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~isPartOf:"Journal of econometrics"
~subject:"Schätztheorie"
~subject:"Volatilität"
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Testing fractional persistence...
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Schätztheorie
Volatilität
Theorie
1,610
Theory
1,610
Estimation theory
802
Zeitreihenanalyse
677
Time series analysis
674
Estimation
466
Schätzung
462
Nichtparametrisches Verfahren
267
Nonparametric statistics
267
Volatility
226
Regression analysis
214
Regressionsanalyse
214
Forecasting model
193
Prognoseverfahren
193
Panel
191
Panel study
191
Statistical test
185
Statistischer Test
185
Stochastic process
161
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161
USA
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United States
124
Einheitswurzeltest
119
Unit root test
119
Cointegration
118
Kointegration
117
Statistical distribution
111
Statistische Verteilung
111
Bayes-Statistik
108
Bayesian inference
108
Method of moments
100
Momentenmethode
100
ARCH model
98
ARCH-Modell
98
Bootstrap approach
98
Bootstrap-Verfahren
98
Capital income
98
Kapitaleinkommen
98
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943
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937
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937
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10
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10
Conference paper
9
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9
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3
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947
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Phillips, Peter C. B.
19
Linton, Oliver
15
Todorov, Viktor
15
Bollerslev, Tim
13
Tauchen, George Eugene
12
Taylor, Robert
12
Andersen, Torben
10
Li, Qi
10
Aït-Sahalia, Yacine
9
Gao, Jiti
9
Gouriéroux, Christian
9
Lee, Lung-fei
9
Baltagi, Badi H.
8
Ghysels, Eric
8
Park, Joon Y.
8
Schmidt, Peter
8
Cai, Zongwu
7
Chib, Siddhartha
7
Francq, Christian
7
Leybourne, Stephen James
7
Li, Jia
7
McAleer, Michael
7
Shephard, Neil G.
7
Chen, Xiaohong
6
Christensen, Bent Jesper
6
Hsiao, Cheng
6
Kim, Donggyu
6
Robinson, Peter M.
6
Zakoïan, Jean-Michel
6
Ai, Chunrong
5
Barigozzi, Matteo
5
Boswijk, Herman Peter
5
Cavaliere, Giuseppe
5
Chambers, Marcus J.
5
Davis, Richard A.
5
Diebold, Francis X.
5
Granger, C. W. J.
5
Hong, Han
5
Kohn, Robert
5
Koop, Gary
5
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Journal of econometrics
Economics letters
675
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
458
Econometric theory
437
Working paper / National Bureau of Economic Research, Inc.
326
NBER working paper series
308
Discussion paper / Tinbergen Institute
302
NBER Working Paper
297
Econometric reviews
296
Energy economics
291
Applied economics
281
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
267
Economic modelling
254
Finance research letters
242
Applied economics letters
220
Journal of applied econometrics
215
Journal of banking & finance
206
Working paper
197
International journal of forecasting
189
Journal of empirical finance
186
International review of financial analysis
177
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
174
Série des documents de travail / Centre de Recherche en Économie et Statistique
173
International review of economics & finance : IREF
167
Journal of forecasting
158
Discussion paper / Centre for Economic Policy Research
153
Journal of quantitative economics : official journal of the Indian Econometric Society
153
Journal of economic dynamics & control
143
Journal of international money and finance
143
The North American journal of economics and finance : a journal of financial economics studies
142
CESifo working papers
141
The review of economics and statistics
141
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
135
Oxford bulletin of economics and statistics
131
CREATES research paper
128
Discussion paper series / IZA
126
The journal of futures markets
126
Discussion paper / Center for Economic Research, Tilburg University
116
Journal of financial economics
116
Discussion paper
115
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ECONIS (ZBW)
947
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1
Threshold models in time series analysis : some reflections
Tong, Howell
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
Saved in:
2
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
Saved in:
3
A test of the null of integer integration against the alternative of fractional integration
Cho, Cheol-Keun
;
Amsler, Christine Elaine
;
Schmidt, Peter
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 217-237
Persistent link: https://www.econbiz.de/10011498931
Saved in:
4
Large-dimensional dynamic factor models :
estimation
of impulse–response functions with I(1) cointegrated factors
Barigozzi, Matteo
;
Lippi, Marco
;
Luciani, Matteo
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 455-482
Persistent link: https://www.econbiz.de/10012619245
Saved in:
5
Level shift
estimation
in the presence of non-stationary volatility with an application to the unit root testing problem
Harris, David
;
Kew, Hsein
;
Taylor, Robert
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 354-388
Persistent link: https://www.econbiz.de/10012483394
Saved in:
6
Econometric estimates of Earth's transient climate sensitivity
Phillips, Peter C. B.
;
Leirvik, Thomas
;
Storelvmo, Trude
- In:
Journal of econometrics
214
(
2020
)
1
,
pp. 6-32
Persistent link: https://www.econbiz.de/10012438082
Saved in:
7
Asymptotic
theory
for near integrated processes driven by tempered linear processes
Sabzikar, Farzad
;
Wang, Qiying
;
Phillips, Peter C. B.
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 192-202
Persistent link: https://www.econbiz.de/10012439672
Saved in:
8
High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
Chang, Jinyuan
;
Guo, Bin
;
Yao, Qiwei
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 297-312
Persistent link: https://www.econbiz.de/10011504536
Saved in:
9
Impulse response analysis in nonlinear multivariate models
Koop, Gary
;
Pesaran, M. Hashem
;
Potter, Simon M.
- In:
Journal of econometrics
74
(
1996
)
1
,
pp. 119-147
Persistent link: https://www.econbiz.de/10001755367
Saved in:
10
Bias reduction in nonlinear and dynamic panels in the presence of cross-section dependence
Pakel, Cavit
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 459-492
Persistent link: https://www.econbiz.de/10012304576
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