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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:"Hualde, Javier"
~person:"Jong, Robert M. de"
~person:"Kanaya, Shin"
~person:"Taylor, Robert"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Commodity derivative"
~subject:"Method of moments"
~subject:"Statistical inference"
~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
Commodity derivative
Method of moments
Statistical inference
Zeitreihenanalyse
nonstationarity
Estimation theory
25
Schätztheorie
25
Time series analysis
16
Nichtparametrisches Verfahren
8
Nonparametric statistics
8
Theorie
5
Theory
5
Estimation
4
Heteroscedasticity
4
Heteroskedastizität
4
Schätzung
4
Volatility
4
Volatilität
4
Einheitswurzeltest
3
Stochastic process
3
Stochastischer Prozess
3
Structural break
3
Strukturbruch
3
Unit root test
3
Asymptotic normality
2
Bootstrap approach
2
Bootstrap-Verfahren
2
Maximum likelihood estimation
2
Maximum-Likelihood-Schätzung
2
consistency
2
deterministic trend
2
fractional process
2
generalized polynomial trend
2
noninvertibility
2
ARMA model
1
ARMA-Modell
1
Autocorrelation
1
Autokorrelation
1
Commodity exchange
1
Commodity price
1
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English
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Hualde, Javier
Jong, Robert M. de
Kanaya, Shin
Taylor, Robert
Nielsen, Morten Ørregaard
17
Johansen, Søren
11
Linton, Oliver
8
Teräsvirta, Timo
8
Cavaliere, Giuseppe
7
Phillips, Peter C. B.
7
Chan, Ngai Hang
6
Kristensen, Dennis
6
Saikkonen, Pentti
6
Horváth, Lajos
5
Politis, Dimitris N.
5
Andersen, Torben
4
Christensen, Kim
4
Francq, Christian
4
Gao, Jiti
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
Asai, Manabu
3
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
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
12
Queen's Economics Department working paper
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Annales d'économie et de statistique
1
CEMMAP working papers / Centre for Microdata Methods and Practice
1
Discussion papers in economics
1
Econometric reviews
1
Economics letters
1
Journal of empirical finance
1
Oxford bulletin of economics and statistics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
Working paper / Department of Econometrics and Business Statistics, Monash University
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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:
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