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Year of publication
Subject
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Estimation theory 22 Schätztheorie 22 Time series analysis 14 Zeitreihenanalyse 14 Nichtparametrisches Verfahren 12 Regression analysis 12 Regressionsanalyse 12 Forecasting model 11 Nonparametric statistics 11 Prognoseverfahren 11 Schätzung 10 VAR model 10 VAR-Modell 10 Estimation 9 semiparametric estimation 9 Multivariate Analyse 8 Multivariate analysis 8 Theorie 8 single-index models 8 Single-index models 7 Volatility 7 Volatilität 7 Index 6 Index number 6 Theory 6 index models 6 single index models 6 Aktienindex 5 Bayes-Statistik 5 Bayesian inference 5 Stock index 5 ARCH model 4 ARCH-Modell 4 Estimating equations 4 Index models 4 Multivariate Autoregressive Index models 4 Single index models 4 Variable selection 4 Welt 4 World 4
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Online availability
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Free 41 Undetermined 28 CC license 1
Type of publication
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Article 37 Book / Working Paper 34
Type of publication (narrower categories)
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Article in journal 19 Aufsatz in Zeitschrift 19 Working Paper 15 Arbeitspapier 10 Graue Literatur 10 Non-commercial literature 10 Aufsatz im Buch 1 Book section 1
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Language
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English 42 Undetermined 29
Author
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Gao, Jiti 7 Lewbel, Arthur 7 Cubadda, Gianluca 6 Carriero, Andrea 5 Chen, Jia 5 Li, Degui 5 Marcellino, Massimiliano 5 Corsello, Francesco 4 Guardabascio, Barbara 4 Donkers, Bas 3 Escanciano, Juan Carlos 3 Lian, Heng 3 Linton, Oliver 3 Wang, Qihua 3 Zhang, Tao 3 Climov, Daniela 2 Dasilas, Apostolos 2 Delecroix, Michel 2 Grassi, Stefano 2 Huang, Zhensheng 2 Härdle, Wolfgang Karl 2 Ichimura, Hidehiko 2 Jacho-Chávez, David 2 Kew, Hsein 2 Koulakiotis, Athanasios 2 Pang, Zhen 2 Simar, Léopold 2 Zhang, Riquan 2 Zhang, Wenyang 2 Ackerberg, Daniel A. 1 Agarwal, Nipun 1 Ahn, Hyungtaik 1 Asai, Manabu 1 Bera, Anil K. 1 Birchenall, Javier A. 1 Boente, Graciela 1 Dong, Chaohua 1 Donga, Chaohua 1 Donkers, A.C.D. 1 Doğan, Osman 1
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Institution
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Department of Econometrics and Business Statistics, Monash Business School 4 Department of Economics and Related Studies, University of York 3 Department of Economics, Boston College 2 London School of Economics (LSE) 2 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 2 Erasmus University Rotterdam, Econometric Institute 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 Institute of Business and Economic Research (IBER), Walter A. Haas School of Business 1 School of Economics, University of Adelaide 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1
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Published in...
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Journal of Multivariate Analysis 6 International journal of forecasting 4 Monash Econometrics and Business Statistics Working Papers 4 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 3 Journal of econometrics 3 Boston College Working Papers in Economics 2 CEIS Tor Vergata research papers : CEIS Tor Vergata research paper series 2 Computational Statistics & Data Analysis 2 Health, Econometrics and Data Group (HEDG) Working Papers 2 International Journal of Monetary Economics and Finance 2 LSE Research Online Documents on Economics 2 Quantitative economics : QE ; journal of the Econometric Society 2 STICERD - Econometrics Paper Series 2 Temi di discussione / Banca d'Italia 2 Working paper / Department of Econometrics and Business Statistics, Monash University 2 cemmap working paper 2 Cahier de recherche 1 Central European Journal of Economic Modelling and Econometrics 1 Department of Economics, Working Paper Series 1 Discussion Papers / Department of Economics and Related Studies, University of York 1 Discussion papers / CEPR 1 Econometric Institute Report 1 Econometric Institute Research Papers 1 Econometrics : open access journal 1 Economics letters 1 Empirical economics : a quarterly journal of the Institute for Advanced Studies 1 Essays in honor of Joon Y. Park : econometric theory 1 Handbook of econometrics : volume 6B 1 IRTG 1792 Discussion Paper 1 International Journal of Economics 1 International journal of theoretical and applied finance 1 Journal of Income Distribution 1 Journal of applied econometrics 1 Mathematics and Computers in Simulation (MATCOM) 1 SFB 373 Discussion Paper 1 SFB 373 Discussion Papers 1 SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1 SFB 649 discussion paper 1 School of Economics Working Papers 1
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Source
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RePEc 35 ECONIS (ZBW) 31 EconStor 5
Showing 1 - 10 of 71
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VAR models with an index structure : a survey with new results
Cubadda, Gianluca - 2025
Persistent link: https://www.econbiz.de/10015476735
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The time-varying Multivariate Autoregressive Index model
Cubadda, Gianluca; Grassi, Stefano; Guardabascio, Barbara - In: International journal of forecasting 41 (2025) 1, pp. 175-190
Persistent link: https://www.econbiz.de/10015440289
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VAR models with an index structure : a survey with new results
Cubadda, Gianluca - In: Econometrics : open access journal 13 (2025) 4, pp. 1-32
The main aim of this paper is to review recent advances in the multivariate autoregressive index model [MAI] and their applications to economic and financial time series. MAI has recently gained momentum because it can be seen as a link between two popular but distinct multivariate time series...
Persistent link: https://www.econbiz.de/10015562093
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The time-varying multivariate autoregressive index model
Cubadda, Gianluca; Grassi, Stefano; Guardabascio, Barbara - 2024
Persistent link: https://www.econbiz.de/10014515646
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Sparse multiple index models for high-dimensional nonparametric forecasting
Palihawadana, Nuwani K.; Hyndman, Rob J.; Wang, Xiaoqian - 2024
Persistent link: https://www.econbiz.de/10015073818
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Semi-parametric single-index predictive regression models with cointegrated regressors
Zhou, Weilun; Gao, Jiti; Harris, David; Kew, Hsein - In: Journal of econometrics 238 (2024) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10015073842
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On extending Powell, Stock, and Stoker (1989) to indexes with functionally dependent covariates
Ackerberg, Daniel A.; Haiqing Xu - In: Economics letters 242 (2024), pp. 1-4
Persistent link: https://www.econbiz.de/10015079832
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Robust M-estimation for additive single-index cointegrating time series models
Donga, Chaohua; Gao, Jiti; Peng, Bin; Tu, Yundong - 2023
Persistent link: https://www.econbiz.de/10014315933
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The economic drivers of volatility and uncertainty
Carriero, Andrea; Corsello, Francesco; Marcellino, … - 2020
Persistent link: https://www.econbiz.de/10012301117
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Treatment effect models with strategic interaction in treatment decisions
Hoshino, Tadao; Yanagi, Takahide - In: Journal of econometrics 236 (2023) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10014365544
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