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  • Search: subject:"Conditional autoregressive"
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Year of publication
Subject
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Theorie 13 Theory 13 ARCH model 12 ARCH-Modell 12 Volatilität 11 Estimation 10 Schätzung 10 Time series analysis 10 Volatility 10 Zeitreihenanalyse 10 Forecasting model 8 Prognoseverfahren 8 Autocorrelation 7 Autokorrelation 7 Estimation theory 6 Schätztheorie 6 Bayesian inference 5 Capital income 5 Conditional autoregressive model 5 Kapitaleinkommen 5 Risikomaß 5 Risk measure 5 Aktienmarkt 4 Ansteckungseffekt 4 Bayes-Statistik 4 Conditional autoregressive Wishart model 4 Correlation 4 Impulse response analysis 4 Korrelation 4 Realized covariance matrix 4 Räumliche Interaktion 4 Spatial interaction 4 Subprime crisis 4 Aktienindex 3 Analysis of variance 3 Börsenkurs 3 Conditional autoregressive models 3 Contagion effect 3 Lattice data 3 ML-estimation 3
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Online availability
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Undetermined 21 Free 15 CC license 1
Type of publication
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Article 30 Book / Working Paper 8 Other 1
Type of publication (narrower categories)
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Article in journal 21 Aufsatz in Zeitschrift 21 Working Paper 6 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4 Article 1
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Language
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English 26 Undetermined 11 Spanish 2
Author
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Golosnoy, Vasyl 4 Gribisch, Bastian 4 Liesenfeld, Roman 4 Schach, Ulrike 3 Bauwens, Luc 2 Chlebus, Marcin 2 Gibbs, Zoe 2 Groendyke, Chris 2 Hartman, Brian 2 Kok Haur Ng 2 Peiris, Shelton 2 Richardson, Robert 2 Sun, Dongchu 2 Allen, David E. 1 Argiento, Raffaele 1 Asai, Manabu 1 Berloco, Claudia 1 Buczy´nski, Mateusz 1 Buczyński, Mateusz 1 Cai, Zongwu 1 Calabrese, Raffaella 1 Chan, Jennifer S. K. 1 Chan, Jennifer So Kuen 1 Chan, Jennifer So-kuen 1 Chen, Wang 1 Chen, Yilin 1 Correa, Juan Carlos 1 Crook, Jonathan N. 1 Dzuverovic, Emilija 1 Fang, Ying 1 Fonseca, Thais 1 Fontanella, Lara 1 Hafner, Christian M. 1 Han, Yang 1 Helfand, Steven 1 Heo, Tae-Young 1 Hu, Shichao 1 Hwang, Beom Seuk 1 Ippoliti, Luigi 1 Jacqueline M. Hughes-Oliver 1
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Institution
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Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel 1 Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 1
Published in...
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Journal of risk 2 The North American journal of economics and finance : a journal of financial economics studies 2 The journal of risk model validation 2 ASTIN bulletin : the journal of the International Actuarial Association 1 Annals of the Institute of Statistical Mathematics 1 Borradores de economía 1 CORE discussion papers : DP 1 Computational Statistics & Data Analysis 1 Cuadernos de economía 1 Economics Working Paper 1 Economics Working Papers / Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel 1 Emerging markets review 1 Empirical Economics 1 European journal of operational research : EJOR 1 Hitotsubashi journal of economics 1 International journal of forecasting 1 International journal of strategic property management 1 International review of economics & finance : IREF 1 Journal of International Money and Finance 1 Journal of Productivity Analysis 1 Journal of financial econometrics 1 Journal of geographical systems : geographical information, analysis, theory, and decision 1 Journal of international money and finance 1 Journal of time series econometrics 1 LIDAM discussion paper CORE 1 Letters in spatial and resource sciences : LSRS 1 Risks 1 Risks : open access journal 1 Statistica 1 Statistical Papers / Springer 1 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 1 Technical Report 1 Technical Reports / Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 1 Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 1
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Source
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ECONIS (ZBW) 25 RePEc 9 EconStor 3 BASE 2
Showing 1 - 10 of 39
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Spatiotemporal patterns and prediction of multi-region house prices via functional mixed effects model
Chen, Yilin; Zheng, Haitao - In: International journal of strategic property management 29 (2025) 2, pp. 102-113
Persistent link: https://www.econbiz.de/10015445808
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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
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Asymmetric models for realized covariances
Bauwens, Luc; Dzuverovic, Emilija; Hafner, Christian M. - 2024
Persistent link: https://www.econbiz.de/10015072281
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Do spatial characteristics affect housing prices in Korea? : evidence from Bayesian spatial models
Kwon, Heeeun; Hwang, Beom Seuk - In: Hitotsubashi journal of economics 64 (2023) 2, pp. 109-124
Persistent link: https://www.econbiz.de/10015407397
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Assessing tail risk via a generalized conditional autoregressive expectile model
Cai, Zongwu; Fang, Ying; Tian, Dingshi - In: Journal of financial econometrics 23 (2025) 2, pp. 1-39
Persistent link: https://www.econbiz.de/10015339822
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Modeling county-level spatio-temporal mortality rates using dynamic linear models
Gibbs, Zoe; Groendyke, Chris; Hartman, Brian; … - In: Risks : open access journal 8 (2020) 4/117, pp. 1-15
conditional auto-regressive (CAR) priors. We show that these priors, commonly used for areal data, are appropriate for modeling …
Persistent link: https://www.econbiz.de/10012390447
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Forecasting short-term defaults of firms in a commercial network via Bayesian spatial and spatio-temporal methods
Berloco, Claudia; Argiento, Raffaele; Montagna, Silvia - In: International journal of forecasting 39 (2023) 3, pp. 1065-1077
Persistent link: https://www.econbiz.de/10014465243
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Modeling county-level spatio-temporal mortality rates using dynamic linear models
Gibbs, Zoe; Groendyke, Chris; Hartman, Brian; … - In: Risks 8 (2020) 4, pp. 1-15
conditional auto-regressive (CAR) priors. We show that these priors, commonly used for areal data, are appropriate for modeling …
Persistent link: https://www.econbiz.de/10013200650
Saved in:
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The importance of window size : a study on the required window size for optimal-quality market risk models
Buczyński, Mateusz; Chlebus, Marcin - In: The journal of risk model validation 16 (2022) 1, pp. 77-97
Persistent link: https://www.econbiz.de/10014540551
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New loss reserve models with persistence effects to forecast trapezoidal losses in run-off triangles
Usman, Farha; Chan, Jennifer S. K. - In: ASTIN bulletin : the journal of the International … 52 (2022) 3, pp. 877-920
Persistent link: https://www.econbiz.de/10013426666
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