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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:"Kokoszka, Piotr"
~person:"Nielsen, Bent"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Stochastischer Prozess"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Monte-Carlo-Simulation
Panel study
ARCH model
ARCH-Modell
Stochastischer Prozess
Zeitreihenanalyse
Estimation theory
12
Schätztheorie
12
Time series analysis
5
Regression analysis
3
Regressionsanalyse
3
Kleinste-Quadrate-Methode
2
Least squares method
2
Robust statistics
2
Robustes Verfahren
2
Theorie
2
Theory
2
quasi-maximum likelihood estimation
2
1-step Huber-skip
1
ARMA model
1
ARMA-Modell
1
Analysis of variance
1
Chebychev estimator
1
Cointegration
1
Dickey-Fuller Tests
1
Gegenbauer process
1
Interest rate
1
Kointegration
1
LMS
1
LTS
1
Least squares estimator
1
Maximum likelihood estimation
1
Maximum-Likelihood-Schätzung
1
Multivariate Analyse
1
Multivariate analysis
1
Non-stationarity
1
Normal distribution
1
Regression
1
Robust Statistics
1
Stationarity
1
Statistical method
1
Statistische Methode
1
Stochastic process
1
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Asai, Manabu
Kokoszka, Piotr
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
Francq, Christian
4
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
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
Economics discussion papers
5
Discussion papers / Department of Economics, University of Copenhagen
4
Econometrics : open access journal
4
Discussion papers of interdisciplinary research project 373
2
Univ. of Copenhagen Dept. of Economics Discussion Paper
2
CREATES Research Paper 2008-9
1
Department of Economics discussion paper series / University of Oxford
1
Econometric Institute research papers
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
International journal of forecasting
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Measuring risk in complex stochastic systems
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
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:
3
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:
4
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:
5
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:
6
Asymptotic theory for iterated one-step Huber-skip estimators
Johansen, Søren
;
Nielsen, Bent
-
2011
Persistent link: https://www.econbiz.de/10009377349
Saved in:
7
Asymptotics for GARCH squared residual correlations
Berkes, István
;
Horváth, Lajos
;
Kokoszka, Piotr
- In:
Econometric theory
19
(
2003
)
4
,
pp. 515-540
Persistent link: https://www.econbiz.de/10001777176
Saved in:
8
Estimation of the maximal moment exponent of a GARCH (1,1) sequence
Berkes, István
;
Horváth, Lajos
;
Kokoszka, Piotr
- In:
Econometric theory
19
(
2003
)
4
,
pp. 565-586
Persistent link: https://www.econbiz.de/10001777182
Saved in:
9
Large sample distribution of weighted sums of ARCH(p) squared residual correlations
Horváth, Lajos
;
Kokoszka, Piotr
- In:
Econometric theory
17
(
2001
)
2
,
pp. 283-295
Persistent link: https://www.econbiz.de/10001568398
Saved in:
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