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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:"Jong, Robert M. de"
~person:"Leybourne, Stephen James"
~person:"Taylor, Robert"
~person:"Teräsvirta, Timo"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Estimation"
~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
Estimation
Method of moments
Statistical inference
Zeitreihenanalyse
nonstationarity
Estimation theory
29
Schätztheorie
29
Time series analysis
17
Theorie
6
Theory
6
Volatility
6
Volatilität
6
Statistical test
5
Statistischer Test
5
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4
Autokorrelation
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Heteroscedasticity
4
Heteroskedastizität
4
Nichtlineare Regression
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Nonlinear regression
4
Schätzung
4
Correlation
3
Einheitswurzeltest
3
Korrelation
3
Maximum likelihood estimation
3
Maximum-Likelihood-Schätzung
3
Multivariate Analyse
3
Multivariate analysis
3
Structural break
3
Strukturbruch
3
Unit root test
3
VAR model
3
VAR-Modell
3
Bootstrap approach
2
Bootstrap-Verfahren
2
Börsenkurs
2
Share price
2
ARMA model
1
ARMA-Modell
1
Australia
1
Australien
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8
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Jong, Robert M. de
Leybourne, Stephen James
Taylor, Robert
Teräsvirta, Timo
Nielsen, Morten Ørregaard
17
Johansen, Søren
12
Linton, Oliver
9
Cavaliere, Giuseppe
7
Kristensen, Dennis
7
Phillips, Peter C. B.
7
Chan, Ngai Hang
6
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
Lee, Lung-fei
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
Cai, Zongwu
3
Chambers, Marcus J.
3
Chen, Xiaohong
3
Christensen, Bent Jesper
3
Georgiev, Iliyan
3
Grégoir, Stéphane
3
Guggenberger, Patrik
3
Hafner, Christian M.
3
Hahn, Jinyong
3
Hualde, Javier
3
Kock, Anders Bredahl
3
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CREATES research paper
Econometric theory
Journal of time series econometrics
Journal of econometrics
14
Econometric reviews
6
Working paper series in economics and finance
6
Discussion paper / Tinbergen Institute
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Queen's Economics Department working paper
4
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
4
Economics letters
3
An Elgar reference collection
2
Econometrics : open access journal
2
International journal of forecasting
2
Journal of empirical finance
2
Journal of forecasting
2
SSE EFI working paper series in economics and finance
2
The international library of critical writings in econometrics
2
Annales d'économie et de statistique
1
Arbeidsnotat / Norges Bank
1
Arbeidsnotat / Norges Bank / Norges Bank
1
CEA_372Cass working paper series
1
CREDIT research paper
1
Discussion paper / Department of Economics, University of California San Diego
1
Economic research paper / Loughborough University, Department of Economics
1
Economic research paper / Loughborough University, Department of Economics / Loughborough University, Department of Economics
1
Elinkeinoelämän Tutkimuslaitos, Keskusteluaiheita
1
Handbook of economic forecasting ; 1
1
Handbook of financial time series
1
Journal of applied econometrics
1
NCER working paper series
1
Nonlinear dynamics and economics : proceedings of the Tenth Internat. Symposium in Economic Theory and Econometrics
1
Oxford bulletin of economics and statistics
1
Working paper / Department of Econometrics and Business Statistics, Monash University
1
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ECONIS (ZBW)
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1
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
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
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
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
Comprehensive testing of linearity against the smooth transition autoregressive model
Seong, Dakyung
;
Cho, Jin Seo
;
Teräsvirta, Timo
-
2019
-
This version: August 2019
Persistent link: https://www.econbiz.de/10012316842
Saved in:
6
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli
;
Kang, Jian
;
Teräsvirta, Timo
;
Zhang, Shuhua
-
2019
Persistent link: https://www.econbiz.de/10012316885
Saved in:
7
Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2017
Persistent link: https://www.econbiz.de/10011721042
Saved in:
8
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:
9
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:
10
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
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