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subject:"Stochastischer Prozess"
subject:"Volatility"
~person:"Lucas, André"
~person:"Tauchen, George Eugene"
~subject:"Theory"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Theory
Estimation theory
73
Schätztheorie
73
Time series analysis
38
Zeitreihenanalyse
38
Theorie
27
Volatilität
23
Estimation
22
Schätzung
22
Stochastic process
18
Börsenkurs
12
Share price
12
Capital income
9
Kapitaleinkommen
9
Nichtparametrisches Verfahren
8
Nonparametric statistics
8
ARCH model
7
ARCH-Modell
7
Statistical distribution
7
Statistische Verteilung
7
Maximum likelihood estimation
6
Maximum-Likelihood-Schätzung
6
Autocorrelation
5
Autokorrelation
5
Forecasting model
5
Martingal
5
Martingale
5
Modellierung
5
Prognoseverfahren
5
Regression analysis
5
Regressionsanalyse
5
Scientific modelling
5
CAPM
4
Credit risk
4
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4
High-frequency data
4
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4
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11
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20
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English
47
German
3
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Lucas, André
Tauchen, George Eugene
Phillips, Peter C. B.
73
Härdle, Wolfgang
71
Pesaran, M. Hashem
57
Gouriéroux, Christian
53
Andrews, Donald W. K.
48
McAleer, Michael
47
Franses, Philip Hans
43
Swanson, Norman R.
43
Newey, Whitney K.
42
Giles, David E. A.
35
Imbens, Guido
35
Heckman, James J.
33
Teräsvirta, Timo
32
Zakoïan, Jean-Michel
32
Diebold, Francis X.
31
Robinson, Peter M.
30
Horowitz, Joel
29
Koopman, Siem Jan
29
Baltagi, Badi H.
28
King, Maxwell L.
28
Kohn, Robert
28
Linton, Oliver
27
Brännäs, Kurt
26
Dufour, Jean-Marie
26
Granger, C. W. J.
26
Li, Qi
26
Ohtani, Kazuhiro
26
Ullah, Aman
26
Ghysels, Eric
25
Krämer, Walter
25
Bera, Anil K.
24
Maravall Herrero, Agustín
24
Spokojnyj, Vladimir G.
24
Stahlecker, Peter
24
Engle, Robert F.
23
Francq, Christian
23
Koop, Gary
23
Monfort, Alain
23
Robert, Christian P.
23
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Discussion paper / Tinbergen Institute
9
Journal of econometrics
9
ERID working paper
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Econometric theory
3
Discussion papers in statistics and econometrics
2
Econometric reviews
2
Report / Econometric Institute, Erasmus University Rotterdam
2
Advances in economics and econometrics: theory and applications ; Vol. 3
1
Computation and estimation in finance and economics
1
Discussion paper / Tinbergen Institue / Tinbergen Institute
1
Discussion paper / Tinbergen Institute / Tinbergen Institute
1
Discussion papers in economics
1
Econometrics : open access journal
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
Economics letters
1
International journal of forecasting
1
Journal of financial econometrics
1
Macroeconomic dynamics
1
Nonparametric dynamic modelling
1
Reihe Quantitative Ökonomie : Ökon
1
Report / Econometric Institute, Erasmus University Rotterdam / Econometric Institute, Erasmus University Rotterdam
1
Report / Econometric Institute, Erasmus University, Rotterdam / Econometric Institute, Erasmus University Rotterdam
1
Report / Erasmus Center for Financial Research, Erasmus University
1
Sveriges Riksbank working paper series
1
The review of economics and statistics
1
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ECONIS (ZBW)
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41
Estimation of continuous-time models for stock returns and interest rates
Gallant, A. Ronald
- In:
Macroeconomic dynamics
1
(
1997
)
1
,
pp. 135-168
Persistent link: https://www.econbiz.de/10001337436
Saved in:
42
Testing for smooth transition nonlinearity in the presence of outliers
Dijk, Dick van
;
Franses, Philip Hans
;
Lucas, André
-
1996
Persistent link: https://www.econbiz.de/10000944648
Saved in:
43
Which moments to match?
Gallant, A. Ronald
- In:
Econometric theory
12
(
1996
)
4
,
pp. 657-681
Persistent link: https://www.econbiz.de/10001210205
Saved in:
44
Cointegration testing using pseudo likelihood ratio tests
Lucas, André
-
1995
Persistent link: https://www.econbiz.de/10000918273
Saved in:
45
Unit root tests based on M estimators
Lucas, André
- In:
Econometric theory
11
(
1995
)
2
,
pp. 331-346
Persistent link: https://www.econbiz.de/10001185251
Saved in:
46
An outlier robust unit root test with an application to the extended Nelson-Plosser data
Lucas, André
- In:
Journal of econometrics
66
(
1995
)
1
,
pp. 153-173
Persistent link: https://www.econbiz.de/10001174120
Saved in:
47
Outlier robust cointegration analysis
Franses, Philip Hans
;
Lucas, André
-
1995
Persistent link: https://www.econbiz.de/10000924662
Saved in:
48
Nonlinear dynamic structures
Gallant, A. Ronald
- In:
Econometrica : journal of the Econometric Society, an …
61
(
1993
)
4
,
pp. 871-907
Persistent link: https://www.econbiz.de/10001147138
Saved in:
49
Quadrature-based methods for obtaining approximate solutions to nonlinear asset pricing models
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
59
(
1991
)
2
,
pp. 371-396
Persistent link: https://www.econbiz.de/10001101891
Saved in:
50
Seminonparametric estimation of conditionally constrained heterogeneous processes : asset pricing applications
Gallant, A. Ronald
- In:
Econometrica : journal of the Econometric Society, an …
57
(
1989
)
5
,
pp. 1091-1120
Persistent link: https://www.econbiz.de/10001076166
Saved in:
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