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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Série des documents de travail / Centre de Recherche en Économie et Statistique"
~person:"Guerre, Emmanuel"
~person:"Lieberman, Offer"
~person:"Monfort, Alain"
~subject:"Estimation theory"
~subject:"Kreditrisiko"
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Stochastischer Prozess
Volatility
Estimation theory
Kreditrisiko
Schätztheorie
21
Theorie
13
Theory
13
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Time series analysis
3
Zeitreihenanalyse
3
Core
2
ARCH model
1
ARCH-Modell
1
Credit risk
1
Derivat
1
Derivative
1
Econometrics
1
Economic model
1
Markov chain
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Markov-Kette
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Maximum likelihood estimation
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Maximum-Likelihood-Schätzung
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Messung
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Metal market
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Metallmarkt
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Probability theory
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Regression analysis
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Regressionsanalyse
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Risikoprämie
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Risk premium
1
Simulation
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Statistical distribution
1
Statistische Verteilung
1
Stochastic process
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VAR model
1
VAR-Modell
1
Volatilität
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Wahrscheinlichkeitsrechnung
1
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18
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12
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12
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English
20
French
1
Author
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Guerre, Emmanuel
Lieberman, Offer
Monfort, Alain
Gouriéroux, Christian
26
Robert, Christian P.
19
Zakoïan, Jean-Michel
16
Francq, Christian
13
Jasiak, Joann
11
Guégan, Dominique
10
Bertail, Patrice
9
Comte, Fabienne
7
Cybakov, Aleksandr B.
7
Patilea, Valentin
7
Fermanian, Jean-David
6
Gautier, Eric
6
Hristache, Marian
6
Rousseau, Judith
6
Scaillet, Olivier
6
Berred, Alexandre M.
5
Darolles, Serge
5
Delecroix, Michel
5
Philippe, Anne
5
Robin, Jean-Marc
5
Bellec, Pierre
4
Billio, Monica
4
Bosq, Denis
4
Broze, Laurence
4
Butucea, Cristina
4
Clémençon, Stéphan
4
Gayraud, Ghislaine
4
Ghysels, Eric
4
Lardjane, Salim
4
Mabon, Gwennae͏̈lle
4
Smith, Richard J.
4
Blundell, Richard W.
3
Casella, George
3
Crépon, Bruno
3
Dalalyan, Arnak S.
3
Dauxois, Jean-Yves
3
Doukhan, Paul
3
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Série des documents de travail / Centre de Recherche en Économie et Statistique
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
10
Econometric theory
9
Série des documents de travail
8
Journal of econometrics
6
Cowles Foundation discussion paper
4
Discussion paper / Department of Economics, University of Canterbury
4
Banque de France Working Paper
3
Centre d'Etudes Prospectives d'Economie Mathématique Appliquées à la Planification : CEPREMAP
3
Cowles Foundation Discussion Paper
3
Economics letters
3
Themes in modern econometrics
3
Annals of economics and statistics
2
Journal of applied econometrics
2
Les notes d'études et de recherche : NER
2
Astin bulletin : the journal of the International Actuarial Association
1
Department of Economics discussion paper / Department of Economics, The University of Birmingham
1
Econometric reviews
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Empirical economics. - 1990. - VI, 260 S. - Enth. 10 Beitr.
1
Essays in honor of Aman Ullah
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
L'hétérogénéité en économétrie : numéro spécial
1
Mélanges économiques : essais en l'honneur de Edmond Malinvaud
1
Panel data econometrics : future directions : papers in honour of professor Pietro Balestra
1
Statistics and econometric models
1
The econometrics journal
1
The review of economic studies : RES
1
The review of economics and statistics
1
Working paper
1
Working paper / Department of Econometrics and Business Statistics, Monash University
1
Working papers / Foerder Institute for Economic Research
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ECONIS (ZBW)
21
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1
Revisiting identification and estimation in structural VARMA models
Gouriéroux, Christian
;
Monfort, Alain
-
2014
-
rev. October 2014
Persistent link: https://www.econbiz.de/10010465167
Saved in:
2
Fourth order pseudo maximum likelihood methods
Holly, Alberto
;
Monfort, Alain
;
Rockinger, Michael
-
2010
Persistent link: https://www.econbiz.de/10009406538
Saved in:
3
Multi-lag term structure models with stochastic risk premia
Monfort, Alain
;
Pegoraro, Fulvio
-
2006
Persistent link: https://www.econbiz.de/10003468040
Saved in:
4
(Non) consistency of the beta kernel estimator for recovery rate distribution
Gouriéroux, Christian
;
Monfort, Alain
-
2006
Persistent link: https://www.econbiz.de/10003468607
Saved in:
5
Pricing and inference with mixtures on conditionally normal processes
Bertholon, Henri
;
Monfort, Alain
;
Pegoraro, Fulvio
-
2006
Persistent link: https://www.econbiz.de/10003447913
Saved in:
6
Design-adaptive pointwise nonparametric regression estimation for recurrent Markov time series
Guerre, Emmanuel
-
2004
Persistent link: https://www.econbiz.de/10002554161
Saved in:
7
Functional indirect inference
Billio, Monica
;
Monfort, Alain
-
1999
Persistent link: https://www.econbiz.de/10001355607
Saved in:
8
Valid asymptotic expansions for the maximum likelihood estimator of the parameter of a stationary, Gaussian, strongly dependent process
Lieberman, Offer
;
Rousseau, Judith
;
Zucker, David M.
-
1999
Persistent link: https://www.econbiz.de/10001355613
Saved in:
9
An [alpha]-level adaptive test for regression models via regressogram selection
Guerre, Emmanuel
;
Lieberman, Offer
-
1999
Persistent link: https://www.econbiz.de/10001391211
Saved in:
10
Small-sample likelihood-based inference in the ARFIMA-model
Lieberman, Offer
;
Rousseau, Judith
;
Zucker, David M.
-
1999
Persistent link: https://www.econbiz.de/10001396408
Saved in:
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