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subject:"Stochastischer Prozess"
subject:"Volatility"
~accessRights:"free"
~person:"Alizadeh, Sassan"
~person:"Platen, Eckhard"
~person:"Teräsvirta, Timo"
~source:"econis"
~subject:"Scientific modelling"
~subject:"Wechselkurs"
~type_genre:"Arbeitspapier"
~type_genre:"Graue Literatur"
~type_genre:"Working Paper"
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Stochastischer Prozess
Volatility
Scientific modelling
Wechselkurs
Estimation theory
24
Schätztheorie
24
Volatilität
10
Time series analysis
9
Zeitreihenanalyse
9
ARCH model
8
ARCH-Modell
8
Nichtlineare Regression
6
Nonlinear regression
6
Autocorrelation
4
Autokorrelation
4
Statistical test
4
Statistischer Test
4
VAR model
4
VAR-Modell
4
Börsenkurs
3
Estimation
3
Exchange rate
3
Maximum likelihood estimation
3
Maximum-Likelihood-Schätzung
3
Multivariate Analyse
3
Multivariate analysis
3
Schätzung
3
Share price
3
Stochastic process
3
Theorie
3
Theory
3
Correlation
2
Korrelation
2
Modellierung
2
modelling volatility
2
smooth transition GARCH
2
3/2 model
1
Australia
1
Australien
1
Changing seasonality
1
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Book / Working Paper
13
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Arbeitspapier
Graue Literatur
Working Paper
Non-commercial literature
13
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2
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2
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English
13
Author
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Alizadeh, Sassan
Platen, Eckhard
Teräsvirta, Timo
Koopman, Siem Jan
16
Reiß, Markus
10
Lucas, André
8
Blasques, Francisco
7
Nesheim, Lars
7
Phillips, Peter C. B.
7
Sentana, Enrique
7
Swanson, Norman R.
7
Bibinger, Markus
6
Koop, Gary
6
Nielsen, Morten Ørregaard
6
Andrews, Donald W. K.
5
Chan, Joshua
5
Croux, Christophe
5
Ekeland, Ivar
5
Hafner, Christian M.
5
Heckman, James J.
5
Huber, Florian
5
Linton, Oliver
5
Rodriguez, Gabriel
5
Strachan, Rodney W.
5
Weidner, Martin
5
Bonhomme, Stéphane
4
Brandt, Michael W.
4
Cai, Zongwu
4
Christopeit, Norbert
4
Corradi, Valentina
4
Dette, Holger
4
Gorgi, Paolo
4
Hansen, Christian Bailey
4
Hautsch, Nikolaus
4
Härdle, Wolfgang
4
Kristensen, Dennis
4
Leon-Gonzalez, Roberto
4
León-González, Roberto
4
Malec, Peter
4
Massmann, Michael
4
Olivei, Giovanni P.
4
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Rodney L. White Center for Financial Research
2
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CREATES research paper
4
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
4
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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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
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
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:
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/10011777143
Saved in:
5
Recovering the real-world density and liquidity premia from option data
Barkhagen, Mathias
;
Blomvall, Jörgen
;
Platen, Eckhard
-
2015
Persistent link: https://www.econbiz.de/10011344223
Saved in:
6
Application of maximum likelihood estimation to stochastic short rate models
Fergusson, Kevin
;
Platen, Eckhard
-
2015
Persistent link: https://www.econbiz.de/10011344233
Saved in:
7
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:
8
Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
-
2011
Persistent link: https://www.econbiz.de/10009152328
Saved in:
9
On the strong approximation of pure jump processes
Bruti-Liberati, Nicola
;
Platen, Eckhard
-
2005
Persistent link: https://www.econbiz.de/10003183320
Saved in:
10
On the strong approximation of jump-diffusion processes
Bruti-Liberati, Nicola
;
Platen, Eckhard
-
2005
Persistent link: https://www.econbiz.de/10002863407
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