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subject:"Volatilität"
type_genre:"Working Paper"
~isPartOf:"CREATES research paper"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Monte Carlo simulation"
~subject:"USA"
~type:"book"
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Search: subject_exact:"Estimation theory"
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Volatilität
Maximum-Likelihood-Schätzung
Monte Carlo simulation
USA
Estimation theory
137
Schätztheorie
137
Time series analysis
59
Zeitreihenanalyse
59
Nichtparametrisches Verfahren
19
Nonparametric statistics
19
Estimation
18
Schätzung
18
Theorie
18
Theory
18
Stochastic process
15
Stochastischer Prozess
15
Volatility
15
Cointegration
14
Kointegration
14
ARCH model
12
ARCH-Modell
12
Statistical test
12
Statistischer Test
12
Bootstrap approach
11
Bootstrap-Verfahren
11
Induktive Statistik
10
Regression analysis
10
Regressionsanalyse
10
Statistical inference
10
United States
10
Forecasting model
9
Prognoseverfahren
9
Maximum likelihood estimation
8
VAR model
8
VAR-Modell
8
Autocorrelation
6
Autokorrelation
6
Modellierung
6
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6
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6
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33
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Arbeitspapier
33
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33
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33
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English
33
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Teräsvirta, Timo
5
Nielsen, Morten Ørregaard
4
Silvennoinen, Annastiina
4
Cavaliere, Giuseppe
3
Taylor, Robert
3
Floor Brix, Anne
2
Kock, Anders Bredahl
2
Kristensen, Dennis
2
Kruse, Robinson
2
Lunde, Asger
2
Rahbek, Anders
2
Amado, Cristina
1
Andersen, Torben
1
Barndorff-Nielsen, Ole E.
1
Bohn Nielsen, Heino
1
Bredahl Kock, Anders
1
Callot, Laurent
1
Callot, Laurent A. F.
1
Caner, Mehmet
1
Casas, Isabel
1
Creel, Michael D.
1
Demetrescu, Matei
1
Demetrescum, Matei
1
Ergemen, Yunus Emre
1
Gijbels, Irène
1
Hall, Anthony D.
1
Hanck, Christoph
1
Hillebrand, Eric
1
Hounyo, Ulrich
1
Jakobsen, Johan Stax
1
Kanaya, Shin
1
Kang, Jian
1
Kristensen, Johannes Tang
1
Kruse-Becher, Robinson
1
Kurita, Takamitsu
1
MacKinnon, James G.
1
Mikkelsen, Jakob Guldbæk
1
Mirone, Giorgio
1
Nolte, Ingmar
1
Parra-Alvarez, Juan Carlos
1
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CREATES research paper
Discussion paper / Tinbergen Institute
67
Working paper / National Bureau of Economic Research, Inc.
52
CEMMAP working papers / Centre for Microdata Methods and Practice
27
Discussion paper series / IZA
24
Série des documents de travail / Centre de Recherche en Économie et Statistique
21
Working paper
21
Working paper / Department of Econometrics and Business Statistics, Monash University
19
CESifo working papers
16
Technical working paper / National Bureau of Economic Research
16
Discussion paper / Centre for Economic Policy Research
15
Discussion papers / CEPR
15
KBI
12
Série des documents de travail
12
Working papers
12
Cowles Foundation discussion paper
11
Discussion paper
11
SFB 649 discussion paper
11
CORE discussion papers : DP
10
Discussion paper / Center for Economic Research, Tilburg University
10
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
10
Report / Econometric Institute, Erasmus University Rotterdam
10
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
10
Discussion paper / Department of Economics, University of California San Diego
9
Discussion paper series
9
Finance and economics discussion series
9
NBER working paper series
9
Working papers / Rutgers University, Department of Economics
9
Discussion papers of interdisciplinary research project 373
7
Economics working paper
7
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
7
CORE discussion paper : DP
6
Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
6
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
6
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
6
Documento de trabajo
6
ERID working paper
6
Economics discussion papers
6
GRIPS discussion papers
6
IES working paper
6
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ECONIS (ZBW)
33
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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
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
3
Is U.S. real output growth really non-normal? : testing distributional assumptions in time-varying location-scale models
Demetrescu, Matei
;
Kruse-Becher, Robinson
-
2021
Persistent link: https://www.econbiz.de/10012620758
Saved in:
4
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:
5
Estimation of heterogeneous agent models : a likelihood approach
Parra-Alvarez, Juan Carlos
;
Posch, Olaf
;
Wang, Mu-Chun
-
2020
Persistent link: https://www.econbiz.de/10012317765
Saved in:
6
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
7
Cross-sectional noise reduction and more efficient estimation of integrated variance
Mirone, Giorgio
-
2018
Persistent link: https://www.econbiz.de/10011864983
Saved in:
8
Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2017
Persistent link: https://www.econbiz.de/10011721042
Saved in:
9
Fixed-b inference in the presence of time-varying volatility
Demetrescum, Matei
;
Hanck, Christoph
;
Kruse, Robinson
-
2016
Persistent link: https://www.econbiz.de/10011409125
Saved in:
10
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2016
Persistent link: https://www.econbiz.de/10011624059
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