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subject:"Monte-Carlo-Simulation"
subject:"Panel study"
~isPartOf:"CREATES research paper"
~isPartOf:"Econometric theory"
~language:"eng"
~person:"Jong, Robert M. de"
~person:"Kokoszka, Piotr"
~person:"Taylor, Robert"
~person:"Zakoïan, Jean-Michel"
~subject:"ARCH-Modell"
~subject:"Commodity derivative"
~subject:"Method of moments"
~subject:"Statistical inference"
~subject:"Zeitreihenanalyse"
~subject:"nonstationarity"
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Monte-Carlo-Simulation
Panel study
ARCH-Modell
Commodity derivative
Method of moments
Statistical inference
Zeitreihenanalyse
nonstationarity
Estimation theory
23
Schätztheorie
23
Time series analysis
11
Theorie
9
Theory
9
ARCH model
6
Heteroscedasticity
4
Heteroskedastizität
4
Einheitswurzeltest
3
Structural break
3
Strukturbruch
3
Unit root test
3
Bootstrap approach
2
Bootstrap-Verfahren
2
Estimation
2
Maximum likelihood estimation
2
Maximum-Likelihood-Schätzung
2
Schätzung
2
Volatility
2
Volatilität
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ARMA model
1
ARMA-Modell
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Autocorrelation
1
Autokorrelation
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Commodity exchange
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Correlation
1
Fractional integration
1
Korrelation
1
Lagrange multiplier testing principle
1
Metal market
1
Metallmarkt
1
Momentenmethode
1
Nichtparametrisches Verfahren
1
Nonparametric statistics
1
Probability theory
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English
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Jong, Robert M. de
Kokoszka, Piotr
Taylor, Robert
Zakoïan, Jean-Michel
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
Andersen, Torben
4
Christensen, Kim
4
Francq, Christian
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
Zhang, Rongmao
4
Bugni, Federico A.
3
Chambers, Marcus J.
3
Chen, Xiaohong
3
Georgiev, Iliyan
3
Grégoir, Stéphane
3
Guggenberger, Patrik
3
Hahn, Jinyong
3
Hualde, Javier
3
Kock, Anders Bredahl
3
Kruse, Robinson
3
Lee, Lung-fei
3
Li, Degui
3
Li, Deyuan
3
Li, Qi
3
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CREATES research paper
Econometric theory
Journal of econometrics
17
Série des documents de travail / Centre de Recherche en Économie et Statistique
10
Queen's Economics Department working paper
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Discussion papers of interdisciplinary research project 373
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of empirical finance
2
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
2
Annales d'économie et de statistique
1
Annals of economics and statistics
1
CORE discussion paper : DP
1
Econometric reviews
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Handbook of financial time series
1
International journal of forecasting
1
Journal of the American Statistical Association : JASA
1
Measuring risk in complex stochastic systems
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
1
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ECONIS (ZBW)
17
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1
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17
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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
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:
3
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
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
Testing for unit roots in the presence of a possible break in trend and nonstationary volatility
Cavaliere, Giuseppe
;
Harvey, David I.
;
Leybourne, …
- In:
Econometric theory
27
(
2011
)
5
,
pp. 957-991
Persistent link: https://www.econbiz.de/10009379762
Saved in:
10
Dynamic time series binary choice
Jong, Robert M. de
;
Woutersen, Tiemen
- In:
Econometric theory
27
(
2011
)
4
,
pp. 673-702
Persistent link: https://www.econbiz.de/10009311780
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