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subject:"Volatility"
~isPartOf:"CREATES research paper"
~language:"eng"
~subject:"Germany"
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Search: subject_exact:"Estimation theory"
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Volatility
Germany
Estimation theory
137
Schätztheorie
137
Time series analysis
59
Zeitreihenanalyse
59
Nichtparametrisches Verfahren
19
Nonparametric statistics
19
Estimation
18
Schätzung
18
Theorie
18
Theory
18
Stochastic process
15
Stochastischer Prozess
15
Volatilität
15
Cointegration
14
Kointegration
14
ARCH model
12
ARCH-Modell
12
Statistical test
12
Statistischer Test
12
Bootstrap approach
11
Bootstrap-Verfahren
11
Induktive Statistik
10
Regression analysis
10
Regressionsanalyse
10
Statistical inference
10
USA
10
United States
10
Forecasting model
9
Prognoseverfahren
9
Maximum likelihood estimation
8
Maximum-Likelihood-Schätzung
8
VAR model
8
VAR-Modell
8
Autocorrelation
6
Autokorrelation
6
Modellierung
6
Nichtlineare Regression
6
Nonlinear regression
6
Scientific modelling
6
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15
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15
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15
Graue Literatur
15
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15
Working Paper
15
Language
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English
Author
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Teräsvirta, Timo
4
Silvennoinen, Annastiina
3
Kristensen, Dennis
2
Amado, Cristina
1
Andersen, Torben
1
Barndorff-Nielsen, Ole E.
1
Casas, Isabel
1
Cavaliere, Giuseppe
1
Creel, Michael D.
1
Demetrescum, Matei
1
Ergemen, Yunus Emre
1
Floor Brix, Anne
1
Gijbels, Irène
1
Hall, Anthony D.
1
Hanck, Christoph
1
Hounyo, Ulrich
1
Jakobsen, Johan Stax
1
Kanaya, Shin
1
Kang, Jian
1
Kruse, Robinson
1
Lunde, Asger
1
Nielsen, Morten Ørregaard
1
Rossi, Eduardo
1
Santucci de Magistris, Paolo
1
Taylor, Robert
1
Todorov, Viktor
1
Veliyev, Bezirgen
1
Veraart, Almut E. D.
1
Wade, Glen
1
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CREATES research paper
Journal of econometrics
119
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
55
Discussion paper / Tinbergen Institute
28
Economics letters
28
Econometric reviews
22
Journal of empirical finance
20
Economic modelling
18
Econometric theory
17
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
International journal of forecasting
16
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
Quantitative finance
16
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
14
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
13
Finance research letters
13
International journal of theoretical and applied finance
13
Journal of banking & finance
13
Journal of financial econometrics
13
SFB 649 discussion paper
13
NBER Working Paper
12
The econometrics journal
12
Discussion paper
11
Econometrics : open access journal
11
The North American journal of economics and finance : a journal of financial economics studies
11
Discussion paper series / IZA
10
Journal of forecasting
10
Journal of risk and financial management : JRFM
10
NBER working paper series
10
Working paper / National Bureau of Economic Research, Inc.
10
Discussion papers of interdisciplinary research project 373
9
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
9
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Finance and stochastics
8
International journal of economics and financial issues : IJEFI
8
The European journal of finance
8
Working papers
8
Applied economics
7
GRIPS discussion papers
7
Journal of mathematical finance
7
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ECONIS (ZBW)
15
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15
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date (oldest first)
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
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
3
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:
4
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:
5
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:
6
Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich
;
Veliyev, Bezirgen
-
2015
Persistent link: https://www.econbiz.de/10010529455
Saved in:
7
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:
8
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:
9
Estimating stochastic volatility models using predictionbased estimating functions
Lunde, Asger
;
Floor Brix, Anne
-
2013
Persistent link: https://www.econbiz.de/10009763883
Saved in:
10
Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
-
2011
Persistent link: https://www.econbiz.de/10009152328
Saved in:
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