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subject:"Großbritannien"
subject:"Wechselkurs"
~isPartOf:"Journal of econometrics"
~person:"Aït-Sahalia, Yacine"
~person:"Taylor, Robert"
~subject:"Monte-Carlo-Simulation"
~subject:"Time series analysis"
~subject:"Volatilität"
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Search: subject_exact:"Estimation theory"
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Großbritannien
Wechselkurs
Monte-Carlo-Simulation
Time series analysis
Volatilität
Estimation theory
21
Schätztheorie
21
Zeitreihenanalyse
11
Structural break
6
Strukturbruch
6
Regression analysis
5
Regressionsanalyse
5
Einheitswurzeltest
4
Forecasting model
4
Prognoseverfahren
4
Statistical test
4
Statistischer Test
4
Unit root test
4
Volatility
4
Bootstrap approach
3
Bootstrap-Verfahren
3
Capital income
3
Endogeneity
3
Estimation
3
Kapitaleinkommen
3
Predictive regression
3
Schätzung
3
(Un)conditional heteroskedasticity
2
Heteroscedasticity
2
Heteroskedastizität
2
IVX estimation
2
Information criteria
2
Maximum likelihood estimation
2
Maximum-Likelihood-Schätzung
2
Persistence
2
Stochastic process
2
Stochastischer Prozess
2
Unknown regressor persistence
2
Adaptive estimation
1
Autocorrelation
1
Autokorrelation
1
Break point estimation
1
Brownian motion
1
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Article
14
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14
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14
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English
14
Author
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Aït-Sahalia, Yacine
Taylor, Robert
Phillips, Peter C. B.
11
Todorov, Viktor
10
Linton, Oliver
8
Andersen, Torben
7
Francq, Christian
7
Leybourne, Stephen James
7
Li, Jia
7
Tauchen, George Eugene
7
Koopman, Siem Jan
6
Zhu, Ke
6
Chen, Xiaohong
5
Davis, Richard A.
5
Kim, Donggyu
5
Li, Qi
5
Li, Yingying
5
Mykland, Per A.
5
Robinson, Peter M.
5
Xiao, Zhijie
5
Zakoïan, Jean-Michel
5
Bollerslev, Tim
4
Chambers, Marcus J.
4
Harvey, David I.
4
Li, Dong
4
Ng, Serena
4
Park, Joon Y.
4
Shephard, Neil G.
4
Sun, Yixiao
4
Varneskov, Rasmus Tangsgaard
4
Zhang, Lan
4
Baillie, Richard
3
Baltagi, Badi H.
3
Chen, Rong
3
Dong, Chaohua
3
Elliott, Graham
3
Fan, Jianqing
3
Gallant, A. Ronald
3
Gao, Jiti
3
Ghysels, Eric
3
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Journal of econometrics
CREATES research paper
4
Queen's Economics Department working paper
4
Econometric theory
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Econometric reviews
1
Handbooks in finance
1
Journal of empirical finance
1
Journal of the American Statistical Association : JASA
1
Oxford bulletin of economics and statistics
1
Technical working paper / National Bureau of Economic Research
1
Working paper / Department of Econometrics and Business Statistics, Monash University
1
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ECONIS (ZBW)
14
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1
Testing for episodic predictability in stock returns
Demetrescu, Matei
;
Georgiev, Iliyan
;
Rodrigues, Paulo M. M.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 85-113
Persistent link: https://www.econbiz.de/10013441625
Saved in:
2
Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
Harris, David
;
Kew, Hsein
;
Taylor, Robert
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 354-388
Persistent link: https://www.econbiz.de/10012483394
Saved in:
3
A Hausman test for the presence of market microstructure noise in high frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
211
(
2019
)
1
,
pp. 176-205
Persistent link: https://www.econbiz.de/10012303614
Saved in:
4
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
198
(
2017
)
1
,
pp. 165-188
Persistent link: https://www.econbiz.de/10011818374
Saved in:
5
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
Aït-Sahalia, Yacine
;
Park, Joon Y.
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 119-138
Persistent link: https://www.econbiz.de/10011616006
Saved in:
6
Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
Harris, David
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Journal of econometrics
192
(
2016
)
2
,
pp. 451-467
Persistent link: https://www.econbiz.de/10011704729
Saved in:
7
Market-based estimation of stochastic volatility models
Aït-Sahalia, Yacine
;
Amengual, Dante
;
Manresa, Elena
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 418-435
Persistent link: https://www.econbiz.de/10011499700
Saved in:
8
Testing for seasonal unit roots by frequency domain regression
Chambers, Marcus J.
;
Ercolani, Joanne S.
;
Taylor, Robert
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 243-258
Persistent link: https://www.econbiz.de/10010256166
Saved in:
9
Testing for a break in trend when the order of integration is unknown
Iacone, Fabrizio
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Journal of econometrics
176
(
2013
)
1
,
pp. 30-45
Persistent link: https://www.econbiz.de/10009764402
Saved in:
10
Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics
Harvey, David I.
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Journal of econometrics
177
(
2013
)
2
,
pp. 265-284
Persistent link: https://www.econbiz.de/10010255186
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