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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"CREATES research paper"
~person:"Creel, Michael D."
~person:"Gao, Jiti"
~person:"Silvennoinen, Annastiina"
~subject:"Nichtparametrisches Verfahren"
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Stochastischer Prozess
Volatility
Nichtparametrisches Verfahren
Estimation theory
6
Schätztheorie
6
Volatilität
4
ARCH model
3
ARCH-Modell
3
Time series analysis
3
Zeitreihenanalyse
3
Börsenkurs
2
Correlation
2
Estimation
2
Korrelation
2
Multivariate Analyse
2
Multivariate analysis
2
Schätzung
2
Share price
2
Australia
1
Australien
1
Deterministically varying correlation
1
Maximum likelihood estimation
1
Maximum-Likelihood-Schätzung
1
Modellierung
1
Nonparametric statistics
1
Scientific modelling
1
Statistical distribution
1
Statistical test
1
Statistische Verteilung
1
Statistischer Test
1
Stochastic process
1
Unconditional correlation
1
modelling correlations
1
modelling volatility
1
multiplicative time-varying GARCH
1
multivariate GARCH
1
multivariate autoregressive conditional heteroskedasticity
1
nonstationary volatility
1
smooth transition GARCH
1
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Free
5
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Book / Working Paper
5
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Arbeitspapier
5
Graue Literatur
5
Non-commercial literature
5
Working Paper
5
Language
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English
5
Author
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Creel, Michael D.
Gao, Jiti
Silvennoinen, Annastiina
Kristensen, Dennis
6
Cattaneo, Matias D.
4
Jansson, Michael
4
Nielsen, Morten Ørregaard
4
Teräsvirta, Timo
4
Crump, Richard K.
3
Kanaya, Shin
3
Andersen, Torben
2
Barndorff-Nielsen, Ole E.
2
Bennedsen, Mikkel
2
Lunde, Asger
2
Pakkanen, Mikko S.
2
Rossi, Eduardo
2
Santucci de Magistris, Paolo
2
Taylor, Robert
2
Amado, Cristina
1
Bu, Ruijun
1
Casas, Isabel
1
Cavaliere, Giuseppe
1
Christensen, Bent Jesper
1
Corcuera, José Manual
1
Demetrescum, Matei
1
Dobrev, Dobrislav
1
Ergemen, Yunus Emre
1
Floor Brix, Anne
1
Gijbels, Irène
1
Guégan, Dominique
1
Hadri, Kaddour
1
Hall, Anthony D.
1
Hanck, Christoph
1
Hounyo, Ulrich
1
Iacone, Fabrizio
1
Jakobsen, Johan Stax
1
Kang, Jian
1
Kruse, Robinson
1
Li, Degui
1
Neri, Luca
1
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Published in...
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CREATES research paper
Working paper / Department of Econometrics and Business Statistics, Monash University
29
Journal of econometrics
5
Econometric reviews
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
CEMMAP working papers / Centre for Microdata Methods and Practice
3
Cambridge working papers in economics
3
Econometric theory
3
The econometrics journal
3
Econometrics : open access journal
2
School of Accounting, Finance and Economics & FEMARC working paper series
2
CREATES Research Paper 2008-6
1
Cambridge-INET working papers
1
Cowles Foundation Discussion Paper
1
Cowles Foundation discussion paper
1
Discussion paper series / IZA
1
Handbook of financial time series
1
Journal of empirical finance
1
Journal of productivity analysis
1
Monash Econometrics and Business Statistics Working Paper Series
1
NCER working paper series
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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
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
ABC of SV : limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.
;
Kristensen, Dennis
-
2014
Persistent link: https://www.econbiz.de/10010401691
Saved in:
5
Uniform consistency for nonparametric estimators in null recurrent time series
Gao, Jiti
;
Kanaya, Shin
;
Li, Degui
;
Tjostheim, Dag
-
2013
Persistent link: https://www.econbiz.de/10009790613
Saved in:
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