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subject:"Stochastischer Prozess"
subject:"Volatility"
~accessRights:"free"
~person:"Alizadeh, Sassan"
~person:"Teräsvirta, Timo"
~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
Scientific modelling
Estimation theory
19
Schätztheorie
19
Time series analysis
9
Volatilität
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
Exchange rate
3
Multivariate Analyse
3
Multivariate analysis
3
Share price
3
Theorie
3
Theory
3
Wechselkurs
3
Correlation
2
Estimation
2
Korrelation
2
Modellierung
2
Schätzung
2
modelling volatility
2
smooth transition GARCH
2
Australia
1
Australien
1
Changing seasonality
1
Cointegration
1
Deterministically varying correlation
1
Financial time series
1
Gaussian process
1
Kointegration
1
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9
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Arbeitspapier
Graue Literatur
Working Paper
Non-commercial literature
9
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2
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2
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English
9
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Alizadeh, Sassan
Teräsvirta, Timo
Koopman, Siem Jan
15
Reiß, Markus
10
Lucas, André
8
Nesheim, Lars
7
Phillips, Peter C. B.
7
Sentana, Enrique
7
Swanson, Norman R.
7
Bibinger, Markus
6
Blasques, Francisco
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
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
Huber, Florian
4
Kristensen, Dennis
4
Leon-Gonzalez, Roberto
4
León-González, Roberto
4
Malec, Peter
4
Massmann, Michael
4
Olivei, Giovanni P.
4
Platen, Eckhard
4
Sibbertsen, Philipp
4
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Rodney L. White Center for Financial Research
2
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CREATES research paper
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)
9
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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
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
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:
6
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:
7
Range-based estimation of stochastic volatility models or exchange rate dynamics are more interesting than you think
Alizadeh, Sassan
;
Brandt, Michael W.
;
Diebold, Francis X.
-
2000
Persistent link: https://www.econbiz.de/10001477772
Saved in:
8
High- and low-frequency exchange rate volatility dynamics : range-based estimation of stochastic volatility models
Alizadeh, Sassan
;
Brandt, Michael W.
;
Kadlec, Gregory B.
; …
-
2000
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002001001
Saved in:
9
High- and low-frequency exchange rate volatility dynamics : range-based estimation of stochastic volatility models
Alizadeh, Sassan
;
Brandt, Michael W.
;
Kadlec, Gregory B.
; …
-
2000
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002004134
Saved in:
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