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type_genre:"Collection of articles of several authors"
~isPartOf:"Econometric theory"
~isPartOf:"The European journal of finance"
~subject:"ARCH model"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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ARCH model
Estimation theory
749
Schätztheorie
749
Theorie
292
Theory
292
Time series analysis
161
Zeitreihenanalyse
161
Nichtparametrisches Verfahren
104
Nonparametric statistics
104
Regression analysis
92
Regressionsanalyse
92
Statistical test
45
Statistischer Test
45
ARCH-Modell
39
Autocorrelation
35
Autokorrelation
35
Estimation
35
Schätzung
35
Statistical distribution
27
Statistische Verteilung
27
Induktive Statistik
25
Statistical inference
25
Cointegration
24
Kointegration
24
Method of moments
24
Momentenmethode
24
Panel
23
Panel study
23
Statistical theory
23
Statistische Methodenlehre
23
Einheitswurzeltest
21
Unit root test
21
Volatility
19
Volatilität
19
Correlation
16
Korrelation
16
IV-Schätzung
15
Instrumental variables
15
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14
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Article
39
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Collection of articles of several authors
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39
Conference paper
2
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English
39
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Linton, Oliver
5
Chan, Ngai Hang
3
Horváth, Lajos
3
Kokoszka, Piotr
3
Berkes, István
2
Francq, Christian
2
Saikkonen, Pentti
2
Zaffaroni, Paolo
2
Zakoïan, Jean-Michel
2
Zhang, Rongmao
2
Andrews, Beth
1
Avarucci, Marco
1
Beutner, Eric
1
Chan, Kung-sik
1
Comte, Fabienne
1
Corsaro, Stefania
1
De Luca, Giovanni
1
Dedecker, J.
1
Elliott, Robert J.
1
Escribano, Álvaro
1
Feng, Yuanhua
1
Gao, Feng
1
Garmann, Sebastian
1
Ghysels, Eric
1
Giraitis, Liudas
1
Grundke, Peter
1
Hafner, Christian M.
1
Halunga, Andreea G.
1
Henze, Norbert
1
Iglesias, Emma M.
1
Jensen, Søren Tolver
1
Jeong, Minsoo
1
Jiménez-Gamero, M. Dolores
1
Kim, Woocheol
1
Kristensen, Dennis
1
Li, Degui
1
Li, Deyuan
1
Li, Guodong
1
Li, Wai Keung
1
Ling, Shiqing
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Econometric theory
The European journal of finance
Journal of econometrics
50
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
25
Economics letters
20
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Econometric reviews
14
The econometrics journal
14
International journal of forecasting
13
Journal of empirical finance
13
Finance research letters
12
Journal of risk
12
International journal of economics and financial issues : IJEFI
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Journal of forecasting
11
Applied economics
10
Journal of time series econometrics
10
Economic modelling
9
Journal of banking & finance
9
Journal of risk and financial management : JRFM
9
The North American journal of economics and finance : a journal of financial economics studies
9
Journal of financial econometrics
8
Applied economics letters
7
Econometrics : open access journal
7
Journal of mathematical finance
7
Computational economics
6
International Journal of Energy Economics and Policy : IJEEP
6
Annals of financial economics
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
5
The journal of risk model validation
5
CBN journal of applied statistics
4
International journal of economics and finance
4
Journal of economic dynamics & control
4
Theoretical economics letters
4
Central European journal of economic modelling and econometrics
3
Financial innovation : FIN
3
Insurance / Mathematics & economics
3
International journal of financial research
3
International journal of monetary economics and finance
3
International review of economics & finance : IREF
3
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ECONIS (ZBW)
39
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1
Least squares and IVX limit theory in systems of predictive regressions with GARCH innovations
Magdalinos, Tassos
- In:
Econometric theory
38
(
2022
)
5
,
pp. 875-912
Persistent link: https://www.econbiz.de/10013469682
Saved in:
2
Nonstationary linear processes with infinite variance GARCH errors
Zhang, Rongmao
;
Chan, Ngai Hang
- In:
Econometric theory
37
(
2021
)
5
,
pp. 892-925
Persistent link: https://www.econbiz.de/10012656388
Saved in:
3
Bitcoin option pricing with a SETAR-GARCH model
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The European journal of finance
27
(
2021
)
6
,
pp. 564-595
Persistent link: https://www.econbiz.de/10012484403
Saved in:
4
Value-at-Risk dynamics : a copula-VAR approach
De Luca, Giovanni
;
Rivieccio, Giorgia
;
Corsaro, Stefania
- In:
The European journal of finance
26
(
2020
)
2/3
,
pp. 223-237
Persistent link: https://www.econbiz.de/10012207202
Saved in:
5
Characterizations of multinormality and corresponding tests of fit, including for GARCH models
Henze, Norbert
;
Jiménez-Gamero, M. Dolores
;
Meintanis, …
- In:
Econometric theory
35
(
2019
)
3
,
pp. 510-546
Persistent link: https://www.econbiz.de/10012146149
Saved in:
6
Estimation of log-GARCH models in the presence of zero returns
Sucarrat, Genaro
;
Escribano, Álvaro
- In:
The European journal of finance
24
(
2018
)
10/12
,
pp. 809-827
Persistent link: https://www.econbiz.de/10012244412
Saved in:
7
Residual-based GARCH bootstrap and second order asymptotic refinement
Jeong, Minsoo
- In:
Econometric theory
33
(
2017
)
3
,
pp. 779-790
Persistent link: https://www.econbiz.de/10011810204
Saved in:
8
Spline estimation of a semiparametric GARCH model
Liu, Rong
;
Yang, Lijian
- In:
Econometric theory
32
(
2016
)
4
,
pp. 1023-1054
Persistent link: https://www.econbiz.de/10011644228
Saved in:
9
Econometric analysis of volatility component models
Wang, Fangfang
;
Ghysels, Eric
- In:
Econometric theory
31
(
2015
)
2
,
pp. 362-393
Persistent link: https://www.econbiz.de/10010532059
Saved in:
10
On a family of contrasts for parametric inference in degenerate ARCH models
Truquet, Lionel
- In:
Econometric theory
30
(
2014
)
6
,
pp. 1165-1206
Persistent link: https://www.econbiz.de/10010502121
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