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subject:"Volatility"
type_genre:"Article in journal"
~person:"Leybourne, Stephen James"
~subject:"Theory"
~subject:"USA"
~subject:"Zeitreihenanalyse"
~type_genre:"Graue Literatur"
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Search: subject_exact:"Estimation theory"
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Volatility
Theory
USA
Zeitreihenanalyse
Estimation theory
27
Schätztheorie
27
Time series analysis
18
Structural break
9
Strukturbruch
9
Theorie
9
Einheitswurzeltest
6
Unit root test
6
Statistical test
5
Statistischer Test
5
Forecasting model
4
Prognoseverfahren
4
Trend break
3
Autocorrelation
2
Autokorrelation
2
Confidence sets
2
Level break
2
Stationary
2
Unit root
2
1949-1985
1
ARCH model
1
ARCH-Modell
1
Asymptotic power
1
Bootstrap approach
1
Bootstrap-Verfahren
1
Break point estimation
1
Co-integration rank
1
Cointegration
1
Conditional distribution
1
Diebold-Mariano test
1
Error-correction model
1
Estimation
1
Explosive autoregression
1
Fixed regressor wild bootstrap
1
Forecast evaluation
1
Forecasting
1
Information criteria
1
Initial condition
1
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Article
22
Book / Working Paper
1
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Article in journal
Graue Literatur
Aufsatz in Zeitschrift
22
Arbeitspapier
2
Working Paper
2
Non-commercial literature
1
Language
All
English
23
Author
All
Leybourne, Stephen James
Phillips, Peter C. B.
93
Härdle, Wolfgang
69
Pesaran, M. Hashem
64
Gouriéroux, Christian
53
Gao, Jiti
51
Linton, Oliver
50
Lütkepohl, Helmut
48
McAleer, Michael
48
Franses, Philip Hans
45
Andrews, Donald W. K.
43
Johansen, Søren
43
Koopman, Siem Jan
43
Teräsvirta, Timo
42
Newey, Whitney K.
40
Swanson, Norman R.
39
Lucas, André
37
Giles, David E. A.
36
Imbens, Guido
35
Robinson, Peter M.
35
Baltagi, Badi H.
34
Nielsen, Morten Ørregaard
34
Li, Qi
32
Zakoïan, Jean-Michel
32
Kapetanios, George
30
Koop, Gary
30
Diebold, Francis X.
29
Ghysels, Eric
28
Heckman, James J.
28
Krämer, Walter
28
Bera, Anil K.
27
Monfort, Alain
27
Bauwens, Luc
26
Brännäs, Kurt
26
Chambers, Marcus J.
26
Francq, Christian
26
Granger, C. W. J.
26
King, Maxwell L.
26
Kohn, Robert
26
Perron, Pierre
26
Sibbertsen, Philipp
26
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Journal of econometrics
7
Econometric theory
5
Economics letters
3
Journal of forecasting
2
Economic research paper / Loughborough University, Department of Economics
1
Economic research paper / Loughborough University, Department of Economics / Loughborough University, Department of Economics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
Journal of the Royal Statistical Society
1
Oxford bulletin of economics and statistics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
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ECONIS (ZBW)
23
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23
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1
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:
2
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
Saved in:
3
Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
Harris, David
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Journal of econometrics
192
(
2016
)
2
,
pp. 451-467
Persistent link: https://www.econbiz.de/10011704729
Saved in:
4
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:
Journal of econometrics
184
(
2015
)
2
,
pp. 262-279
Persistent link: https://www.econbiz.de/10011339345
Saved in:
5
Robust tests for a linear trend with an application to equity indices
Astill, Sam
;
Harvey, David I.
;
Leybourne, Stephen James
; …
- In:
Journal of empirical finance
29
(
2014
),
pp. 168-185
Persistent link: https://www.econbiz.de/10011300487
Saved in:
6
Asymptotic behaviour of tests for a unit root against an explosive alternative
Harvey, David I.
;
Leybourne, Stephen James
- In:
Economics letters
122
(
2014
)
1
,
pp. 64-68
Persistent link: https://www.econbiz.de/10010393959
Saved in:
7
Testing for a break in trend when the order of integration is unknown
Iacone, Fabrizio
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Journal of econometrics
176
(
2013
)
1
,
pp. 30-45
Persistent link: https://www.econbiz.de/10009764402
Saved in:
8
Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics
Harvey, David I.
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Journal of econometrics
177
(
2013
)
2
,
pp. 265-284
Persistent link: https://www.econbiz.de/10010255186
Saved in:
9
Testing for unit roots in the presence of uncertainty over both the trend and initial condition
Harvey, David I.
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Journal of econometrics
169
(
2012
)
2
,
pp. 188-195
Persistent link: https://www.econbiz.de/10009671321
Saved in:
10
Testing for unit roots in the presence of a possible break in trend and nonstationary volatility
Cavaliere, Giuseppe
;
Harvey, David I.
;
Leybourne, …
- In:
Econometric theory
27
(
2011
)
5
,
pp. 957-991
Persistent link: https://www.econbiz.de/10009379762
Saved in:
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