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type_genre:"No longer published / No longer aquired"
~isPartOf:"CREATES research paper"
~subject:"Kointegration"
~subject:"Volatility"
~type_genre:"Arbeitspapier"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Kointegration
Volatility
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
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
Autocorrelation
6
Autokorrelation
6
Modellierung
6
Nichtlineare Regression
6
Nonlinear regression
6
Scientific modelling
6
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28
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28
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No longer published / No longer aquired
Arbeitspapier
Article in journal
Graue Literatur
28
Non-commercial literature
28
Working Paper
28
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English
28
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Teräsvirta, Timo
5
Johansen, Søren
4
Nielsen, Morten Ørregaard
4
Kristensen, Dennis
3
Silvennoinen, Annastiina
3
Rahbek, Anders
2
Amado, Cristina
1
Andersen, Torben
1
Barndorff-Nielsen, Ole E.
1
Bohn Nielsen, Heino
1
Carlini, Federico
1
Casas, Isabel
1
Cavaliere, Giuseppe
1
Christensen, Bent Jesper
1
Creel, Michael D.
1
Demetrescum, Matei
1
Ergemen, Yunus Emre
1
Floor Brix, Anne
1
Franchi, Massimo
1
Frederiksen, Per
1
Gatarek, Lukasz
1
Gijbels, Irène
1
Hall, Anthony D.
1
Hanck, Christoph
1
Hounyo, Ulrich
1
Hubrich, Kirstin
1
Jakobsen, Johan Stax
1
Kanaya, Shin
1
Kang, Jian
1
Kruse, Robinson
1
Kurita, Takamitsu
1
Lasak, Katarzyna
1
Lunde, Asger
1
MacKinnon, James G.
1
Nyboe Tabor, Morten
1
Rossi, Eduardo
1
Santucci de Magistris, Paolo
1
Seo, Wonk-ki
1
Seong, Dakyung
1
Swensen, Anders Rygh
1
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CREATES research paper
Journal of econometrics
177
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
50
Econometric reviews
44
Economics letters
42
Discussion paper / Tinbergen Institute
38
Econometric theory
38
Economic modelling
32
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
30
Econometrics : open access journal
26
The econometrics journal
22
Journal of empirical finance
21
Applied economics letters
20
International journal of forecasting
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
International journal of economics and financial issues : IJEFI
17
Quantitative finance
17
Applied economics
16
Cowles Foundation discussion paper
16
Working paper / Department of Econometrics and Business Statistics, Monash University
16
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
15
Journal of banking & finance
15
Journal of financial econometrics
15
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
13
Finance research letters
13
International journal of theoretical and applied finance
13
Journal of forecasting
13
Journal of risk and financial management : JRFM
12
The North American journal of economics and finance : a journal of financial economics studies
12
Empirical economics : a quarterly journal of the Institute for Advanced Studies
11
International journal of economics and finance
11
Journal of time series econometrics
10
SFB 649 discussion paper
10
Computational economics
9
Discussion papers of interdisciplinary research project 373
9
Oxford bulletin of economics and statistics
9
CESifo working papers
8
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
8
Discussion papers / Department of Economics, University of Copenhagen
8
Finance and stochastics
8
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ECONIS (ZBW)
28
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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
Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard
;
Seo, Wonk-ki
;
Seong, Dakyung
-
2022
Persistent link: https://www.econbiz.de/10012816384
Saved in:
3
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
4
Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models
Johansen, Søren
;
Swensen, Anders Rygh
-
2021
Persistent link: https://www.econbiz.de/10012620761
Saved in:
5
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:
6
Cointegration between trends and their estimators in state space models and CVAR models
Johansen, Søren
;
Nyboe Tabor, Morten
-
2017
Persistent link: https://www.econbiz.de/10011624144
Saved in:
7
The role of cointegration for optimal hedging with heteroscedastic error term
Gatarek, Lukasz
;
Johansen, Søren
-
2017
Persistent link: https://www.econbiz.de/10011624150
Saved in:
8
Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles
Franchi, Massimo
;
Johansen, Søren
-
2017
Persistent link: https://www.econbiz.de/10011648634
Saved in:
9
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:
10
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:
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