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subject:"Share price"
subject:"United Kingdom"
~isPartOf:"CREATES research paper"
~subject:"ARCH-Modell"
~subject:"Prognoseverfahren"
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Share price
United Kingdom
ARCH-Modell
Prognoseverfahren
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
Volatility
15
Volatilität
15
Cointegration
14
Kointegration
14
ARCH model
12
Statistical test
12
Statistischer Test
12
Bootstrap approach
11
Bootstrap-Verfahren
11
Induktive Statistik
10
Regression analysis
10
Regressionsanalyse
10
Statistical inference
10
USA
10
United States
10
Forecasting model
9
Maximum likelihood estimation
8
Maximum-Likelihood-Schätzung
8
VAR model
8
VAR-Modell
8
Autocorrelation
6
Autokorrelation
6
Modellierung
6
Nichtlineare Regression
6
Nonlinear regression
6
Scientific modelling
6
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22
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Graue Literatur
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Non-commercial literature
22
Working Paper
22
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English
22
Author
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Teräsvirta, Timo
6
Silvennoinen, Annastiina
4
Hillebrand, Eric
2
Lee, Tae-hwy
2
Nielsen, Morten Ørregaard
2
Pedersen, Rasmus Søndergaard
2
Rahbek, Anders
2
Amado, Cristina
1
Andersen, Torben
1
Bennedsen, Mikkel
1
Callot, Laurent
1
Callot, Laurent A. F.
1
Catani, Paul
1
Cavaliere, Giuseppe
1
Demetrescu, Matei
1
Grassi, Stefano
1
Hall, Anthony D.
1
Hounyo, Ulrich
1
Jakobsen, Johan Stax
1
Kang, Jian
1
Kock, Anders B.
1
Kock, Anders Bredahl
1
Kristensen, Johannes Tang
1
Kruse-Becher, Robinson
1
Lahiri, Kajal
1
Lange, Theis
1
Lunde, Asger
1
Medeiros, Marcelo C.
1
Noël, Antoine L.
1
Osterrieder, Daniela
1
Shephard, Neil G.
1
Taylor, Robert
1
Tolver Jensen, Anders
1
Varneskov, Rasmus Tangsgaard
1
Ventosa-Santaulària, Daniel
1
Vera-Valdés, J. Eduardo
1
Veraart, Almut E. D.
1
Violante, Francesco
1
Wade, Glen
1
Yin, Meiqun
1
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CREATES research paper
Journal of econometrics
151
International journal of forecasting
119
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
92
Journal of forecasting
76
Economics letters
51
Econometric theory
49
Discussion paper / Tinbergen Institute
47
Econometric reviews
29
Finance research letters
29
Journal of empirical finance
29
The econometrics journal
27
Journal of banking & finance
26
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
26
Working paper / Department of Econometrics and Business Statistics, Monash University
25
Economic modelling
23
Working paper
22
Applied economics
20
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
19
Journal of applied econometrics
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
NBER working paper series
19
Quantitative finance
19
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
18
Oxford bulletin of economics and statistics
18
Discussion paper
17
International journal of economics and financial issues : IJEFI
17
Journal of risk and financial management : JRFM
17
NBER Working Paper
17
Applied economics letters
16
Insurance / Mathematics & economics
16
Econometrics : open access journal
15
Journal of financial econometrics
15
CESifo working papers
14
Computational economics
14
European journal of operational research : EJOR
14
Journal of risk
14
Journal of the American Statistical Association : JASA
14
Journal of time series econometrics
14
International Journal of Energy Economics and Policy : IJEEP
13
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ECONIS (ZBW)
22
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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
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
3
Is U.S. real output growth really non-normal? : testing distributional assumptions in time-varying location-scale models
Demetrescu, Matei
;
Kruse-Becher, Robinson
-
2021
Persistent link: https://www.econbiz.de/10012620758
Saved in:
4
Inference and forecasting for continuous-time integervalued trawl processes and their use in financial economics
Bennedsen, Mikkel
;
Lunde, Asger
;
Shephard, Neil G.
; …
-
2021
Persistent link: https://www.econbiz.de/10012621491
Saved in:
5
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:
6
Estimating the variance of a combined forecast : bootstrap-based approach
Hounyo, Ulrich
;
Lahiri, Kajal
-
2021
Persistent link: https://www.econbiz.de/10012815973
Saved in:
7
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
8
To infinity and beyond : efficient computation of ARCH(∞) models
Nielsen, Morten Ørregaard
;
Noël, Antoine L.
-
2020
Persistent link: https://www.econbiz.de/10012318239
Saved in:
9
Consistent inference for predictive regressions in persistent VAR economies
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
-
2018
Persistent link: https://www.econbiz.de/10011797682
Saved in:
10
Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2017
Persistent link: https://www.econbiz.de/10011721042
Saved in:
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