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subject:"Volatility"
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Search: subject_exact:"Estimation theory"
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Stochastic process
Volatility
Theory
Estimation theory
137
Schätztheorie
137
Time series analysis
59
Zeitreihenanalyse
59
Nichtparametrisches Verfahren
19
Nonparametric statistics
19
Estimation
18
Schätzung
18
Theorie
18
Stochastischer Prozess
15
Volatilität
15
Cointegration
14
Kointegration
14
ARCH model
12
ARCH-Modell
12
Statistical test
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Statistischer Test
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Bootstrap-Verfahren
11
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10
Regression analysis
10
Regressionsanalyse
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USA
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United States
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Forecasting model
9
Prognoseverfahren
9
Maximum likelihood estimation
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Maximum-Likelihood-Schätzung
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VAR model
8
VAR-Modell
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Autocorrelation
6
Autokorrelation
6
Modellierung
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Nichtlineare Regression
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39
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39
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39
Working Paper
39
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English
39
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Nielsen, Morten Ørregaard
4
Teräsvirta, Timo
4
Kristensen, Dennis
3
Santucci de Magistris, Paolo
3
Silvennoinen, Annastiina
3
Barndorff-Nielsen, Ole E.
2
Bennedsen, Mikkel
2
Kock, Anders Bredahl
2
Kruse, Robinson
2
Lunde, Asger
2
Pakkanen, Mikko S.
2
Podolskij, Mark
2
Rossi, Eduardo
2
Amado, Cristina
1
Andersen, Torben
1
Callot, Laurent
1
Callot, Laurent A. F.
1
Caner, Mehmet
1
Casas, Isabel
1
Cattaneo, Matias D.
1
Cavaliere, Giuseppe
1
Christensen, Bent Jesper
1
Christensen, Kim
1
Corcuera, José Manual
1
Creel, Michael D.
1
Crump, Richard K.
1
Demetrescum, Matei
1
Ergemen, Yunus Emre
1
Floor Brix, Anne
1
Gijbels, Irène
1
Grassi, Stefano
1
Guégan, Dominique
1
Hall, Anthony D.
1
Hanck, Christoph
1
Hansen, Peter Reinhard
1
Horel, Guillaume
1
Hounyo, Ulrich
1
Jakobsen, Johan Stax
1
Jansson, Michael
1
Kanaya, Shin
1
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CREATES research paper
Série des documents de travail / Centre de Recherche en Économie et Statistique
160
Discussion paper / Tinbergen Institute
108
Working paper / National Bureau of Economic Research, Inc.
88
Discussion paper / Center for Economic Research, Tilburg University
86
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
84
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
83
CORE discussion paper : DP
78
Working paper series
55
Technical working paper / National Bureau of Economic Research
54
Discussion paper series / IZA
50
Cowles Foundation discussion paper
47
Europäische Hochschulschriften / 5
44
SFB 649 discussion paper
44
Working paper
41
Discussion paper / Tinbergen Institute / Tinbergen Institute
37
Report / Econometric Institute, Erasmus University Rotterdam
36
Discussion paper
35
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
35
EUI working paper / ECO
32
Umeå economic studies
32
Discussion paper / Centre for Economic Policy Research
31
Discussion paper / Department of Economics, University of Canterbury
31
CESifo working papers
29
Discussion paper / School of Economics, The University of New South Wales
28
Discussion paper / Department of Economics, University of California San Diego
27
Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines
26
Reihe Quantitative Ökonomie : Ökon
25
Report / Econometric Institute, Erasmus University Rotterdam / Econometric Institute, Erasmus University Rotterdam
25
Arbeiten aus dem Institut für Statistik und Ökonometrie der Christian-Albrechts-Universität Kiel
24
CEMMAP working papers / Centre for Microdata Methods and Practice
23
Working papers / Rutgers University, Department of Economics
23
Beiträge aus dem Institut für Statistik und Ökonometrie der Universität Hamburg
22
Discussion paper / A
22
Discussion papers in economics
22
Discussion papers of interdisciplinary research project 373
22
Working papers in econometrics and applied statistics
22
Discussion paper / B
21
Finance and economics discussion series
21
Working paper / Department of Econometrics and Business Statistics, Monash University
21
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ECONIS (ZBW)
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1
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
Cross-sectional noise reduction and more efficient estimation of integrated variance
Mirone, Giorgio
-
2018
Persistent link: https://www.econbiz.de/10011864983
Saved in:
7
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:
8
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:
9
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:
10
Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich
;
Veliyev, Bezirgen
-
2015
Persistent link: https://www.econbiz.de/10010529455
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