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subject:"Share price"
type_genre:"Article in journal"
~isPartOf:"Journal of time series econometrics"
~subject:"ARCH model"
~subject:"Kapitaleinkommen"
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Search: subject_exact:"Estimation theory"
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Share price
ARCH model
Kapitaleinkommen
Estimation theory
59
Schätztheorie
59
Time series analysis
39
Zeitreihenanalyse
39
ARCH-Modell
10
Statistical test
10
Statistischer Test
10
Einheitswurzeltest
9
Unit root test
9
Structural break
8
Strukturbruch
8
Cointegration
7
Kointegration
7
ARMA model
6
ARMA-Modell
6
Forecasting model
6
Prognoseverfahren
6
Regression analysis
6
Regressionsanalyse
6
Estimation
5
Schätzung
5
cointegration
5
Bootstrap approach
4
Bootstrap-Verfahren
4
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
4
Monte Carlo simulation
4
Monte-Carlo-Simulation
4
VAR model
4
VAR-Modell
4
bootstrap
4
Autocorrelation
3
Autokorrelation
3
Bias
3
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
State space model
3
Stochastic process
3
Stochastischer Prozess
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Article in journal
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11
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English
11
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Arvanitis, Stelios
2
Asai, Manabu
2
Ardia, David
1
Bluteau, Keven
1
Boubaker, Heni
1
Chen, Jie
1
Dēmos, Antōnēs A.
1
Hoogerheide, Lennart
1
Jensen, Anders Tolver
1
Lange, Theis
1
Louka, Alexandros
1
McAleer, Michael
1
Milunovich, George
1
Politis, Dimitris N.
1
Quineche, Ricardo
1
Sanhaji, Bilel
1
So, Mike Ka-pui
1
Yang, Minxian
1
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Journal of time series econometrics
Journal of econometrics
108
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
59
Econometric theory
37
Economics letters
32
Journal of empirical finance
29
Finance research letters
25
Journal of banking & finance
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
Journal of financial econometrics : official journal of the Society for Financial Econometrics
20
Journal of forecasting
20
Econometric reviews
18
Economic modelling
16
International journal of forecasting
16
The econometrics journal
16
Journal of risk
15
Journal of risk and financial management : JRFM
15
International journal of economics and financial issues : IJEFI
14
Journal of financial and quantitative analysis : JFQA
14
Journal of financial econometrics
14
Econometrics : open access journal
13
Applied economics
12
The North American journal of economics and finance : a journal of financial economics studies
12
The journal of finance : the journal of the American Finance Association
12
Computational economics
11
Journal of mathematical finance
11
Quantitative finance
11
The European journal of finance
11
The review of financial studies
11
Applied economics letters
10
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
10
International review of financial analysis
10
Journal of economic dynamics & control
10
Journal of financial economics
10
Review of quantitative finance and accounting
9
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
8
The journal of business : B
8
Applied financial economics
7
Cogent economics & finance
7
International journal of economics and finance
7
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ECONIS (ZBW)
11
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1
Realized BEKK-CAW models
Asai, Manabu
;
So, Mike Ka-pui
- In:
Journal of time series econometrics
15
(
2023
)
1
,
pp. 49-77
Persistent link: https://www.econbiz.de/10014288366
Saved in:
2
Multivariate hyper-rotated GARCH-BEKK
Asai, Manabu
;
McAleer, Michael
- In:
Journal of time series econometrics
14
(
2022
)
2
,
pp. 175-198
Persistent link: https://www.econbiz.de/10013260190
Saved in:
3
Consumption, aggregate wealth and expected stock returns : an FCVAR approach
Quineche, Ricardo
- In:
Journal of time series econometrics
13
(
2021
)
1
,
pp. 21-42
Persistent link: https://www.econbiz.de/10012437824
Saved in:
4
Time-varying NoVaS versus GARCH : point prediction, volatility estimation and prediction intervals
Chen, Jie
;
Politis, Dimitris N.
- In:
Journal of time series econometrics
12
(
2020
)
2
,
pp. 1-36
Persistent link: https://www.econbiz.de/10012300649
Saved in:
5
A generalized ARFIMA model with smooth transition fractional integration parameter
Boubaker, Heni
- In:
Journal of time series econometrics
10
(
2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011817682
Saved in:
6
Methods for computing numerical standard errors : review and application to value-at-risk estimation
Ardia, David
;
Bluteau, Keven
;
Hoogerheide, Lennart
- In:
Journal of time series econometrics
10
(
2018
)
2
,
pp. 1-9
Persistent link: https://www.econbiz.de/10011898020
Saved in:
7
Testing for nonlinearity in conditional covariances
Sanhaji, Bilel
- In:
Journal of time series econometrics
9
(
2017
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011701865
Saved in:
8
A note on the QMLE limit theory in the non-stationary ARCH(1) model
Arvanitis, Stelios
;
Louka, Alexandros
- In:
Journal of time series econometrics
8
(
2016
)
1
,
pp. 21-39
Persistent link: https://www.econbiz.de/10011440450
Saved in:
9
Valid locally uniform edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations
Arvanitis, Stelios
;
Dēmos, Antōnēs A.
- In:
Journal of time series econometrics
6
(
2014
)
2
,
pp. 183-235
Persistent link: https://www.econbiz.de/10010401116
Saved in:
10
On identifying structural VAR models via ARCH effects
Milunovich, George
;
Yang, Minxian
- In:
Journal of time series econometrics
5
(
2013
)
2
,
pp. 117-131
Persistent link: https://www.econbiz.de/10010225458
Saved in:
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