//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
subject:"Volatility"
isPartOf:"Economic modelling"
~subject:"Time series analysis"
~isPartOf:"CREATES research paper"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject_exact:"Estimation theory"
Narrow search
Delete all filters
| 4 applied filters
Year of publication
From:
To:
Subject
All
Volatility
Time series analysis
Estimation theory
273
Schätztheorie
273
Zeitreihenanalyse
93
Estimation
71
Schätzung
70
Theorie
33
Theory
33
Nichtparametrisches Verfahren
32
Nonparametric statistics
32
Volatilität
32
Regression analysis
31
Regressionsanalyse
31
Cointegration
29
Kointegration
29
Stochastic process
28
Stochastischer Prozess
28
Statistical test
26
Statistischer Test
26
ARCH model
21
ARCH-Modell
21
Bootstrap approach
18
Bootstrap-Verfahren
18
Forecasting model
17
Prognoseverfahren
17
VAR model
17
VAR-Modell
17
Maximum likelihood estimation
16
Maximum-Likelihood-Schätzung
16
Panel
16
Panel study
16
Bayes-Statistik
15
Bayesian inference
15
Börsenkurs
14
Share price
14
Monte Carlo simulation
13
Monte-Carlo-Simulation
13
Autocorrelation
12
Autokorrelation
12
more ...
less ...
Online availability
All
Free
65
Undetermined
23
Type of publication
All
Book / Working Paper
65
Article
44
Type of publication (narrower categories)
All
Arbeitspapier
65
Graue Literatur
65
Non-commercial literature
65
Working Paper
65
Article in journal
44
Aufsatz in Zeitschrift
44
Language
All
English
109
Author
All
Nielsen, Morten Ørregaard
11
Teräsvirta, Timo
8
Johansen, Søren
7
Kristensen, Dennis
5
Kumar, Dilip
4
Proietti, Tommaso
4
Taylor, Robert
4
Cavaliere, Giuseppe
3
Christensen, Kim
3
Kruse, Robinson
3
Maheswaran, S.
3
Podolskij, Mark
3
Santucci de Magistris, Paolo
3
Silvennoinen, Annastiina
3
Andersen, Torben
2
Cubadda, Gianluca
2
Ergemen, Yunus Emre
2
Grassi, Stefano
2
Hualde, Javier
2
Kanaya, Shin
2
Kang, Jian
2
Nielsen, Bent
2
Raïssi, Hamdi
2
Rossi, Eduardo
2
Seong, Dakyung
2
Triacca, Umberto
2
Xu, Weijun
2
Yang, Yukai
2
Amado, Cristina
1
Amini, Shahram
1
Barndorff-Nielsen, Ole E.
1
Battisti, Michele
1
Bennedsen, Mikkel
1
Berenguer-Rico, Vanessa
1
Bertelli, Stefano
1
Boughrara, Adel
1
Bunzel, Helle
1
Callot, Laurent A. F.
1
Camacho, Maximo
1
Caporale, Guglielmo Maria
1
more ...
less ...
Published in...
All
Economic modelling
CREATES research paper
Journal of econometrics
368
Econometric theory
168
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
163
Economics letters
153
Discussion paper / Tinbergen Institute
106
Econometric reviews
97
International journal of forecasting
69
Working paper / Department of Econometrics and Business Statistics, Monash University
63
Journal of forecasting
60
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
56
Applied economics letters
53
Econometrics : open access journal
51
NBER Working Paper
45
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
44
The econometrics journal
43
Cowles Foundation discussion paper
42
Journal of time series econometrics
40
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
39
Applied economics
38
Journal of empirical finance
38
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
37
Journal of the American Statistical Association : JASA
37
Computational economics
35
Journal of applied econometrics
33
EUI working paper / ECO
32
SFB 649 discussion paper
31
Série des documents de travail / Centre de Recherche en Économie et Statistique
31
Journal of financial econometrics : official journal of the Society for Financial Econometrics
30
NBER working paper series
30
Working paper / National Bureau of Economic Research, Inc.
25
Working paper series
25
Oxford bulletin of economics and statistics
24
Technical working paper / National Bureau of Economic Research
24
Discussion paper / Center for Economic Research, Tilburg University
23
LSE STICERD Research Paper
23
NBER technical working paper series
23
Umeå economic studies
23
Discussion paper / Centre for Economic Forecasting
22
more ...
less ...
Source
All
ECONIS (ZBW)
109
Showing
1
-
50
of
109
Sort
Relevance
Date (newest first)
Date (oldest first)
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
Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
Hualde, Javier
;
Nielsen, Morten Ørregaard
-
2022
Persistent link: https://www.econbiz.de/10013189455
Saved in:
5
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
6
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
-
2021
Persistent link: https://www.econbiz.de/10012434016
Saved in:
7
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
8
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:
9
Flexible inflation targeting and stock market volatility : evidence from emerging market economies
Dridi, Ichrak
;
Boughrara, Adel
- In:
Economic modelling
126
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014462464
Saved in:
10
Effects of external shocks on macroeconomic fluctuations in Pacific Alliance countries
Rodriguez, Gabriel
;
Vassallo, Renato
;
Castillo B., Paul
- In:
Economic modelling
124
(
2023
),
pp. 1-26
Persistent link: https://www.econbiz.de/10014463282
Saved in:
11
Testing for integration and cointegration when time series are observed with noise
Gianfreda, Angelica
;
Maranzano, Paolo
;
Parisio, Lucia
; …
- In:
Economic modelling
125
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014463618
Saved in:
12
Truncated sum of squares estimation of fractional time series models with deterministic trends
Hualde, Javier
;
Nielsen, Morten Ørregaard
-
2020
Persistent link: https://www.econbiz.de/10012317784
Saved in:
13
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
14
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:
15
Bootstrap cointegration tests in ARDL models
Bertelli, Stefano
;
Vacca, Gianmarco
;
Zoia, Maria Grazia
- In:
Economic modelling
116
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014512301
Saved in:
16
Testing for no cointegration in vector autoregressions with estimated degree of fractional integration
Demetrescu, Matei
;
Kusin, Vladimir
;
Salish, Nazarii
- In:
Economic modelling
108
(
2022
),
pp. 1-32
Persistent link: https://www.econbiz.de/10013347934
Saved in:
17
The analysis of marked and weighted empirical processes of estimated residuals
Berenguer-Rico, Vanessa
;
Johansen, Søren
;
Nielsen, Bent
-
2019
Persistent link: https://www.econbiz.de/10012063555
Saved in:
18
Comprehensive testing of linearity against the smooth transition autoregressive model
Seong, Dakyung
;
Cho, Jin Seo
;
Teräsvirta, Timo
-
2019
-
This version: August 2019
Persistent link: https://www.econbiz.de/10012316842
Saved in:
19
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli
;
Kang, Jian
;
Teräsvirta, Timo
;
Zhang, Shuhua
-
2019
Persistent link: https://www.econbiz.de/10012316885
Saved in:
20
Symbolic transfer entropy test for causality in longitudinal data
Camacho, Maximo
;
Romeu, Andres
;
Ruiz Marín, Manuel
- In:
Economic modelling
94
(
2021
),
pp. 649-661
Persistent link: https://www.econbiz.de/10012695248
Saved in:
21
Bayesian estimation for a semiparametric nonlinear volatility model
Hu, Shuowen
;
Poskitt, Donald Stephen
;
Zhang, Xibin
- In:
Economic modelling
98
(
2021
),
pp. 361-370
Persistent link: https://www.econbiz.de/10012793996
Saved in:
22
Cointegration between trends and their estimators in state space models and CVAR models
Johansen, Søren
;
Nyboe Tabor, Morten
-
2017
Persistent link: https://www.econbiz.de/10011624144
Saved in:
23
Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles
Franchi, Massimo
;
Johansen, Søren
-
2017
Persistent link: https://www.econbiz.de/10011648634
Saved in:
24
A Durbin-Levinson regularized estimator of high dimensional autocovariance matrices
Proietti, Tommaso
;
Giovannelli, Alessandro
-
2017
Persistent link: https://www.econbiz.de/10011648644
Saved in:
25
Testing linear relationships between non-constant variances of economic variables
Hirukawa, Junichi
;
Raïssi, Hamdi
- In:
Economic modelling
90
(
2020
),
pp. 182-189
Persistent link: https://www.econbiz.de/10012428132
Saved in:
26
Trends and cycles under changing economic conditions
Duarte, Cláudia
;
Maria, José R.
;
Sazedj, Sharmin
- In:
Economic modelling
92
(
2020
),
pp. 126-146
Persistent link: https://www.econbiz.de/10012429631
Saved in:
27
Macroeconomic effects of monetary policy in Korea : a time-varying coefficient VAR approach
Han, Jeong sug
;
Hur, Joonyoung
- In:
Economic modelling
89
(
2020
),
pp. 142-152
Persistent link: https://www.econbiz.de/10012425933
Saved in:
28
On modeling heterogeneity in linear models using trend polynomials
Michaelides, Michael
;
Spanos, Aris
- In:
Economic modelling
85
(
2020
),
pp. 74-86
Persistent link: https://www.econbiz.de/10012210611
Saved in:
29
System estimation of panel data models under long-range dependence
Ergemen, Yunus Emre
-
2016
Persistent link: https://www.econbiz.de/10011421766
Saved in:
30
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:
31
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:
32
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2016
Persistent link: https://www.econbiz.de/10011624059
Saved in:
33
A generalized exponential time series regression model for electricity prices
Haldrup, Niels
;
Knapik, O.
;
Proietti, Tommaso
-
2016
Persistent link: https://www.econbiz.de/10011447820
Saved in:
34
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:
35
Identification and estimation of non-Gaussian structural vector autoregressions
Lanne, Markku
;
Meitz, Mika
;
Saikkonen, Pentti
-
2015
Persistent link: https://www.econbiz.de/10010514606
Saved in:
36
Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich
;
Veliyev, Bezirgen
-
2015
Persistent link: https://www.econbiz.de/10010529455
Saved in:
37
An augmented autoregressive distributed lag bounds test for cointegration
Sam, Chung Yan
;
McNown, Robert F.
;
Khoon, Goh Soo
- In:
Economic modelling
80
(
2019
),
pp. 130-141
Persistent link: https://www.econbiz.de/10012200504
Saved in:
38
Steady state adjusting trends using a data-driven local polynomial regression
Fritz, Marlon
- In:
Economic modelling
83
(
2019
),
pp. 312-325
Persistent link: https://www.econbiz.de/10012206389
Saved in:
39
Indirect inference with time series observed with error
Rossi, Eduardo
;
Santucci de Magistris, Paolo
-
2014
Persistent link: https://www.econbiz.de/10010464716
Saved in:
40
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
Saved in:
41
A Lagrange multiplier test for testing the adequacy of the constant conditional correlation GARCH model
Catani, Paul
;
Teräsvirta, Timo
;
Yin, Meiqun
-
2014
Persistent link: https://www.econbiz.de/10010237808
Saved in:
42
Testing constancy of the error covariance matrix in vector models against parametric alternatives using a spectral decomposition
Yang, Yukai
-
2014
Persistent link: https://www.econbiz.de/10010339079
Saved in:
43
Linearity and misspecification tests for vector smooth transition regression models
Teräsvirta, Timo
;
Yang, Yukai
-
2014
Persistent link: https://www.econbiz.de/10010250617
Saved in:
44
ABC of SV : limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.
;
Kristensen, Dennis
-
2014
Persistent link: https://www.econbiz.de/10010401691
Saved in:
45
Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models
Nielsen, Morten Ørregaard
-
2014
Persistent link: https://www.econbiz.de/10010413826
Saved in:
46
Estimating inflation persistence by quantile autoregression with quantile-specific unit roots
Gaglianone, Wagner Piazza
;
Guillén, Osmani Teixeira de …
- In:
Economic modelling
73
(
2018
),
pp. 407-430
Persistent link: https://www.econbiz.de/10012100499
Saved in:
47
Testing normality for unconditionally heteroscedastic macroeconomic variables
Raïssi, Hamdi
- In:
Economic modelling
70
(
2018
),
pp. 140-146
Persistent link: https://www.econbiz.de/10012027822
Saved in:
48
Uniform consistency for nonparametric estimators in null recurrent time series
Gao, Jiti
;
Kanaya, Shin
;
Li, Degui
;
Tjostheim, Dag
-
2013
Persistent link: https://www.econbiz.de/10009790613
Saved in:
49
Estimating stochastic volatility models using predictionbased estimating functions
Lunde, Asger
;
Floor Brix, Anne
-
2013
Persistent link: https://www.econbiz.de/10009763883
Saved in:
50
The exponential model for the spectrum of a time series : extensions and applications
Proietti, Tommaso
;
Luati, Alessandra
-
2013
Persistent link: https://www.econbiz.de/10010195675
Saved in:
1
2
3
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->