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subject:"Volatility"
~isPartOf:"CREATES research paper"
~subject:"Autocorrelation"
~subject:"Germany"
~subject:"Nichtlineare Regression"
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Search: subject_exact:"Estimation theory"
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Volatility
Autocorrelation
Germany
Nichtlineare Regression
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
Volatilität
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
USA
10
United States
10
Forecasting model
9
Prognoseverfahren
9
Maximum likelihood estimation
8
Maximum-Likelihood-Schätzung
8
VAR model
8
VAR-Modell
8
Autokorrelation
6
Modellierung
6
Nonlinear regression
6
Scientific modelling
6
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23
Graue Literatur
23
Non-commercial literature
23
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23
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English
23
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Teräsvirta, Timo
8
Silvennoinen, Annastiina
3
Andersen, Torben
2
Kang, Jian
2
Kristensen, Dennis
2
Kruse, Robinson
2
Amado, Cristina
1
Barndorff-Nielsen, Ole E.
1
Callot, Laurent
1
Caner, Mehmet
1
Casas, Isabel
1
Cavaliere, Giuseppe
1
Cho, Jin Seo
1
Creel, Michael D.
1
Demetrescu, Matei
1
Demetrescum, Matei
1
Ergemen, Yunus Emre
1
Floor Brix, Anne
1
Gijbels, Irène
1
Hall, Anthony D.
1
Hanck, Christoph
1
He, Changli
1
Hounyo, Ulrich
1
Hubrich, Kirstin
1
Jakobsen, Johan Stax
1
Kanaya, Shin
1
Kock, Anders Bredahl
1
Kruse-Becher, Robinson
1
Lunde, Asger
1
Nielsen, Morten Ørregaard
1
Riquelme, Juan Andres
1
Rossi, Eduardo
1
Sandberg, Rickard
1
Santucci de Magistris, Paolo
1
Seong, Dakyung
1
Taylor, Robert
1
Todorov, Viktor
1
Varneskov, Rasmus Tangsgaard
1
Veliyev, Bezirgen
1
Veraart, Almut E. D.
1
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CREATES research paper
Journal of econometrics
231
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
82
Economics letters
70
Econometric reviews
59
Econometric theory
57
Discussion paper / Tinbergen Institute
44
The econometrics journal
31
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
28
Journal of empirical finance
27
Economic modelling
25
NBER Working Paper
24
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
24
Cowles Foundation discussion paper
22
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
22
International journal of forecasting
22
NBER working paper series
20
Discussion paper
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Applied economics letters
18
Econometrics : open access journal
18
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
17
Discussion papers of interdisciplinary research project 373
17
Quantitative finance
17
Working paper / National Bureau of Economic Research, Inc.
17
Journal of financial econometrics
16
CEMMAP working papers / Centre for Microdata Methods and Practice
15
Europäische Hochschulschriften / 5
15
Finance research letters
15
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
14
Journal of banking & finance
14
Journal of forecasting
14
Journal of the American Statistical Association : JASA
14
SFB 649 discussion paper
14
CESifo working papers
13
Computational economics
13
Discussion paper / Center for Economic Research, Tilburg University
13
Discussion paper series / IZA
13
International journal of theoretical and applied finance
13
Regional science & urban economics
13
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ECONIS (ZBW)
23
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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
Comprehensive testing of linearity against the smooth transition autoregressive model
Seong, Dakyung
;
Cho, Jin Seo
;
Teräsvirta, Timo
-
2019
-
This version: August 2019
Persistent link: https://www.econbiz.de/10012316842
Saved in:
6
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli
;
Kang, Jian
;
Teräsvirta, Timo
;
Zhang, Shuhua
-
2019
Persistent link: https://www.econbiz.de/10012316885
Saved in:
7
Consistent inference for predictive regressions in persistent VAR economies
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
-
2018
Persistent link: https://www.econbiz.de/10011797682
Saved in:
8
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:
9
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011373232
Saved in:
10
Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich
;
Veliyev, Bezirgen
-
2015
Persistent link: https://www.econbiz.de/10010529455
Saved in:
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