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subject:"Großbritannien"
subject:"Time series analysis"
~isPartOf:"Econometric reviews"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Macroeconomic dynamics"
~person:"Cavaliere, Giuseppe"
~person:"Engle, Robert F."
~person:"Hendry, David F."
~person:"Lucas, André"
~person:"Proietti, Tommaso"
~person:"Swanson, Norman R."
~subject:"Schätztheorie"
~subject:"USA"
~subject:"Welt"
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Großbritannien
Time series analysis
Schätztheorie
USA
Welt
Theorie
19
Theory
19
Zeitreihenanalyse
12
Forecasting model
5
Prognoseverfahren
5
Statistical test
5
Statistischer Test
5
Volatility
5
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Einheitswurzeltest
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Estimation
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Estimation theory
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United States
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(periodic) nonstationary volatility
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1947-2003
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1960-2003
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Cavaliere, Giuseppe
Engle, Robert F.
Hendry, David F.
Lucas, André
Proietti, Tommaso
Swanson, Norman R.
Franses, Philip Hans
8
Phillips, Peter C. B.
7
Spanos, Aris
7
Taylor, Robert
7
Hinich, Melvin J.
6
Kilian, Lutz
5
Maasoumi, Esfandiar
5
McAleer, Michael
5
Andreou, Elena
4
Morley, James C.
4
Psaradakis, Zacharias G.
4
Zellner, Arnold
4
Baltagi, Badi H.
3
Barnett, William A.
3
Bera, Anil K.
3
Bordignon, Silvano
3
Dagum, Estela Bee
3
Dijk, Dick van
3
Fiebig, Denzil G.
3
Granger, C. W. J.
3
Harvey, David I.
3
Jawadi, Fredj
3
Kapetanios, George
3
Kim, Chang-jin
3
King, Maxwell L.
3
Kumbhakar, Subal
3
Leybourne, Stephen James
3
Li, Qi
3
Lütkepohl, Helmut
3
Maddala, Gangadharrao S.
3
Nijman, Theodore E.
3
Pesaran, M. Hashem
3
Steel, Mark F. J.
3
Tzavalis, Elias
3
Ullah, Aman
3
Verbeek, Marno
3
Vinod, Hrishikesh D.
3
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Econometric reviews
Journal of empirical finance
Macroeconomic dynamics
Discussion paper / Tinbergen Institute
35
Working papers / Rutgers University, Department of Economics
30
Journal of econometrics
19
Discussion paper / Department of Economics, University of California San Diego
13
International journal of forecasting
13
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
11
Working paper / National Bureau of Economic Research, Inc.
11
CEIS Working Paper
8
Journal of applied econometrics
8
Department of Economics discussion paper series / University of Oxford
7
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
6
Advanced texts in econometrics
5
CEIS Tor Vergata research papers : CEIS Tor Vergata research paper series
5
Econometric theory
5
Oxford bulletin of economics and statistics
5
Discussion paper / Tinbergen Institute / Tinbergen Institute
4
NBER Working Paper
4
Working papers / Federal Reserve Bank of Philadelphia, Research Department
4
CREATES research paper
3
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
NBER working paper series
3
Report / Erasmus Center for Financial Research, Erasmus University
3
The review of economics and statistics
3
Univ. of Copenhagen Dept. of Economics Discussion Paper
3
Working paper series / European Central Bank
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Cowles Foundation discussion paper
2
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
2
Discussion papers in economics
2
Discussion papers in statistics and econometrics
2
Discussion papers of interdisciplinary research project 373
2
EERI research paper series
2
Econometrics : open access journal
2
Economics discussion papers
2
Economics letters
2
Handbook of econometrics ; Vol. 2
2
Journal of economic surveys
2
Journal of forecasting
2
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ECONIS (ZBW)
14
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1
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:
2
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:
3
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:
4
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:
5
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
6
In- and out-of-sample specification analysis of spot rate models : further evidence for the period 1982 - 2008
Cai, Lili
;
Swanson, Norman R.
- In:
Journal of empirical finance
18
(
2011
)
4
,
pp. 743-764
Persistent link: https://www.econbiz.de/10009306528
Saved in:
7
Seeing inside the black box : using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments
Armah, Nii Ayi
;
Swanson, Norman R.
- In:
Econometric reviews
29
(
2010
)
5/6
,
pp. 476-510
Persistent link: https://www.econbiz.de/10008668183
Saved in:
8
On the model-based interpretation of filters and the reliability of trend-cycle estimates
Proietti, Tommaso
- In:
Econometric reviews
28
(
2009
)
1/3
,
pp. 186-208
Persistent link: https://www.econbiz.de/10003800723
Saved in:
9
Out-of-sample tests or granger causality
Chao, John
;
Corradi, Valentina
;
Swanson, Norman R.
- In:
Macroeconomic dynamics
5
(
2001
)
4
,
pp. 598-620
Persistent link: https://www.econbiz.de/10001625176
Saved in:
10
Tests of nonnested hypotheses in nonstationary regressions with an application to modeling industrial production
Chao, John C.
;
Swanson, Norman R.
- In:
Macroeconomic dynamics
4
(
2000
)
1
,
pp. 42-72
Persistent link: https://www.econbiz.de/10001497768
Saved in:
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