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subject:"Probability theory"
subject:"United States"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of financial and quantitative analysis : JFQA"
~subject:"ARCH-Modell"
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Search: subject_exact:"Estimation theory"
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Probability theory
United States
ARCH-Modell
Estimation theory
1,671
Schätztheorie
1,671
Theorie
387
Theory
387
Nichtparametrisches Verfahren
313
Nonparametric statistics
313
Zeitreihenanalyse
311
Time series analysis
310
Regression analysis
269
Regressionsanalyse
269
Estimation
221
Schätzung
217
Panel
158
Panel study
158
Statistical test
150
Statistischer Test
150
Volatility
117
Volatilität
117
Method of moments
101
Momentenmethode
100
Induktive Statistik
82
Statistical inference
82
Maximum likelihood estimation
81
Maximum-Likelihood-Schätzung
81
Autocorrelation
77
Autokorrelation
77
Forecasting model
74
Prognoseverfahren
74
Bootstrap approach
71
Bootstrap-Verfahren
71
Instrumental variables
69
Cointegration
63
Kointegration
62
Stochastic process
61
Stochastischer Prozess
61
Statistical distribution
60
Statistische Verteilung
60
Causality analysis
59
Kausalanalyse
59
IV-Schätzung
58
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121
Conference paper
1
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English
121
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Francq, Christian
10
Zakoïan, Jean-Michel
7
Zhu, Ke
4
Kim, Donggyu
3
Li, Dong
3
Li, Guodong
3
Hajivassiliou, Vassilis Argyrou
2
Jiang, Feiyu
2
LaFrance, Jeffrey T.
2
Li, Wai Keung
2
Maheu, John M.
2
Mayer, Walter James
2
Mroz, Thomas A.
2
Pedersen, Rasmus Søndergaard
2
Pope, Rulon D.
2
Rahbek, Anders
2
Shephard, Neil G.
2
Sickles, Robin C.
2
Wang, Yazhen
2
Abadie, Alberto
1
Agnew, G. K.
1
Aknouche, Abdelhakim
1
Andersen, Torben
1
Andreou, Elena
1
Andrews, Donald W. K.
1
Atkinson, Scott Estes
1
Aït-Sahalia, Yacine
1
Baltagi, Badi H.
1
Bams, Dennis
1
Bansal, Ravi
1
Barnett, Glen
1
Bauwens, Luc
1
Beatty, T. K. M.
1
Bohn Nielsen, Heino
1
Bradley, Michael G.
1
Breidt, F. Jay
1
Breunig, Christoph
1
Brüggemann, Ralf
1
Buchinsky, Moshe
1
Börsch-Supan, Axel
1
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Journal of econometrics
Journal of financial and quantitative analysis : JFQA
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
132
Economics letters
52
Econometric theory
48
The review of economics and statistics
45
Discussion paper / Tinbergen Institute
43
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
41
Working paper / National Bureau of Economic Research, Inc.
36
International journal of forecasting
32
Econometric reviews
30
Journal of applied econometrics
26
Applied economics
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
22
American journal of agricultural economics
21
CREATES research paper
21
Journal of forecasting
21
The econometrics journal
21
Journal of empirical finance
20
Statistics in transition : an international journal of the Polish Statistical Association
18
Technical working paper / National Bureau of Economic Research
18
Discussion paper / Center for Economic Research, Tilburg University
17
Série des documents de travail / Centre de Recherche en Économie et Statistique
17
Finance research letters
16
Journal of banking & finance
16
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
CEMMAP working papers / Centre for Microdata Methods and Practice
15
The journal of futures markets
15
Applied economics letters
14
NBER working paper series
14
The journal of finance : the journal of the American Finance Association
14
The review of economic studies
14
The review of financial studies
14
Discussion paper series / IZA
13
European journal of operational research : EJOR
13
Journal of risk
13
Report / Econometric Institute, Erasmus University Rotterdam
13
Insurance / Mathematics & economics
12
Journal of macroeconomics
12
NBER Working Paper
12
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ECONIS (ZBW)
121
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1
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
2
Tail index estimation in the presence of covariates : stock returns' tail risk dynamics
Nicolau, João
;
Rodrigues, Paulo M. M.
;
Stoykov, Marian Z.
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2266-2284
Persistent link: https://www.econbiz.de/10014471455
Saved in:
3
Dynamic conditional eigenvalue GARCH
Hetland, Simon Thinggaard
;
Pedersen, Rasmus Søndergaard
; …
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471517
Saved in:
4
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
5
Conditional asymmetry in Power ARCH(∞) models
Royer, Julien
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 178-204
Persistent link: https://www.econbiz.de/10014364731
Saved in:
6
Estimation and inference about tail features with tail censored data
Wang, Yulong
;
Xiao, Zhijie
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 363-387
Persistent link: https://www.econbiz.de/10013463894
Saved in:
7
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
8
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
Cavaliere, Giuseppe
;
Bohn Nielsen, Heino
;
Pedersen, …
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 241-263
Persistent link: https://www.econbiz.de/10013441653
Saved in:
9
Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang
;
Zhu, Ke
;
Li, Guodong
;
Li, Wai Keung
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
Saved in:
10
Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying
;
Liu, Guangying
;
Zhang, Zhiyuan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
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