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~isPartOf:"Journal of time series econometrics"
~subject:"ARCH-Modell"
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Search: subject_exact:"Estimation theory"
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ARCH-Modell
Estimation theory
59
Schätztheorie
59
Time series analysis
39
Zeitreihenanalyse
39
ARCH model
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
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6
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Regression analysis
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Regressionsanalyse
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Estimation
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Schätzung
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cointegration
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Maximum likelihood estimation
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Monte-Carlo-Simulation
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VAR model
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VAR-Modell
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bootstrap
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Autocorrelation
3
Autokorrelation
3
Bias
3
Nichtparametrisches Verfahren
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Nonparametric statistics
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State space model
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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
Sanhaji, Bilel
1
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1
Yang, Minxian
1
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Journal of time series econometrics
Journal of econometrics
50
Econometric theory
35
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
25
Economics letters
20
Discussion paper / Tinbergen Institute
19
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Econometric reviews
14
The econometrics journal
14
International journal of forecasting
13
Journal of empirical finance
13
CREATES research paper
12
Finance research letters
12
Journal of risk
12
International journal of economics and financial issues : IJEFI
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Journal of forecasting
11
Applied economics
10
CORE discussion papers : DP
9
Economic modelling
9
Journal of banking & finance
9
Journal of risk and financial management : JRFM
9
Série des documents de travail / Centre de Recherche en Économie et Statistique
9
The North American journal of economics and finance : a journal of financial economics studies
9
Journal of financial econometrics
8
Applied economics letters
7
Econometrics : open access journal
7
Journal of mathematical finance
7
Computational economics
6
International Journal of Energy Economics and Policy : IJEEP
6
Annals of financial economics
5
Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
5
The journal of risk model validation
5
Working paper series
5
Working papers
5
CBN journal of applied statistics
4
Discussion paper / Centre for Economic Forecasting
4
Discussion paper / Department of Economics, University of California San Diego
4
Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines
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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
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
On convergence of the QMLE for misspecified GARCH models
Jensen, Anders Tolver
;
Lange, Theis
- In:
Journal of time series econometrics
2
(
2010
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009623323
Saved in:
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