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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:"The international library of critical writings in econometrics"
~language:"eng"
~person:"Chan, Ngai Hang"
~person:"Jong, Robert M. de"
~person:"Leybourne, Stephen James"
~person:"Taylor, Robert"
~person:"Teräsvirta, Timo"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Statistical inference"
~subject:"Volatility"
~subject:"Zeitreihenanalyse"
~subject:"nonstationarity"
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Monte-Carlo-Simulation
Panel study
ARCH model
ARCH-Modell
Statistical inference
Volatility
Zeitreihenanalyse
nonstationarity
Estimation theory
38
Schätztheorie
38
Time series analysis
23
Theorie
7
Theory
7
Statistical test
6
Statistischer Test
6
Volatilität
6
Heteroscedasticity
5
Heteroskedastizität
5
Autocorrelation
4
Autokorrelation
4
Estimation
4
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
4
Nichtlineare Regression
4
Nonlinear regression
4
Schätzung
4
Correlation
3
Einheitswurzeltest
3
Korrelation
3
Multivariate Analyse
3
Multivariate analysis
3
Structural break
3
Strukturbruch
3
Unit root test
3
VAR model
3
VAR-Modell
3
Bootstrap approach
2
Bootstrap-Verfahren
2
Börsenkurs
2
Method of moments
2
Momentenmethode
2
Nichtparametrisches Verfahren
2
Nonparametric statistics
2
Regression analysis
2
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Chan, Ngai Hang
Jong, Robert M. de
Leybourne, Stephen James
Taylor, Robert
Teräsvirta, Timo
Nielsen, Morten Ørregaard
17
Johansen, Søren
11
Linton, Oliver
8
Cavaliere, Giuseppe
7
Kristensen, Dennis
7
Phillips, Peter C. B.
7
Saikkonen, Pentti
6
Horváth, Lajos
5
Politis, Dimitris N.
5
Andersen, Torben
4
Christensen, Kim
4
Francq, Christian
4
Gao, Jiti
4
Kanaya, Shin
4
MacKinnon, James G.
4
Podolskij, Mark
4
Proietti, Tommaso
4
Rahbek, Anders
4
Robinson, Peter M.
4
Silvennoinen, Annastiina
4
Zakoïan, Jean-Michel
4
Zhang, Rongmao
4
Asai, Manabu
3
Bugni, Federico A.
3
Chambers, Marcus J.
3
Georgiev, Iliyan
3
Grégoir, Stéphane
3
Hafner, Christian M.
3
Hahn, Jinyong
3
Hualde, Javier
3
Kock, Anders Bredahl
3
Kokoszka, Piotr
3
Kruse, Robinson
3
Li, Degui
3
Li, Qi
3
Ling, Shiqing
3
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CREATES research paper
Econometric theory
Journal of time series econometrics
The international library of critical writings in econometrics
Journal of econometrics
14
Econometric reviews
6
Working paper series in economics and finance
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
5
Discussion paper / Tinbergen Institute
4
Queen's Economics Department working paper
4
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
4
Econometrics : open access journal
3
Economics letters
3
Journal of forecasting
3
An Elgar reference collection
2
Handbook of financial time series
2
International journal of forecasting
2
Journal of empirical finance
2
SSE EFI working paper series in economics and finance
2
Arbeidsnotat / Norges Bank
1
Arbeidsnotat / Norges Bank / Norges Bank
1
CEA_372Cass working paper series
1
CREDIT research paper
1
Discussion paper / Department of Economics, University of California San Diego
1
Econometric analysis of financial and economic time series ; part B
1
Economic research paper / Loughborough University, Department of Economics
1
Economic research paper / Loughborough University, Department of Economics / Loughborough University, Department of Economics
1
Journal of applied econometrics
1
NCER working paper series
1
Nonlinear dynamics and economics : proceedings of the Tenth Internat. Symposium in Economic Theory and Econometrics
1
Oxford bulletin of economics and statistics
1
Working paper / Department of Econometrics and Business Statistics, Monash University
1
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ECONIS (ZBW)
27
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1
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
3
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
-
2021
Persistent link: https://www.econbiz.de/10012434016
Saved in:
4
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
5
Comprehensive testing of linearity against the smooth transition autoregressive model
Seong, Dakyung
;
Cho, Jin Seo
;
Teräsvirta, Timo
-
2019
-
This version: August 2019
Persistent link: https://www.econbiz.de/10012316842
Saved in:
6
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli
;
Kang, Jian
;
Teräsvirta, Timo
;
Zhang, Shuhua
-
2019
Persistent link: https://www.econbiz.de/10012316885
Saved in:
7
Nonstationary linear processes with infinite variance GARCH errors
Zhang, Rongmao
;
Chan, Ngai Hang
- In:
Econometric theory
37
(
2021
)
5
,
pp. 892-925
Persistent link: https://www.econbiz.de/10012656388
Saved in:
8
Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2017
Persistent link: https://www.econbiz.de/10011721042
Saved in:
9
A property of the Hodrick-Prescott filter and its application
Sakarya, Neslihan
;
Jong, Robert M. de
- In:
Econometric theory
36
(
2020
)
5
,
pp. 840-870
Persistent link: https://www.econbiz.de/10012307241
Saved in:
10
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2016
Persistent link: https://www.econbiz.de/10011624059
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