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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 series"
~person:"Asai, Manabu"
~person:"Francq, Christian"
~person:"Nielsen, Bent"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Stochastischer Prozess"
~subject:"Zeitreihenanalyse"
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Monte-Carlo-Simulation
Panel study
ARCH model
ARCH-Modell
Stochastischer Prozess
Zeitreihenanalyse
Estimation theory
16
Schätztheorie
16
Time series analysis
7
Regression analysis
3
Regressionsanalyse
3
Kleinste-Quadrate-Methode
2
Least squares method
2
Robust statistics
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Robustes Verfahren
2
Statistical distribution
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Statistische Verteilung
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quasi-maximum likelihood estimation
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1-step Huber-skip
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APARCH
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ARMA model
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ARMA-Modell
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Analysis of variance
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Asymmetric Student-t distribution
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Beta-t-GARCH
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Chebychev estimator
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Cointegration
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Conditional heteroskedasticity
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Dickey-Fuller Tests
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Estimation
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Gegenbauer process
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Heteroskedastizität
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Induktive Statistik
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Interest rate
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Kointegration
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LAN in time series
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LMS
1
LTS
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Least squares estimator
1
Maximum likelihood estimation
1
Maximum-Likelihood-Schätzung
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Asai, Manabu
Francq, Christian
Nielsen, Bent
Nielsen, Morten Ørregaard
14
Johansen, Søren
11
Teräsvirta, Timo
8
Kohn, Robert
7
Kristensen, Dennis
7
Linton, Oliver
7
Phillips, Peter C. B.
7
Taylor, Robert
7
Cavaliere, Giuseppe
6
Saikkonen, Pentti
6
Canepa, Alessandra
5
Chan, Ngai Hang
5
Horváth, Lajos
5
Kanaya, Shin
5
Politis, Dimitris N.
5
Zakoïan, Jean-Michel
5
Gao, Jiti
4
Leybourne, Stephen James
4
Lunde, Asger
4
Podolskij, Mark
4
Proietti, Tommaso
4
Rahbek, Anders
4
Robinson, Peter M.
4
Santucci de Magistris, Paolo
4
Carter, Chris K.
3
Chambers, Marcus J.
3
Christensen, Kim
3
Grassi, Stefano
3
Grégoir, Stéphane
3
Hafner, Christian M.
3
Hualde, Javier
3
Jentsch, Carsten
3
Kokoszka, Piotr
3
Li, Degui
3
Musolesi, Antonio
3
Peng, Liang
3
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3
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CREATES research paper
Econometric theory
Journal of time series econometrics
Working paper series
Journal of econometrics
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
9
Economics discussion papers
5
Discussion papers / Department of Economics, University of Copenhagen
4
Econometrics : open access journal
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Handbook of financial time series
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Univ. of Copenhagen Dept. of Economics Discussion Paper
2
Annals of economics and statistics
1
CREATES Research Paper 2008-9
1
Department of Economics discussion paper series / University of Oxford
1
Econometric Institute research papers
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
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
The methodology and practice of econometrics : a Festschrift in honour of David F. Hendry
1
Tinbergen Institute Discussion Paper 2017-105/III
1
University of Copenhagen Economics Discussion Paper
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ECONIS (ZBW)
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1
Realized BEKK-CAW models
Asai, Manabu
;
So, Mike Ka-pui
- In:
Journal of time series econometrics
15
(
2023
)
1
,
pp. 49-77
Persistent link: https://www.econbiz.de/10014288366
Saved in:
2
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:
3
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:
4
Multivariate hyper-rotated GARCH-BEKK
Asai, Manabu
;
McAleer, Michael
- In:
Journal of time series econometrics
14
(
2022
)
2
,
pp. 175-198
Persistent link: https://www.econbiz.de/10013260190
Saved in:
5
The analysis of marked and weighted empirical processes of estimated residuals
Berenguer-Rico, Vanessa
;
Johansen, Søren
;
Nielsen, Bent
-
2019
Persistent link: https://www.econbiz.de/10012063555
Saved in:
6
Cointegrated dynamics for a generalized long memory process : application to interest rates
Asai, Manabu
;
Peiris, Shelton
;
McAleer, Michael
;
Allen, …
- In:
Journal of time series econometrics
12
(
2020
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012258310
Saved in:
7
Boundedness of m-estimators for linear regression in time series
Johansen, Søren
;
Nielsen, Bent
- In:
Econometric theory
35
(
2019
)
3
,
pp. 653-683
Persistent link: https://www.econbiz.de/10012146163
Saved in:
8
Asymptotic theory for iterated one-step Huber-skip estimators
Johansen, Søren
;
Nielsen, Bent
-
2011
Persistent link: https://www.econbiz.de/10009377349
Saved in:
9
Mixing properties of a general class of GARCH (1,1) models without moment assumptions on the observed process
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
22
(
2006
)
5
,
pp. 815-834
Persistent link: https://www.econbiz.de/10003379097
Saved in:
10
Estimating weak GARCH representations
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
16
(
2000
)
5
,
pp. 692-728
Persistent link: https://www.econbiz.de/10001533169
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