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subject:"Deutschland"
subject:"Forecasting model"
~isPartOf:"CREATES research paper"
~isPartOf:"Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund"
~subject:"ARCH model"
~subject:"Sampling"
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Deutschland
Forecasting model
ARCH model
Sampling
Estimation theory
352
Schätztheorie
352
Time series analysis
95
Zeitreihenanalyse
95
Regression analysis
86
Regressionsanalyse
86
Nichtparametrisches Verfahren
63
Nonparametric statistics
63
Theorie
49
Theory
49
Statistical test
34
Statistischer Test
34
Estimation
31
Schätzung
31
Robust statistics
30
Robustes Verfahren
30
Volatility
20
Volatilität
20
Bootstrap approach
16
Bootstrap-Verfahren
16
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16
Stochastic process
16
Stochastischer Prozess
16
Statistical distribution
15
Statistische Verteilung
15
Autocorrelation
14
Autokorrelation
14
Cointegration
14
Kleinste-Quadrate-Methode
14
Kointegration
14
Least squares method
14
ARCH-Modell
13
Nichtlineare Regression
13
Nonlinear regression
13
USA
13
United States
13
Correlation
12
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3
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English
43
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Teräsvirta, Timo
5
Hartung, Joachim
4
Sibbertsen, Philipp
4
Silvennoinen, Annastiina
3
Andersen, Torben
2
Hillebrand, Eric
2
Krämer, Walter
2
Lee, Tae-hwy
2
Nielsen, Morten Ørregaard
2
Pawlitschko, Jörg
2
Pedersen, Rasmus Søndergaard
2
Rahbek, Anders
2
Runde, Ralf
2
Venetis, Ioannis
2
Weihs, Claus
2
Amado, Cristina
1
Argaç, Dogan
1
Argaç, Dog̃an
1
Argaç, Doğan
1
Bennedsen, Mikkel
1
Berke, Olaf
1
Callot, Laurent
1
Callot, Laurent A. F.
1
Catani, Paul
1
Cavaliere, Giuseppe
1
Christmann, Andreas
1
Czogiel, Irina
1
Demetrescu, Matei
1
Dobrev, Dobrislav
1
Grassi, Stefano
1
Groß, Jürgen
1
Hall, Anthony D.
1
Hounyo, Ulrich
1
Jakobsen, Johan Stax
1
Kang, Jian
1
Kock, Anders B.
1
Kock, Anders Bredahl
1
Kristensen, Johannes Tang
1
Kruse-Becher, Robinson
1
Lahiri, Kajal
1
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CREATES research paper
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
Journal of econometrics
165
International journal of forecasting
116
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
91
Journal of forecasting
73
Economics letters
71
Discussion paper / Tinbergen Institute
56
Econometric theory
50
Econometric reviews
37
Journal of the American Statistical Association : JASA
36
Statistics in transition : an international journal of the Polish Statistical Association
36
The econometrics journal
31
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
29
Journal of empirical finance
26
Working paper / Department of Econometrics and Business Statistics, Monash University
26
Discussion paper series / IZA
24
NBER Working Paper
23
Applied economics
22
Discussion paper / Center for Economic Research, Tilburg University
22
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
22
Europäische Hochschulschriften / 5
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
22
Discussion paper
21
Econometrics : open access journal
21
Economic modelling
20
Finance research letters
20
Journal of financial econometrics
20
Applied economics letters
19
Insurance / Mathematics & economics
18
Série des documents de travail / Centre de Recherche en Économie et Statistique
18
NBER working paper series
17
European journal of operational research : EJOR
16
Journal of applied econometrics
16
Journal of banking & finance
16
Journal of risk and financial management : JRFM
16
International journal of economics and financial issues : IJEFI
15
Journal of financial econometrics : official journal of the Society for Financial Econometrics
15
Journal of risk
15
Working paper
15
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ECONIS (ZBW)
43
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1
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:
2
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
3
Is U.S. real output growth really non-normal? : testing distributional assumptions in time-varying location-scale models
Demetrescu, Matei
;
Kruse-Becher, Robinson
-
2021
Persistent link: https://www.econbiz.de/10012620758
Saved in:
4
Inference and forecasting for continuous-time integervalued trawl processes and their use in financial economics
Bennedsen, Mikkel
;
Lunde, Asger
;
Shephard, Neil G.
; …
-
2021
Persistent link: https://www.econbiz.de/10012621491
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
Estimating the variance of a combined forecast : bootstrap-based approach
Hounyo, Ulrich
;
Lahiri, Kajal
-
2021
Persistent link: https://www.econbiz.de/10012815973
Saved in:
7
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
8
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:
9
Consistent inference for predictive regressions in persistent VAR economies
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
-
2018
Persistent link: https://www.econbiz.de/10011797682
Saved in:
10
Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2017
Persistent link: https://www.econbiz.de/10011721042
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