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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:"Cavaliere, Giuseppe"
~person:"Chambers, Marcus J."
~person:"Chan, Ngai Hang"
~person:"Jong, Robert M. de"
~person:"Leybourne, Stephen James"
~person:"Taylor, Robert"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Estimation theory"
~subject:"Statistical inference"
~subject:"Volatility"
~subject:"Zeitreihenanalyse"
~subject:"nonstationarity"
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Monte-Carlo-Simulation
Panel study
ARCH model
ARCH-Modell
Estimation theory
Statistical inference
Volatility
Zeitreihenanalyse
nonstationarity
Schätztheorie
35
Time series analysis
19
Theorie
12
Theory
12
Autocorrelation
5
Autokorrelation
5
Heteroscedasticity
5
Heteroskedastizität
5
Einheitswurzeltest
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Unit root test
4
Bootstrap approach
3
Bootstrap-Verfahren
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Estimation
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Regressionsanalyse
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Statistical test
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Structural break
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Strukturbruch
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Aggregation
2
Method of moments
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2
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2
Nonparametric statistics
2
Volatilität
2
1910-1970
1
ARMA model
1
ARMA-Modell
1
Business cycle
1
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1
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Cavaliere, Giuseppe
Chambers, Marcus J.
Chan, Ngai Hang
Jong, Robert M. de
Leybourne, Stephen James
Taylor, Robert
Phillips, Peter C. B.
22
Linton, Oliver
20
Nielsen, Morten Ørregaard
18
Johansen, Søren
15
Jansson, Michael
12
Kristensen, Dennis
12
Lee, Lung-fei
12
Teräsvirta, Timo
11
Cattaneo, Matias D.
10
Saikkonen, Pentti
10
Li, Qi
9
White, Halbert
9
Andrews, Donald W. K.
8
Chen, Songnian
8
Newey, Whitney K.
8
Pötscher, Benedikt M.
8
Gao, Jiti
7
Horváth, Lajos
7
Kanaya, Shin
7
Otsu, Taisuke
7
Podolskij, Mark
7
Rahbek, Anders
7
Varneskov, Rasmus Tangsgaard
7
Wang, Qiying
7
Wooldridge, Jeffrey M.
7
Christensen, Bent Jesper
6
Hahn, Jinyong
6
Hansen, Bruce E.
6
Knight, John L.
6
Kruse, Robinson
6
Nielsen, Bent
6
Su, Liangjun
6
Xiao, Zhijie
6
Andersen, Torben
5
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CREATES research paper
Econometric theory
Journal of time series econometrics
Journal of econometrics
23
Economics letters
7
Discussion paper / University of Essex, Department of Economics
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
5
Discussion paper series / University of Essex, Department of Economics
4
Discussion papers / Department of Economics, University of Copenhagen
4
Economic research paper / Loughborough University, Department of Economics
4
Journal of forecasting
4
Queen's Economics Department working paper
4
Econometrics : open access journal
3
Economic research paper / Loughborough University, Department of Economics / Loughborough University, Department of Economics
3
Journal of empirical finance
3
Oxford bulletin of economics and statistics
3
An Elgar reference collection
2
CEA_372Cass working paper series
2
CREATES Research Paper
2
Discussion paper / Center for Economic Research, Tilburg University
2
Econometric reviews
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
The economic journal : the journal of the Royal Economic Society
2
The international library of critical writings in econometrics
2
Annales d'économie et de statistique
1
CREDIT research paper
1
Discussion papers / University of Essex, Department of Economics
1
Econometric Theory
1
Econometric analysis of financial and economic time series ; part B
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Handbook of financial time series
1
Insurance / Mathematics & economics
1
International journal of forecasting
1
International journal of theoretical and applied finance
1
Journal of applied econometrics
1
Journal of the American Statistical Association : JASA
1
Journal of the Royal Statistical Society
1
Risk and decision analysis
1
The econometrics journal
1
The journal of risk and insurance : the journal of the American Risk and Insurance Association
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ECONIS (ZBW)
35
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1
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
-
2021
Persistent link: https://www.econbiz.de/10012434016
Saved in:
2
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
3
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:
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
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:
6
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:
7
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:
8
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:
9
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:
10
Empirical likelihood test for causality of bivariate AR(1) processes
Li, Deyuan
;
Chan, Ngai Hang
;
Lian, Peng
- In:
Econometric theory
30
(
2014
)
2
,
pp. 357-371
Persistent link: https://www.econbiz.de/10010399760
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