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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:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~isPartOf:"Working paper series"
~person:"Cavaliere, Giuseppe"
~person:"Francq, Christian"
~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
17
Schätztheorie
17
Time series analysis
8
Autocorrelation
4
Autokorrelation
4
Bootstrap approach
4
Bootstrap-Verfahren
4
Heteroscedasticity
4
Heteroskedastizität
4
Einheitswurzeltest
3
Estimation
3
Schätzung
3
Unit root test
3
Volatility
3
Volatilität
3
Induktive Statistik
2
Maximum likelihood estimation
2
Maximum-Likelihood-Schätzung
2
Statistical distribution
2
Statistische Verteilung
2
APARCH
1
ARMA model
1
ARMA-Modell
1
Asymmetric Student-t distribution
1
Beta-t-GARCH
1
Co-integration
1
Cointegration
1
Commodity derivative
1
Commodity price
1
Conditional heteroskedasticity
1
Kointegration
1
LAN in time series
1
Measurement
1
Messung
1
Quadratic mean differentiability
1
Regression analysis
1
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8
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Graue Literatur
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Working Paper
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English
12
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Cavaliere, Giuseppe
Francq, Christian
Gao, Jiti
50
Peng, Bin
19
Nielsen, Morten Ørregaard
17
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
Kohn, Robert
7
Li, Degui
7
Kristensen, Dennis
6
Saikkonen, Pentti
6
Tjostheim, Dag
6
Yan, Yayi
6
Canepa, Alessandra
5
Chan, Ngai Hang
5
Cheng, Tingting
5
Horváth, Lajos
5
Pan, Guangming
5
Politis, Dimitris N.
5
Sarafidis, Vasilis
5
Zakoïan, Jean-Michel
5
Zhang, Xibin
5
Andersen, Torben
4
Christensen, Kim
4
Frazier, David T.
4
Grose, Simone D.
4
Jiang, Bin
4
Kanaya, Shin
4
Leybourne, Stephen James
4
Liu, Fei
4
MacKinnon, James G.
4
Podolskij, Mark
4
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CREATES research paper
Econometric theory
Journal of time series econometrics
Working paper / Department of Econometrics and Business Statistics, Monash University
Working paper series
Journal of econometrics
12
Série des documents de travail / Centre de Recherche en Économie et Statistique
9
Discussion papers / Department of Economics, University of Copenhagen
3
CREATES Research Paper
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Queen's Economics Department working paper
2
Annals of economics and statistics
1
Econometric Theory
1
Econometric reviews
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 empirical finance
1
Journal of the American Statistical Association : JASA
1
Oxford bulletin of economics and statistics
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
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
4
A primer on bootstrap testing of hypotheses in time series models : with an application to double autoregressive models
Cavaliere, Giuseppe
;
Rahbek, Anders
- In:
Econometric theory
37
(
2021
)
1
,
pp. 1-48
Persistent link: https://www.econbiz.de/10012437042
Saved in:
5
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
Saved in:
6
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:
7
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2014
Persistent link: https://www.econbiz.de/10010394614
Saved in:
8
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:
9
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:
10
Robust inference in autoregressions with multiple outliers
Cavaliere, Giuseppe
;
Georgiev, Iliyan
- In:
Econometric theory
25
(
2009
)
6
,
pp. 1625-1661
Persistent link: https://www.econbiz.de/10003904429
Saved in:
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