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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"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Bootstrap-Verfahren"
~subject:"Statistical inference"
~subject:"Volatility"
~subject:"Zeitreihenanalyse"
~subject:"nonstationarity"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Monte-Carlo-Simulation
Panel study
ARCH model
ARCH-Modell
Bootstrap-Verfahren
Statistical inference
Volatility
Zeitreihenanalyse
nonstationarity
Estimation theory
21
Schätztheorie
21
Time series analysis
11
Theorie
7
Theory
7
Einheitswurzeltest
3
Unit root test
3
Heteroscedasticity
2
Heteroskedastizität
2
Method of moments
2
Momentenmethode
2
Statistical test
2
Statistischer Test
2
Structural break
2
Strukturbruch
2
Autocorrelation
1
Autokorrelation
1
Causality analysis
1
Commodity exchange
1
Correlation
1
Kausalanalyse
1
Korrelation
1
Maximum likelihood estimation
1
Maximum-Likelihood-Schätzung
1
Metal market
1
Metallmarkt
1
Nichtparametrisches Verfahren
1
Nonparametric statistics
1
Probability theory
1
Präferenztheorie
1
Regression analysis
1
Regressionsanalyse
1
Statistical distribution
1
Statistische Verteilung
1
Theory of preferences
1
Volatilität
1
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12
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12
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English
Author
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Chan, Ngai Hang
Jong, Robert M. de
Leybourne, Stephen James
Taylor, Robert
Linton, Oliver
8
Phillips, Peter C. B.
7
Horváth, Lajos
5
Politis, Dimitris N.
5
Saikkonen, Pentti
5
Cavaliere, Giuseppe
4
Francq, Christian
4
Johansen, Søren
4
Robinson, Peter M.
4
Zakoïan, Jean-Michel
4
Zhang, Rongmao
4
Asai, Manabu
3
Chambers, Marcus J.
3
Gao, Jiti
3
Georgiev, Iliyan
3
Grégoir, Stéphane
3
Hafner, Christian M.
3
Hahn, Jinyong
3
Kokoszka, Piotr
3
Li, Qi
3
Ling, Shiqing
3
Nielsen, Morten Ørregaard
3
Peng, Liang
3
Seo, Won-Ki
3
Sun, Yixiao
3
Velasco, Carlos
3
Vogelsang, Timothy J.
3
Zaffaroni, Paolo
3
Arvanitis, Stelios
2
Berkes, István
2
Breitung, Jörg
2
Bugni, Federico A.
2
Cattaneo, Matias D.
2
Chen, Haiqiang
2
Chen, Songnian
2
Chen, Xiaohong
2
Choi, In
2
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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
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Economics letters
3
Journal of forecasting
3
Econometric reviews
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
Econometric analysis of financial and economic time series ; part B
1
Econometrics : open access journal
1
Handbook of financial time series
1
Journal of empirical finance
1
Oxford bulletin of economics and statistics
1
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ECONIS (ZBW)
12
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12
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1
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:
2
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:
3
Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point
Iacone, Fabrizio
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Econometric theory
35
(
2019
)
6
,
pp. 1201-1233
Persistent link: https://www.econbiz.de/10012149284
Saved in:
4
Unit root inference for non-stationary linear processes driven by infinite variance innovations
Cavaliere, Giuseppe
;
Georgiev, Iliyan
;
Taylor, Robert
- In:
Econometric theory
34
(
2018
)
2
,
pp. 302-348
Persistent link: https://www.econbiz.de/10011950958
Saved in:
5
Tail index of an AR(1) model with ARCH(1) errors
Chan, Ngai Hang
;
Li, Deyuan
;
Peng, Liang
;
Zhang, Rongmao
- In:
Econometric theory
29
(
2013
)
5
,
pp. 920-940
Persistent link: https://www.econbiz.de/10010248321
Saved in:
6
Toward a unified interval estimation of autoregressions
Chan, Ngai Hang
;
Li, Deyuan
;
Peng, Liang
- In:
Econometric theory
28
(
2012
)
3
,
pp. 705-717
Persistent link: https://www.econbiz.de/10009545785
Saved in:
7
Testing for unit roots in the presence of a possible break in trend and nonstationary volatility
Cavaliere, Giuseppe
;
Harvey, David I.
;
Leybourne, …
- In:
Econometric theory
27
(
2011
)
5
,
pp. 957-991
Persistent link: https://www.econbiz.de/10009379762
Saved in:
8
Dynamic time series binary choice
Jong, Robert M. de
;
Woutersen, Tiemen
- In:
Econometric theory
27
(
2011
)
4
,
pp. 673-702
Persistent link: https://www.econbiz.de/10009311780
Saved in:
9
Testing for long memory
Harris, David
;
McCabe, Brendan Peter Martin
;
Leybourne, …
- In:
Econometric theory
24
(
2008
)
1
,
pp. 143-175
Persistent link: https://www.econbiz.de/10003894122
Saved in:
10
Modified KPSS tests for near integration
Harris, David
;
Leybourne, Stephen James
;
McCabe, …
- In:
Econometric theory
23
(
2007
)
2
,
pp. 355-363
Persistent link: https://www.econbiz.de/10003429743
Saved in:
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