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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:"Chan, Ngai Hang"
~person:"Jong, Robert M. de"
~person:"Leybourne, Stephen James"
~person:"Taylor, Robert"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Statistical inference"
~subject:"Volatility"
~subject:"Zeitreihenanalyse"
~subject:"nonstationarity"
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Search: subject_exact:"Estimation theory"
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Monte-Carlo-Simulation
Panel study
ARCH model
ARCH-Modell
Statistical inference
Volatility
Zeitreihenanalyse
nonstationarity
Estimation theory
25
Schätztheorie
25
Time series analysis
15
Theorie
7
Theory
7
Heteroscedasticity
5
Heteroskedastizität
5
Einheitswurzeltest
3
Maximum likelihood estimation
3
Maximum-Likelihood-Schätzung
3
Statistical test
3
Statistischer Test
3
Structural break
3
Strukturbruch
3
Unit root test
3
Bootstrap approach
2
Bootstrap-Verfahren
2
Estimation
2
Method of moments
2
Momentenmethode
2
Nichtparametrisches Verfahren
2
Nonparametric statistics
2
Schätzung
2
Volatilität
2
ARMA model
1
ARMA-Modell
1
Autocorrelation
1
Autokorrelation
1
Causality analysis
1
Commodity derivative
1
Commodity exchange
1
Commodity price
1
Correlation
1
Fractional integration
1
Kausalanalyse
1
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1
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English
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Chan, Ngai Hang
Jong, Robert M. de
Leybourne, Stephen James
Taylor, Robert
Nielsen, Morten Ørregaard
17
Johansen, Søren
11
Teräsvirta, Timo
9
Linton, Oliver
8
Cavaliere, Giuseppe
7
Kristensen, Dennis
7
Phillips, Peter C. B.
7
Saikkonen, Pentti
6
Horváth, Lajos
5
Politis, Dimitris N.
5
Andersen, Torben
4
Christensen, Kim
4
Francq, Christian
4
Gao, Jiti
4
Kanaya, Shin
4
MacKinnon, James G.
4
Podolskij, Mark
4
Proietti, Tommaso
4
Rahbek, Anders
4
Robinson, Peter M.
4
Silvennoinen, Annastiina
4
Zakoïan, Jean-Michel
4
Zhang, Rongmao
4
Asai, Manabu
3
Bugni, Federico A.
3
Chambers, Marcus J.
3
Georgiev, Iliyan
3
Grégoir, Stéphane
3
Hafner, Christian M.
3
Hahn, Jinyong
3
Hualde, Javier
3
Kock, Anders Bredahl
3
Kokoszka, Piotr
3
Kruse, Robinson
3
Li, Degui
3
Li, Qi
3
Ling, Shiqing
3
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CREATES research paper
Econometric theory
Journal of time series econometrics
Journal of econometrics
12
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Queen's Economics Department working paper
4
Economics letters
3
Journal of forecasting
3
An Elgar reference collection
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
The international library of critical writings in econometrics
2
CREDIT research paper
1
Econometric analysis of financial and economic time series ; part B
1
Econometric reviews
1
Econometrics : open access journal
1
Economic research paper / Loughborough University, Department of Economics
1
Economic research paper / Loughborough University, Department of Economics / Loughborough University, Department of Economics
1
Handbook of financial time series
1
Journal of empirical finance
1
Oxford bulletin of economics and statistics
1
Working paper / Department of Econometrics and Business Statistics, Monash University
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ECONIS (ZBW)
16
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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 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:
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
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:
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
Tail index of an AR(1) model with ARCH(1) errors
Chan, Ngai Hang
;
Li, Deyuan
;
Peng, Liang
;
Zhang, Rongmao
- In:
Econometric theory
29
(
2013
)
5
,
pp. 920-940
Persistent link: https://www.econbiz.de/10010248321
Saved in:
10
Toward a unified interval estimation of autoregressions
Chan, Ngai Hang
;
Li, Deyuan
;
Peng, Liang
- In:
Econometric theory
28
(
2012
)
3
,
pp. 705-717
Persistent link: https://www.econbiz.de/10009545785
Saved in:
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