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subject:"Volatility"
type_genre:"Article in journal"
~person:"Fan, Jianqing"
~person:"Kapetanios, George"
~person:"Leybourne, Stephen James"
~subject:"IV-Schätzung"
~subject:"Statistical distribution"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Volatility
IV-Schätzung
Statistical distribution
Zeitreihenanalyse
Estimation theory
74
Schätztheorie
74
Time series analysis
33
Nichtparametrisches Verfahren
13
Nonparametric statistics
13
Regression analysis
13
Regressionsanalyse
13
Theorie
13
Theory
13
Correlation
11
Estimation
11
Forecasting model
11
Korrelation
11
Prognoseverfahren
11
Schätzung
11
Structural break
11
Strukturbruch
11
Statistical test
9
Statistischer Test
9
Volatilität
7
Einheitswurzeltest
6
Unit root test
6
ARMA model
4
ARMA-Modell
4
Autocorrelation
4
Autokorrelation
4
Factor analysis
4
Factor model
4
Faktorenanalyse
4
Induktive Statistik
4
Statistical inference
4
VAR model
4
VAR-Modell
4
ARCH model
3
ARCH-Modell
3
Forecasting
3
Modellierung
3
Scientific modelling
3
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Undetermined
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Article
39
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Article in journal
Aufsatz in Zeitschrift
39
Arbeitspapier
20
Working Paper
20
Graue Literatur
19
Non-commercial literature
19
Language
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English
39
Author
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Fan, Jianqing
Kapetanios, George
Leybourne, Stephen James
Phillips, Peter C. B.
35
Linton, Oliver
24
Harvey, Andrew C.
17
Kumar, Dilip
16
Taylor, Robert
16
Teräsvirta, Timo
16
Lütkepohl, Helmut
15
Gao, Jiti
14
Johansen, Søren
14
Maheswaran, S.
14
Swanson, Norman R.
14
Xiao, Zhijie
14
Chambers, Marcus J.
13
Hassler, Uwe
13
Perron, Pierre
13
Tauchen, George Eugene
13
Koopman, Siem Jan
12
Li, Jia
12
Todorov, Viktor
12
Zhu, Ke
12
Ghysels, Eric
11
Koop, Gary
11
Lucas, André
11
McAleer, Michael
11
Stock, James H.
11
Sun, Yixiao
11
Baillie, Richard
10
Bauwens, Luc
10
Francq, Christian
10
Hendry, David F.
10
Newey, Whitney K.
10
Robinson, Peter M.
10
Wu, Ximing
10
Zakoïan, Jean-Michel
10
Baltagi, Badi H.
9
Chen, Xiaohong
9
Franses, Philip Hans
9
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Journal of econometrics
12
Econometric theory
4
Economics letters
4
Journal of the American Statistical Association : JASA
4
Econometric reviews
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of empirical finance
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
The econometrics journal
2
International journal of forecasting
1
Journal of applied econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of forecasting
1
L' Actualité économique : revue trimest.
1
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ECONIS (ZBW)
39
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1
Forecasting in factor augmented regressions under structural change
Massacci, Daniele
;
Kapetanios, George
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 62-76
Persistent link: https://www.econbiz.de/10014450259
Saved in:
2
Time-varying instrumental variable estimation
Giraitis, Liudas
;
Kapetanios, George
;
Marcellino, …
- In:
Journal of econometrics
224
(
2021
)
2
,
pp. 394-415
Persistent link: https://www.econbiz.de/10013275394
Saved in:
3
Factor-adjusted regularized model selection
Fan, Jianqing
;
Ke, Yuan
;
Wang, Kaizheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 71-85
Persistent link: https://www.econbiz.de/10012439637
Saved in:
4
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu
;
Fan, Jianqing
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
Saved in:
5
Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point
Iacone, Fabrizio
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Econometric theory
35
(
2019
)
6
,
pp. 1201-1233
Persistent link: https://www.econbiz.de/10012149284
Saved in:
6
Structured volatility matrix estimation for non-synchronized high-frequency financial data
Fan, Jianqing
;
Kim, Donggyu
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 61-78
Persistent link: https://www.econbiz.de/10012302521
Saved in:
7
Estimation and forecasting in vector autoregressive moving average models for rich datasets
Dias, Gustavo Fruet
;
Kapetanios, George
- In:
Journal of econometrics
202
(
2018
)
1
,
pp. 75-91
Persistent link: https://www.econbiz.de/10011974554
Saved in:
8
Inference for impulse response coefficients from multivariate fractionally integrated processes
Baillie, Richard
;
Kapetanios, George
;
Papailias, Fotis
- In:
Econometric reviews
36
(
2017
)
1/3
,
pp. 60-84
Persistent link: https://www.econbiz.de/10011794639
Saved in:
9
An overview of the estimation of large covariance and precision matrices
Fan, Jianqing
;
Liao, Yuan
;
Liu, Han
- In:
The econometrics journal
19
(
2016
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011487485
Saved in:
10
Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown
Harvey, David I.
;
Leybourne, Stephen James
- In:
Economics letters
145
(
2016
),
pp. 239-245
Persistent link: https://www.econbiz.de/10011618823
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