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subject:"Stochastischer Prozess"
subject:"Volatility"
~accessRights:"free"
~person:"Alizadeh, Sassan"
~person:"Claeskens, Gerda"
~person:"Teräsvirta, Timo"
~source:"econis"
~subject:"Multivariate analysis"
~subject:"Scientific modelling"
~type_genre:"Arbeitspapier"
~type_genre:"Graue Literatur"
~type_genre:"Working Paper"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Multivariate analysis
Scientific modelling
Estimation theory
32
Schätztheorie
32
Time series analysis
12
Zeitreihenanalyse
12
Volatilität
9
ARCH model
8
ARCH-Modell
8
Regression analysis
7
Regressionsanalyse
7
Multivariate Analyse
6
Nichtlineare Regression
6
Nonlinear regression
6
Estimation
5
Modellierung
5
Schätzung
5
Autocorrelation
4
Autokorrelation
4
Nichtparametrisches Verfahren
4
Nonparametric statistics
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Statistical test
4
Statistischer Test
4
Theorie
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Theory
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VAR model
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VAR-Modell
4
Börsenkurs
3
Exchange rate
3
Share price
3
Statistical distribution
3
Statistische Verteilung
3
Wechselkurs
3
Correlation
2
Korrelation
2
Maximum likelihood estimation
2
Maximum-Likelihood-Schätzung
2
Penalization
2
State space model
2
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Book / Working Paper
16
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Arbeitspapier
Graue Literatur
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Non-commercial literature
16
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English
16
Author
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Alizadeh, Sassan
Claeskens, Gerda
Teräsvirta, Timo
Koopman, Siem Jan
15
Sentana, Enrique
11
Reiß, Markus
10
Härdle, Wolfgang
8
Lucas, André
8
Shephard, Neil G.
8
Croux, Christophe
7
Fiorentini, Gabriele
7
Hafner, Christian M.
7
Nesheim, Lars
7
Phillips, Peter C. B.
7
Swanson, Norman R.
7
Amengual, Dante
6
Bibinger, Markus
6
Blasques, Francisco
6
Bonhomme, Stéphane
6
Hautsch, Nikolaus
6
Koop, Gary
6
Nielsen, Morten Ørregaard
6
Andrews, Donald W. K.
5
Audrino, Francesco
5
Barndorff-Nielsen, Ole E.
5
Chan, Joshua
5
Ekeland, Ivar
5
Heckman, James J.
5
Linton, Oliver
5
Lunde, Asger
5
Rodriguez, Gabriel
5
Sibbertsen, Philipp
5
Strachan, Rodney W.
5
Weidner, Martin
5
Boudt, Kris
4
Brandt, Michael W.
4
Cai, Zongwu
4
Chen, Xiaohong
4
Christopeit, Norbert
4
Corradi, Valentina
4
Dette, Holger
4
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Institution
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Rodney L. White Center for Financial Research
2
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KBI
6
CREATES research paper
5
Working papers / Rodney L. White Center for Financial Research
2
CEA_372Cass working paper series
1
Financial Institutions Center
1
NCER working paper series
1
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ECONIS (ZBW)
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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
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2
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:
3
Fixed effects testing in high-dimensional linear mixed models
Bradic, Jelena
;
Claeskens, Gerda
;
Gueuning, Thomas
-
2019
Persistent link: https://www.econbiz.de/10012234699
Saved in:
4
Asymptotic post-selection inference for Akaike's information criterion
Charkhi, Ali
;
Claeskens, Gerda
-
2018
Persistent link: https://www.econbiz.de/10011799016
Saved in:
5
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011373232
Saved in:
6
Multivariate mixtures of Erlangs for density estimation under censoring and truncation : additional examples
Verbelen, Roel
;
Antonio, Katrien
;
Claeskens, Gerda
-
2015
Persistent link: https://www.econbiz.de/10011290638
Saved in:
7
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011777143
Saved in:
8
Multivariate mixtures of Erlangs for density estimation under censoring and truncation
Verbelen, Roel
;
Antonio, Katrien
;
Claeskens, Gerda
-
2014
Persistent link: https://www.econbiz.de/10010485676
Saved in:
9
Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
-
2013
Persistent link: https://www.econbiz.de/10010440898
Saved in:
10
Thresholds and smooth transitions in vector autoregressive models
Hubrich, Kirstin
;
Teräsvirta, Timo
-
2013
Persistent link: https://www.econbiz.de/10009751844
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