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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Cointegration"
~subject:"Statistical distribution"
~subject:"VAR model"
~type_genre:"Aufsatz in Zeitschrift"
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Stochastischer Prozess
Volatility
Cointegration
Statistical distribution
VAR model
Estimation theory
102
Schätztheorie
102
Time series analysis
49
Zeitreihenanalyse
49
Estimation
33
Schätzung
33
ARCH model
17
ARCH-Modell
17
Volatilität
17
Regression analysis
14
Regressionsanalyse
14
Kointegration
13
Statistical test
11
Statistischer Test
11
Nichtparametrisches Verfahren
10
Nonparametric statistics
10
Capital income
9
Kapitaleinkommen
9
Markov chain
9
Markov-Kette
9
Stochastic process
9
Forecasting model
8
Monte Carlo simulation
8
Monte-Carlo-Simulation
8
Prognoseverfahren
8
cointegration
8
Nichtlineare Regression
7
Nonlinear regression
7
Statistische Verteilung
7
Structural break
7
Strukturbruch
7
VAR-Modell
7
Börsenkurs
6
Einheitswurzeltest
6
Maximum likelihood estimation
6
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Undetermined
43
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43
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Aufsatz in Zeitschrift
Article in journal
43
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English
43
Author
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Li, Jing
2
Schweikert, Karsten
2
Abbara, Omar
1
Anatolyev, Stanislav
1
Banerjee, Anurag Narayan
1
Baruník, Jozef
1
Bekiros, Stelios
1
Blazsek, Szabolcs
1
Bu, Ruijun
1
Candelon, Bertrand
1
Carnero, M. Angeles
1
Chan, Jennifer So Kuen
1
Chan, Joshua
1
Cheng, Jie
1
Chevallier, Julien
1
Chuffart, Thomas
1
Croux, Christophe
1
Daníelsson, Jón
1
Dark, Jonathan Graeme
1
De Angelis, Luca
1
Eisenstat, Eric
1
Eliasson, Ann-Charlotte
1
Enders, Walter
1
Ericsson, Neil R.
1
Escribano, Álvaro
1
Flachaire, Emmanuel
1
Fonseca, José da
1
Goutte, Stéphane
1
Grasselli, Martino
1
Hadri, Kaddour
1
Haurin, Donald R.
1
Hou, Weijie
1
Huang, Xiao
1
Ielpo, Florian
1
Im, KyungSo
1
Jensen, Mark J.
1
Jong, Robert M. de
1
Kalyvitēs, Sarantēs
1
Kok Haur Ng
1
Koop, Gary
1
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
275
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
96
Economics letters
86
Econometric reviews
78
Econometric theory
75
Insurance / Mathematics & economics
51
Economic modelling
47
Econometrics : open access journal
45
The econometrics journal
43
International journal of forecasting
39
Applied economics letters
34
Journal of empirical finance
30
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
26
European journal of operational research : EJOR
25
Journal of forecasting
25
Journal of the American Statistical Association : JASA
25
Statistics in transition : an international journal of the Polish Statistical Association
25
Applied economics
24
Journal of banking & finance
24
Finance research letters
23
Journal of financial econometrics
23
Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
22
Journal of risk and financial management : JRFM
22
Quantitative finance
22
Computational economics
20
International journal of theoretical and applied finance
18
Oxford bulletin of economics and statistics
18
Empirical economics : a quarterly journal of the Institute for Advanced Studies
17
International journal of economics and financial issues : IJEFI
17
Journal of mathematical finance
17
Risks : open access journal
16
Journal of economic dynamics & control
15
Quantitative economics : QE ; journal of the Econometric Society
15
Journal of time series econometrics
14
The North American journal of economics and finance : a journal of financial economics studies
14
Journal of applied econometrics
13
Journal of risk
13
Statistical papers
13
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ECONIS (ZBW)
43
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1
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
2
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
3
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
4
Choosing between identification schemes in noisy-news models
Chan, Joshua
;
Eisenstat, Eric
;
Koop, Gary
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 99-136
Persistent link: https://www.econbiz.de/10013334632
Saved in:
5
Buffered vector error-correction models : an application to the U.S. Treasury bond rates
Lu, Renjie
;
Yu, Philip L. H.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 267-287
Persistent link: https://www.econbiz.de/10012806530
Saved in:
6
Outliers and misleading leverage effect in asymmetric GARCH-type models
Carnero, M. Angeles
;
Pérez, Ana
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012437834
Saved in:
7
Multiple structural breaks in cointegrating regressions : a model selection approach
Schmidt, Alexander
;
Schweikert, Karsten
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
2
,
pp. 219-254
Persistent link: https://www.econbiz.de/10013334688
Saved in:
8
Trimmed Whittle estimation of the SVAR vs. filtering low-frequency fluctuations : applications to technology shocks
Lovcha, Yuliya
;
Perez-Laborda, Alejandro
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
24
(
2020
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012198499
Saved in:
9
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Song, Yuping
;
Hou, Weijie
;
Zhou, Shengyi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012198377
Saved in:
10
Testing for cointegration with threshold adjustment in the presence of structural breaks
Schweikert, Karsten
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
24
(
2020
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012406026
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