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subject:"Volatility"
type_genre:"Article in journal"
~person:"Gao, Jiti"
~person:"Koopman, Siem Jan"
~subject:"Autoregressive conditional duration"
~subject:"Bayesian inference"
~subject:"Prognoseverfahren"
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Search: subject_exact:"Estimation theory"
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Volatility
Autoregressive conditional duration
Bayesian inference
Prognoseverfahren
Estimation theory
51
Schätztheorie
51
Time series analysis
21
Zeitreihenanalyse
21
Nichtparametrisches Verfahren
19
Nonparametric statistics
19
Estimation
14
Schätzung
14
Panel
12
Panel study
12
Forecasting model
7
Regression analysis
7
Regressionsanalyse
7
Maximum likelihood estimation
6
Maximum-Likelihood-Schätzung
6
Volatilität
6
Asymptotic theory
5
Monte Carlo simulation
5
Monte-Carlo-Simulation
5
Bayes-Statistik
4
Factor analysis
4
Faktorenanalyse
4
Stochastic process
4
Stochastischer Prozess
4
Cointegration
3
Consistency
3
Kalman filter
3
Kointegration
3
Nichtlineare Regression
3
Nonlinear regression
3
State space model
3
Statistical test
3
Statistischer Test
3
Zustandsraummodell
3
Asymptotic normality
2
Börsenkurs
2
Capital income
2
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Article
12
Book / Working Paper
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Article in journal
Arbeitspapier
24
Graue Literatur
24
Non-commercial literature
24
Working Paper
24
Aufsatz in Zeitschrift
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14
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Gao, Jiti
Koopman, Siem Jan
Kumar, Dilip
16
Tsionas, Efthymios G.
15
Maheswaran, S.
14
Teräsvirta, Timo
12
Todorov, Viktor
12
Zhang, Xinyu
12
Li, Jia
11
Tauchen, George Eugene
11
Zhang, Xibin
10
Andersen, Torben
8
Baltagi, Badi H.
8
Cai, Zongwu
8
Francq, Christian
8
Koop, Gary
8
Shang, Han Lin
8
Swanson, Norman R.
8
Demetrescu, Matei
7
Kim, Donggyu
7
Lahiri, Kajal
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
Taylor, James W.
7
Taylor, Robert
7
Tsay, Ruey S.
7
Allenby, Greg M.
6
Fan, Jianqing
6
Gallant, A. Ronald
6
Hafner, Christian M.
6
Han, Xiaoyi
6
Kapetanios, George
6
Lesage, James P.
6
Linton, Oliver
6
Phillips, Peter C. B.
6
Sbrana, Giacomo
6
Ullah, Aman
6
Wang, Shouyang
6
Wang, Yazhen
6
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Journal of econometrics
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Cambridge working papers in economics
2
Cambridge-INET working papers
1
Econometric reviews
1
International journal of forecasting
1
Journal of banking & finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
14
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14
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1
Nonparametric predictive regressions for stock return brediction
Cheng, Tingting
;
Gao, Jiti
;
Linton, Oliver
-
2019
Persistent link: https://www.econbiz.de/10012698837
Saved in:
2
Semiparametric single-index predictive regression
Zhou, Weilun
;
Gao, Jiti
;
Harris, David
;
Kew, Hsein
-
2019
Persistent link: https://www.econbiz.de/10012703312
Saved in:
3
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
4
Local logit regression for loan recovery rate
Sopitpongstorn, Nithi
;
Silvapulle, Paramsothy
;
Gao, Jiti
; …
- In:
Journal of banking & finance
126
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012820172
Saved in:
5
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
6
Bayesian bandwidth estimation in nonparametric time-varying coefficient models
Cheng, Tingting
;
Gao, Jiti
;
Zhang, Xibin
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
1
,
pp. 1-12
Persistent link: https://www.econbiz.de/10012175865
Saved in:
7
A frequentist approach to Bayesian asymptotics
Cheng, Tingting
;
Gao, Jiti
;
Phillips, Peter C. B.
- In:
Journal of econometrics
206
(
2018
)
2
,
pp. 359-378
Persistent link: https://www.econbiz.de/10012110394
Saved in:
8
Nonparametric estimation and forecasting for time-varying coefficient realized volatility models
Chen, Xiangjin B.
;
Gao, Jiti
;
Li, Degui
;
Silvapulle, …
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
1
,
pp. 88-100
Persistent link: https://www.econbiz.de/10011894402
Saved in:
9
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 875-887
Persistent link: https://www.econbiz.de/10011621857
Saved in:
10
Monte Carlo maximum likelihood estimation for generalized long-memory time series models
Mesters, G.
;
Koopman, Siem Jan
;
Ooms, Marius
- In:
Econometric reviews
35
(
2016
)
1/4
,
pp. 659-687
Persistent link: https://www.econbiz.de/10011550112
Saved in:
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