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Estimation theory
Theorie
148
Theory
137
Zeitreihenanalyse
90
Time series analysis
83
Kreditrisiko
65
Credit risk
59
Schätztheorie
52
Schätzung
48
Portfolio-Management
47
Estimation
45
Portfolio selection
44
USA
41
Volatilität
35
Statistische Verteilung
34
United States
34
Volatility
34
Statistical distribution
33
Prognoseverfahren
30
Forecasting model
29
credit risk
24
Kapitaleinkommen
22
Capital income
21
EU countries
21
EU-Staaten
21
Stochastic process
21
Stochastischer Prozess
21
Zustandsraummodell
20
time-varying parameters
20
ARCH model
19
ARCH-Modell
19
Correlation
19
Financial crisis
19
Konjunktur
19
State space model
19
Finanzkrise
18
Korrelation
18
Risikomaß
18
Risk measure
18
importance sampling
18
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Free
18
Undetermined
6
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Book / Working Paper
31
Article
19
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Arbeitspapier
30
Working Paper
30
Graue Literatur
26
Non-commercial literature
26
Article in journal
19
Aufsatz in Zeitschrift
19
Hochschulschrift
1
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1
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Language
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English
47
German
3
Author
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Lucas, André
44
Koopman, Siem Jan
11
Blasques, Francisco
8
Genton, Marc G.
7
Franses, Philip Hans
6
Abadir, Karim Maher
5
Dijk, Dick van
4
Zhang, Xin
3
Banachewicz, Konrad
2
Creal, Drew
2
Opschoor, Anne
2
Ronchetti, Elvezio
2
Zamojski, Marcin
2
Boswijk, H. Peter
1
Boswijk, Herman Peter
1
Brummelen, Janneke van
1
Calvori, Francesco
1
Cantoni, Eva
1
Dijk, Herman K. van
1
El Ghouch, Anouar
1
Hoek, Henk
1
Irincheeva, Irina
1
Li, Bo
1
Ma, Yanyuan
1
Monteiro, André Antonio
1
Scharth, Marcel
1
Sherman, Michael
1
Silde, Erkki
1
Smirnov, Georgi V.
1
Taylor, Nicholas
1
Taylor, Nick
1
Tsiatis, Anastasios A.
1
Łasak, Katarzyna
1
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Discussion paper / Tinbergen Institute
20
Journal of the American Statistical Association : JASA
4
Econometric reviews
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Journal of econometrics
3
Cahiers du Département d'Econométrie
2
Discussion papers in statistics and econometrics
2
International journal of forecasting
2
Report / Econometric Institute, Erasmus University Rotterdam
2
Discussion paper / Tinbergen Institue / Tinbergen Institute
1
Discussion paper / Tinbergen Institute / Tinbergen Institute
1
Discussion papers in economics
1
Econometric theory
1
Economics letters
1
Journal of financial econometrics
1
Journal of forecasting
1
NBP working paper
1
Reihe Quantitative Ökonomie : Ökon
1
Report / Econometric Institute, Erasmus University Rotterdam / Econometric Institute, Erasmus University Rotterdam
1
Report / Econometric Institute, Erasmus University, Rotterdam / Econometric Institute, Erasmus University Rotterdam
1
Report / Erasmus Center for Financial Research, Erasmus University
1
Sveriges Riksbank working paper series
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ECONIS (ZBW)
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41
Short patches of outliers, ARCH and volatility modelling
Franses, Philip Hans
;
Dijk, Dick van
;
Lucas, André
-
1998
Persistent link: https://www.econbiz.de/10000986130
Saved in:
42
Short patches of outliers, arch and volatility modeling
Dijk, Dick van
;
Franses, Philip Hans
;
Lucas, André
-
1998
Persistent link: https://www.econbiz.de/10000988100
Saved in:
43
A comparison of parametric, seminonparametric, adaptive, and nonparametric cointegration tests
Boswijk, H. Peter
;
Lucas, André
;
Taylor, Nick
-
1999
Persistent link: https://www.econbiz.de/10001365108
Saved in:
44
Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
Lucas, André
;
Zhang, Xin
- In:
International journal of forecasting
32
(
2016
)
2
,
pp. 293-302
Persistent link: https://www.econbiz.de/10011596763
Saved in:
45
Fractional integration and fat tails for realized covariance kernels
Opschoor, Anne
;
Lucas, André
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 66-90
Persistent link: https://www.econbiz.de/10012054426
Saved in:
46
A stochastic recurrence equations approach for score driven correlation models
Blasques, Francisco
;
Lucas, André
;
Silde, Erkki
- In:
Econometric reviews
37
(
2018
)
1/5
,
pp. 166-181
Persistent link: https://www.econbiz.de/10012038166
Saved in:
47
Nonlinear autoregressive models with optimality properties
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
- In:
Econometric reviews
39
(
2020
)
6
,
pp. 559-578
Persistent link: https://www.econbiz.de/10012195421
Saved in:
48
Dynamic term structure models with score-driven time-varying parameters : estimation and forecasting
Koopman, Siem Jan
;
Lucas, André
;
Zamojski, Marcin
-
2017
Persistent link: https://www.econbiz.de/10011618466
Saved in:
49
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 875-887
Persistent link: https://www.econbiz.de/10011621857
Saved in:
50
Maximum likelihood estimation for score-driven models
Blasques, Francisco
;
Brummelen, Janneke van
;
Koopman, …
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 325-346
Persistent link: https://www.econbiz.de/10013442028
Saved in:
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