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subject:"Monte Carlo simulation"
~isPartOf:"CREATES research paper"
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Search: subject_exact:"Estimation theory"
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Monte Carlo simulation
Regressionsanalyse
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
Kointegration
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
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
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6
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27
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27
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English
27
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Teräsvirta, Timo
5
Silvennoinen, Annastiina
3
Andersen, Torben
2
Floor Brix, Anne
2
Kristensen, Dennis
2
Kruse, Robinson
2
Lunde, Asger
2
Ventosa-Santaulària, Daniel
2
Amado, Cristina
1
Barndorff-Nielsen, Ole E.
1
Callot, Laurent
1
Caner, Mehmet
1
Casas, Isabel
1
Cattaneo, Matias D.
1
Cavaliere, Giuseppe
1
Creel, Michael D.
1
Demetrescum, Matei
1
Ergemen, Yunus Emre
1
Gijbels, Irène
1
Gørgens, Tue
1
Hall, Anthony D.
1
Hanck, Christoph
1
Hillebrand, Eric
1
Holst Bache, Stefan
1
Hounyo, Ulrich
1
Jakobsen, Johan Stax
1
Jansson, Michael
1
Johansen, Søren
1
Kanaya, Shin
1
Kang, Jian
1
Kock, Anders Bredahl
1
Medeiros, Marcelo C.
1
Newey, Whitney K.
1
Nielsen, Bent
1
Nielsen, Morten Ørregaard
1
Osterrieder, Daniela
1
Riquelme, Juan Andres
1
Rodríguez-Caballero, Carlos Vladimir
1
Rossi, Eduardo
1
Sandberg, Rickard
1
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CREATES research paper
Journal of econometrics
405
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
146
Economics letters
133
Econometric theory
112
CEMMAP working papers / Centre for Microdata Methods and Practice
105
Econometric reviews
100
Journal of the American Statistical Association : JASA
99
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
82
The econometrics journal
73
Discussion paper / Tinbergen Institute
69
NBER Working Paper
50
Discussion paper series / IZA
49
Discussion papers of interdisciplinary research project 373
46
Cowles Foundation discussion paper
45
Economic modelling
45
European journal of operational research : EJOR
43
Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
42
Computational economics
41
Econometrics : open access journal
40
NBER working paper series
39
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
37
International journal of forecasting
35
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
34
Working paper / Department of Econometrics and Business Statistics, Monash University
34
Applied economics letters
32
Working paper / National Bureau of Economic Research, Inc.
31
KBI
30
Working paper
30
Journal of risk and financial management : JRFM
28
Quantitative economics : QE ; journal of the Econometric Society
28
SFB 649 discussion paper
28
Applied economics
27
Cowles Foundation Discussion Paper
27
IZA Discussion Paper
27
Journal of financial econometrics : official journal of the Society for Financial Econometrics
26
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
25
Insurance / Mathematics & economics
25
Journal of empirical finance
25
Journal of forecasting
25
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ECONIS (ZBW)
27
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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
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
3
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:
4
Consistent inference for predictive regressions in persistent VAR economies
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
-
2018
Persistent link: https://www.econbiz.de/10011797682
Saved in:
5
Threshold regression with endogeneity for short panels
Gørgens, Tue
;
Würtz, Allan H.
-
2018
Persistent link: https://www.econbiz.de/10011946251
Saved in:
6
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:
7
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:
8
A generalized Schwartz model for energy spot prices : estimation using a particle MCMC method
Floor Brix, Anne
;
Lunde, Asger
;
Wei, Wei
-
2015
Persistent link: https://www.econbiz.de/10011373234
Saved in:
9
Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich
;
Veliyev, Bezirgen
-
2015
Persistent link: https://www.econbiz.de/10010529455
Saved in:
10
Unbalanced regressions and the predictive equation
Osterrieder, Daniela
;
Ventosa-Santaulària, Daniel
; …
-
2015
Persistent link: https://www.econbiz.de/10011516995
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