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subject:"Estimation theory"
type_genre:"Amtsdruckschrift"
~person:"Koop, Gary"
~person:"Zakoïan, Jean-Michel"
~type_genre:"Aufsatz in Zeitschrift"
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Estimation theory
Estimation
33
Schätzung
33
Theorie
14
Theory
14
Schätztheorie
13
Time series analysis
10
VAR model
10
VAR-Modell
10
Zeitreihenanalyse
10
Bayes-Statistik
9
Bayesian inference
9
ARCH model
8
ARCH-Modell
8
USA
7
United States
7
Forecasting model
6
Prognoseverfahren
6
Volatility
6
Volatilität
6
Risikomaß
5
Risk measure
5
Schock
5
Shock
5
Business cycle
3
Börsenkurs
3
Konjunktur
3
Markov chain
3
Markov-Kette
3
Modellierung
3
Production function
3
Productivity
3
Produktionsfunktion
3
Produktivität
3
Scientific modelling
3
Share price
3
Stochastic process
3
Stochastischer Prozess
3
Technical efficiency
3
Technische Effizienz
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12
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Amtsdruckschrift
Aufsatz in Zeitschrift
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13
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13
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English
13
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Koop, Gary
Zakoïan, Jean-Michel
Kumbhakar, Subal
14
Gao, Jiti
12
Su, Liangjun
12
Tauchen, George Eugene
12
Linton, Oliver
10
Todorov, Viktor
10
Kumar, Dilip
9
Li, Jia
9
Baltagi, Badi H.
8
Hsiao, Cheng
8
Hsu, Yu-Chin
8
Lee, Lung-fei
8
Li, Qi
8
Phillips, Peter C. B.
8
Ramírez, Miguel D.
8
Tsionas, Efthymios G.
8
Francq, Christian
7
Jochmans, Koen
7
Kapetanios, George
7
Kim, Donggyu
7
Cai, Zongwu
6
Egger, Peter
6
Gouriéroux, Christian
6
Lesage, James P.
6
Lu, Xun
6
Park, Joon Y.
6
Parmeter, Christopher F.
6
Pesaran, M. Hashem
6
Racine, Jeffrey
6
Wang, Yazhen
6
Westerlund, Joakim
6
White, Halbert
6
Yu, Jihai
6
Baillie, Richard
5
Bollerslev, Tim
5
Caporale, Guglielmo Maria
5
Cheung, Yin-Wong
5
Escanciano, Juan Carlos
5
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Journal of econometrics
5
Journal of applied econometrics
2
Annals of economics and statistics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
Série des documents de travail / Centre de Recherche en Économie et Statistique
1
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
1
The econometrics journal
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ECONIS (ZBW)
13
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1
Choosing between identification schemes in noisy-news models
Chan, Joshua
;
Eisenstat, Eric
;
Koop, Gary
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 99-136
Persistent link: https://www.econbiz.de/10013334632
Saved in:
2
Inducing sparsity and shrinkage in time-varying parameter models
Huber, Florian
;
Koop, Gary
;
Onorante, Luca
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 669-683
Persistent link: https://www.econbiz.de/10012588006
Saved in:
3
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
4
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
5
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
6
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
7
Looking for efficient QML estimation of conditional VaRs at multiple risk levels
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 9-28
Persistent link: https://www.econbiz.de/10011592728
Saved in:
8
Risk-parameter estimation in volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
Saved in:
9
Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy
Jochmann, Markus
;
Koop, Gary
;
Leon-Gonzalez, Roberto
; …
- In:
Journal of applied econometrics
28
(
2013
)
1
,
pp. 62-81
Persistent link: https://www.econbiz.de/10009733363
Saved in:
10
Are apparent findings of nonlinearity due to structural instability in economic time series?
Koop, Gary
;
Potter, Simon M.
- In:
The econometrics journal
4
(
2001
)
1
,
pp. 37-55
Persistent link: https://www.econbiz.de/10001612280
Saved in:
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