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subject:"Stochastischer Prozess"
subject:"Volatility"
~accessRights:"free"
~person:"Alizadeh, Sassan"
~person:"Nielsen, Morten Ørregaard"
~person:"Teräsvirta, Timo"
~subject:"Multivariate analysis"
~subject:"Scientific modelling"
~type_genre:"Arbeitspapier"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Multivariate analysis
Scientific modelling
Estimation theory
53
Schätztheorie
53
Time series analysis
31
Zeitreihenanalyse
31
ARCH model
13
ARCH-Modell
13
Bootstrap approach
11
Bootstrap-Verfahren
11
Volatilität
10
Cluster analysis
9
Clusteranalyse
9
Estimation
9
Regional cluster
9
Regionales Cluster
9
Schätzung
9
cluster-robust variance estimator
9
Cointegration
8
Kointegration
8
wild cluster bootstrap
8
VAR model
7
VAR-Modell
7
clustered data
7
robust inference
7
CRVE
6
Heteroscedasticity
6
Heteroskedastizität
6
Induktive Statistik
6
Nichtlineare Regression
6
Nonlinear regression
6
Statistical inference
6
Statistical test
6
Statistischer Test
6
grouped data
6
Maximum likelihood estimation
5
Maximum-Likelihood-Schätzung
5
Modellierung
5
deterministic trend
5
fractional integration
5
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Free
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Book / Working Paper
16
Type of publication (narrower categories)
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Arbeitspapier
Graue Literatur
16
Non-commercial literature
16
Working Paper
16
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2
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2
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English
16
Author
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Alizadeh, Sassan
Nielsen, Morten Ørregaard
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
Claeskens, Gerda
6
Hautsch, Nikolaus
6
Andrews, Donald W. K.
5
Audrino, Francesco
5
Barndorff-Nielsen, Ole E.
5
Ekeland, Ivar
5
Heckman, James J.
5
Koop, Gary
5
Lunde, Asger
5
Rodriguez, Gabriel
5
Sibbertsen, Philipp
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
Gorgi, Paolo
4
Hansen, Christian Bailey
4
Huber, Florian
4
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Rodney L. White Center for Financial Research
2
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CREATES research paper
9
Working papers / Rodney L. White Center for Financial Research
2
CEA_372Cass working paper series
1
Discussion papers / Department of Economics, University of Copenhagen
1
Financial Institutions Center
1
NCER working paper series
1
Queen's Economics Department working paper
1
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ECONIS (ZBW)
16
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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
Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard
;
Seo, Wonk-ki
;
Seong, Dakyung
-
2022
Persistent link: https://www.econbiz.de/10012816384
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
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:
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/10011777143
Saved in:
6
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:
7
Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models
Nielsen, Morten Ørregaard
-
2014
Persistent link: https://www.econbiz.de/10010413826
Saved in:
8
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:
9
Thresholds and smooth transitions in vector autoregressive models
Hubrich, Kirstin
;
Teräsvirta, Timo
-
2013
Persistent link: https://www.econbiz.de/10009751844
Saved in:
10
The role of initial values in nonstationary fractional time series models
Johansen, Søren
;
Nielsen, Morten Ørregaard
-
2012
Persistent link: https://www.econbiz.de/10009667306
Saved in:
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