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subject:"Monte-Carlo-Simulation"
subject:"Panel study"
~isPartOf:"CREATES research paper"
~isPartOf:"Econometric theory"
~isPartOf:"Journal of time series econometrics"
~language:"eng"
~person:"Asai, Manabu"
~person:"Francq, Christian"
~person:"Hualde, Javier"
~person:"Hyndman, Rob J."
~person:"Linton, Oliver"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Method of moments"
~subject:"Statistical inference"
~subject:"Zeitreihenanalyse"
~subject:"nonstationarity"
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Monte-Carlo-Simulation
Panel study
ARCH model
ARCH-Modell
Method of moments
Statistical inference
Zeitreihenanalyse
nonstationarity
Estimation theory
31
Schätztheorie
31
Nichtparametrisches Verfahren
8
Nonparametric statistics
8
Theorie
8
Theory
8
Time series analysis
8
Regression analysis
6
Regressionsanalyse
6
consistency
3
ARMA model
2
ARMA-Modell
2
Asymptotic normality
2
Volatility
2
Volatilität
2
deterministic trend
2
fractional process
2
generalized polynomial trend
2
noninvertibility
2
quasi-maximum likelihood estimation
2
Analysis of variance
1
Bias
1
Cointegration
1
Core
1
Dickey-Fuller Tests
1
Estimation
1
Gegenbauer process
1
IV-Schätzung
1
Induktive Statistik
1
Instrumental variables
1
Interest rate
1
Kointegration
1
Maximum likelihood estimation
1
Maximum-Likelihood-Schätzung
1
Momentenmethode
1
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English
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Asai, Manabu
Francq, Christian
Hualde, Javier
Hyndman, Rob J.
Linton, Oliver
Nielsen, Morten Ørregaard
17
Johansen, Søren
11
Teräsvirta, Timo
8
Cavaliere, Giuseppe
7
Phillips, Peter C. B.
7
Taylor, Robert
7
Chan, Ngai Hang
6
Kristensen, Dennis
6
Saikkonen, Pentti
6
Horváth, Lajos
5
Politis, Dimitris N.
5
Andersen, Torben
4
Christensen, Kim
4
Gao, Jiti
4
Kanaya, Shin
4
Leybourne, Stephen James
4
MacKinnon, James G.
4
Podolskij, Mark
4
Proietti, Tommaso
4
Rahbek, Anders
4
Robinson, Peter M.
4
Zakoïan, Jean-Michel
4
Zhang, Rongmao
4
Bugni, Federico A.
3
Chambers, Marcus J.
3
Chen, Xiaohong
3
Georgiev, Iliyan
3
Grégoir, Stéphane
3
Guggenberger, Patrik
3
Hafner, Christian M.
3
Hahn, Jinyong
3
Jong, Robert M. de
3
Kock, Anders Bredahl
3
Kokoszka, Piotr
3
Kruse, Robinson
3
Lee, Lung-fei
3
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CREATES research paper
Econometric theory
Journal of time series econometrics
Journal of econometrics
23
Working paper / Department of Econometrics and Business Statistics, Monash University
18
CEMMAP working papers / Centre for Microdata Methods and Practice
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
9
Cambridge working papers in economics
8
Econometrics papers
5
International journal of forecasting
4
Janeway Institute working paper series
3
Economics letters
2
Handbook of financial time series
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of the American Statistical Association : JASA
2
Queen's Economics Department working paper
2
Annals of economics and statistics
1
Cambridge-INET working papers
1
Cowles Foundation discussion paper
1
Discussion papers in economics
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
Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics
1
Econometrics : open access journal
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
1
The econometrics journal
1
Tinbergen Institute Discussion Paper 2017-105/III
1
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1
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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
Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
Hualde, Javier
;
Nielsen, Morten Ørregaard
-
2022
Persistent link: https://www.econbiz.de/10013189455
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
Truncated sum of squares estimation of fractional time series models with deterministic trends
Hualde, Javier
;
Nielsen, Morten Ørregaard
-
2020
Persistent link: https://www.econbiz.de/10012317784
Saved in:
5
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:
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
Truncated sum of squares estimation of fractional time series models with deterministic trends
Hualde, Javier
;
Nielsen, Morten Ørregaard
- In:
Econometric theory
36
(
2020
)
4
,
pp. 751-772
Persistent link: https://www.econbiz.de/10012258429
Saved in:
8
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:
9
Averaging of an increasing number of moment condition estimators
Chen, Xiaohong
;
Jacho-Chávez, David T.
;
Linton, Oliver
- In:
Econometric theory
32
(
2016
)
1
,
pp. 30-70
Persistent link: https://www.econbiz.de/10011578413
Saved in:
10
Estimation of and inference about the expected shortfall for time series with infinite variance
Linton, Oliver
;
Xiao, Zhijie
- In:
Econometric theory
29
(
2013
)
4
,
pp. 771-807
Persistent link: https://www.econbiz.de/10010210161
Saved in:
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