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subject:"Stochastic process"
subject:"Volatility"
~isPartOf:"CREATES research paper"
~isPartOf:"Discussion papers of interdisciplinary research project 373"
~type:"book"
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Search: subject_exact:"Estimation theory"
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Stochastic process
Volatility
Estimation theory
266
Schätztheorie
266
Time series analysis
74
Zeitreihenanalyse
74
Nichtparametrisches Verfahren
62
Nonparametric statistics
62
Regression analysis
51
Regressionsanalyse
51
Estimation
33
Schätzung
33
Theorie
30
Theory
30
Stochastischer Prozess
25
Statistical test
22
Statistischer Test
22
Bootstrap approach
20
Bootstrap-Verfahren
20
Cointegration
19
Kointegration
19
Volatilität
19
Statistical distribution
16
Statistische Verteilung
16
ARCH model
14
ARCH-Modell
14
VAR model
14
VAR-Modell
14
Induktive Statistik
12
Statistical inference
12
Maximum likelihood estimation
11
Maximum-Likelihood-Schätzung
11
Nichtlineare Regression
11
Nonlinear regression
11
Statistical error
11
Statistischer Fehler
11
Autocorrelation
10
Autokorrelation
10
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10
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10
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37
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37
Graue Literatur
37
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37
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37
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English
37
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Teräsvirta, Timo
4
Härdle, Wolfgang
3
Nielsen, Morten Ørregaard
3
Silvennoinen, Annastiina
3
Spokojnyj, Vladimir G.
3
Barndorff-Nielsen, Ole E.
2
Bennedsen, Mikkel
2
Kristensen, Dennis
2
Küchler, Uwe
2
Lunde, Asger
2
Pakkanen, Mikko S.
2
Reiß, Markus
2
Rossi, Eduardo
2
Santucci de Magistris, Paolo
2
Amado, Cristina
1
Andersen, Torben
1
Casas, Isabel
1
Cavaliere, Giuseppe
1
Christensen, Bent Jesper
1
Corcuera, José Manual
1
Creel, Michael D.
1
Dankenbring, Henning
1
Demetrescum, Matei
1
Ergemen, Yunus Emre
1
Floor Brix, Anne
1
Genon-Catalot, Valentine
1
Gijbels, Irène
1
Guégan, Dominique
1
Hafner, Christian M.
1
Hall, Anthony D.
1
Hanck, Christoph
1
Herwartz, Helmut
1
Horst, Ulrich
1
Hounyo, Ulrich
1
Jakobsen, Johan Stax
1
Kanaya, Shin
1
Kang, Jian
1
Kruse, Robinson
1
Kutoyants, Yu. A.
1
Laredo, Catherine
1
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
11
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CREATES research paper
Discussion papers of interdisciplinary research project 373
Discussion paper / Tinbergen Institute
37
SFB 649 discussion paper
15
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
14
Cowles Foundation discussion paper
13
Série des documents de travail / Centre de Recherche en Économie et Statistique
10
NBER Working Paper
9
Working paper
9
Working paper / National Bureau of Economic Research, Inc.
8
Working papers
8
NBER working paper series
7
Discussion paper
6
Documento de trabajo
6
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
6
CORE discussion papers : DP
5
Cambridge working papers in economics
5
Discussion paper / Center for Economic Research, Tilburg University
5
Discussion paper / Tinbergen Institute / Tinbergen Institute
5
Discussion papers / CEPR
5
Discussion papers in economics
5
GRIPS discussion papers
5
KBI
5
Série des documents de travail
5
Working paper / Department of Econometrics and Business Statistics, Monash University
5
Working paper series
5
Working papers / Rutgers University, Department of Economics
5
Working papers / TSE : WP
5
CEMFI working paper
4
Cambridge-INET working papers
4
Chicago Booth Research Paper
4
Discussion paper / Department of Economics, University of California San Diego
4
Discussion paper series / LSE Financial Markets Group
4
ERID working paper
4
EUI working paper / ECO
4
Finance and economics discussion series
4
IES working paper
4
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
4
Research paper series / Swiss Finance Institute
4
Bank of England Working Paper
3
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ECONIS (ZBW)
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Estimation of continuous-time linear DSGE models from discrete-time measurements
Christensen, Bent Jesper
;
Neri, Luca
;
Parra-Alvarez, …
-
2023
Persistent link: https://www.econbiz.de/10014280884
Saved in:
2
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:
3
Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard
;
Seo, Wonk-ki
;
Seong, Dakyung
-
2022
Persistent link: https://www.econbiz.de/10012816384
Saved in:
4
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
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
Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data
Bennedsen, Mikkel
-
2016
Persistent link: https://www.econbiz.de/10011524100
Saved in:
7
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:
8
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:
9
Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich
;
Veliyev, Bezirgen
-
2015
Persistent link: https://www.econbiz.de/10010529455
Saved in:
10
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2014
Persistent link: https://www.econbiz.de/10010394614
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