Perron, Pierre
5
Asai, Manabu
4
Bai, Jushan
4
Barigozzi, Matteo
4
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Econometric reviews
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
International journal of forecasting
9
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)
35
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35
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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
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:
3
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:
4
Annals issue: econometric models of climate change
Hillebrand, Eric
(
ed.
);
Pretis, Felix
(
ed.
); …
-
2020
Persistent link: https://www.econbiz.de/10012439936
Saved in:
5
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:
6
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:
7
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:
8
The multistep Beveridge-Nelson decomposition
Proietti, Tommaso
- In:
Econometric reviews
35
(
2016
)
1/4
,
pp. 373-395
Persistent link: https://www.econbiz.de/10011549941
Saved in:
9
Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
; …
- In:
Journal of econometrics
195
(
2016
)
2
,
pp. 211-223
Persistent link: https://www.econbiz.de/10011705251
Saved in:
10
Lag length selection for unit root tests in the presence of nonstationary volatility
Cavaliere, Giuseppe
;
Phillips, Peter C. B.
;
Smeekes, Stephan
- In:
Econometric reviews
34
(
2015
)
1/5
,
pp. 512-536
Persistent link: https://www.econbiz.de/10011373261
Saved in:
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