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subject:"Monte-Carlo-Simulation"
subject:"Panel study"
~isPartOf:"CREATES research paper"
~isPartOf:"Econometric theory"
~isPartOf:"Journal of time series econometrics"
~isPartOf:"Série des documents de travail / Centre de Recherche en Économie et Statistique"
~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~isPartOf:"Working paper series"
~person:"Francq, Christian"
~person:"Tjostheim, Dag"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Statistical inference"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Monte-Carlo-Simulation
Panel study
ARCH model
ARCH-Modell
Statistical inference
Zeitreihenanalyse
Estimation theory
26
Schätztheorie
26
Theorie
12
Theory
12
Time series analysis
10
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
4
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Risikomaß
3
Risk measure
3
Cointegration
2
Heteroscedasticity
2
Heteroskedastizität
2
Kointegration
2
Regression analysis
2
Regressionsanalyse
2
Statistical distribution
2
Statistische Verteilung
2
APARCH
1
Asymmetric Student-t distribution
1
Autocorrelation
1
Autokorrelation
1
Beta-t-GARCH
1
Conditional heteroskedasticity
1
Estimation
1
Forecasting model
1
Induktive Statistik
1
LAN in time series
1
Markov chain
1
Markov-Kette
1
Measurement
1
Messung
1
Monte Carlo simulation
1
Multivariate Analyse
1
Multivariate analysis
1
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5
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3
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Book / Working Paper
14
Article
6
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Arbeitspapier
14
Graue Literatur
14
Non-commercial literature
14
Working Paper
14
Article in journal
6
Aufsatz in Zeitschrift
6
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2
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English
20
Author
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Francq, Christian
Tjostheim, Dag
Gao, Jiti
50
Peng, Bin
19
Nielsen, Morten Ørregaard
17
Zakoïan, Jean-Michel
15
Hyndman, Rob J.
13
Linton, Oliver
12
Johansen, Søren
11
Martin, Gael M.
11
Poskitt, Donald Stephen
10
Dong, Chaohua
9
Yang, Yanrong
9
Phillips, Peter C. B.
8
Taylor, Robert
8
Teräsvirta, Timo
8
Cavaliere, Giuseppe
7
Gouriéroux, Christian
7
Kohn, Robert
7
Li, Degui
7
Horváth, Lajos
6
Kristensen, Dennis
6
Saikkonen, Pentti
6
Yan, Yayi
6
Canepa, Alessandra
5
Chan, Ngai Hang
5
Cheng, Tingting
5
Guégan, Dominique
5
Pan, Guangming
5
Politis, Dimitris N.
5
Sarafidis, Vasilis
5
Zhang, Xibin
5
Andersen, Torben
4
Broze, Laurence
4
Christensen, Kim
4
Comte, Fabienne
4
Frazier, David T.
4
Grose, Simone D.
4
Jiang, Bin
4
Kanaya, Shin
4
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Published in...
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CREATES research paper
Econometric theory
Journal of time series econometrics
Série des documents de travail / Centre de Recherche en Économie et Statistique
Working paper / Department of Econometrics and Business Statistics, Monash University
Working paper series
Journal of econometrics
12
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Annals of economics and statistics
1
Discussion papers of interdisciplinary research project 373
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Handbook of financial time series
1
Journal of the American Statistical Association : JASA
1
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
1
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ECONIS (ZBW)
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1
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013162003
Saved in:
2
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
39
(
2023
)
5
,
pp. 1067-1092
Persistent link: https://www.econbiz.de/10014436596
Saved in:
3
Specification testing for nonlinear multivariate cointegrating regressions
Dong, Chaohua
;
Gao, Jiti
;
Tjostheim, Dag
;
Yin, Jiying
-
2016
-
Revised 14, 08
Persistent link: https://www.econbiz.de/10011781762
Saved in:
4
QML inference for volatility models with covariates
Francq, Christian
;
Le Quyen Thieu
- In:
Econometric theory
35
(
2019
)
1
,
pp. 37-72
Persistent link: https://www.econbiz.de/10012146117
Saved in:
5
Specification testing for nonlinear multivariate cointegrating regressions
Dong, Chaohua
;
Gao, Jiti
;
Tjostheim, Dag
;
Yin, Jiying
-
2014
Persistent link: https://www.econbiz.de/10010245240
Saved in:
6
Estimation for single-index and partially linear single-index nonstationary time series models
Dong, Chaohua
;
Gao, Jiti
;
Tjostheim, Dag
-
2014
Persistent link: https://www.econbiz.de/10010245242
Saved in:
7
Uniform consistency for nonparametric estimators in null recurrent time series
Gao, Jiti
;
Kanaya, Shin
;
Li, Degui
;
Tjostheim, Dag
-
2013
Persistent link: https://www.econbiz.de/10009790613
Saved in:
8
Uniform consistency for nonparametric estimators in null recurrent time series
Gao, Jiti
;
Kanaya, Shin
;
Li, Degui
;
Tjostheim, Dag
- In:
Econometric theory
31
(
2015
)
5
,
pp. 911-952
Persistent link: https://www.econbiz.de/10011545492
Saved in:
9
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
10
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
-
2009
Persistent link: https://www.econbiz.de/10003935355
Saved in:
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