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  • Search: subject:"Recurrence equation"
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Year of publication
Subject
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Stochastic process 5 Stochastischer Prozess 5 ARCH model 4 ARCH-Modell 4 Estimation theory 4 Schätztheorie 4 stochastic recurrence equation 4 Maximum likelihood estimation 3 Maximum-Likelihood-Schätzung 3 CAPM 2 EGARCH 2 Log-GARCH 2 Recurrence equation 2 Risikoprämie 2 Risk premium 2 Stochastic Recurrence Equation 2 Stochastic recurrence equation 2 Time series analysis 2 Zeitreihenanalyse 2 asymptotic normality 2 exponential GARCH 2 strong consistency 2 volatility models 2 Autocorrelation 1 Autokorrelation 1 Autoregressive process 1 Birth and death chain 1 Causal 1 Control theory 1 Ergodic theorem Contraction property 1 Expected value 1 First passage time 1 GARCH-in-Mean 1 GARCH-in-mean 1 Generalized Ornstein-Uhlenbeck process 1 Hitting time 1 Induktive Statistik 1 Invariance principle 1 Invertibility 1 Invertible models 1
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Online availability
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Undetermined 6 Free 5
Type of publication
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Article 6 Book / Working Paper 6
Type of publication (narrower categories)
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Arbeitspapier 3 Article in journal 3 Aufsatz in Zeitschrift 3 Graue Literatur 3 Non-commercial literature 3 Working Paper 3
Language
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English 6 Undetermined 6
Author
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Hafner, Christian M. 2 Kandji, Baye Matar 2 Kyriakopoulou, Dimitra 2 Wintenberger, Olivier 2 Brandes, Dirk-Philip 1 Cai, Sixiang 1 Dong, Y. 1 Escolano, Antonio Alegre 1 Li, Bo 1 Lindner, Alexander 1 Mahmoud, Hosam 1 Mayoral, Rosa 1 Shu, Yadong 1 Spielmann, J. 1 Zhou, Ke 1 Zhu, Yuanguo 1
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Facultat d'Economia i Empresa, Universitat de Barcelona 1
Published in...
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MPRA Paper 2 Statistics & Probability Letters 2 Working paper series 2 Annals of the Institute of Statistical Mathematics 1 CORE discussion papers : DP 1 Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty 1 Insurance / Mathematics & economics 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Working Papers in Economics 1
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Source
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ECONIS (ZBW) 6 RePEc 6
Showing 1 - 10 of 12
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On the growth rate of superadditive processes and the stability of functional GARCH models
Kandji, Baye Matar - 2023
Persistent link: https://www.econbiz.de/10014321021
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Iterated Function Systems driven by non independent sequences : structure and inference
Kandji, Baye Matar - 2022
Persistent link: https://www.econbiz.de/10013162000
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Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.; Kyriakopoulou, Dimitra - 2019
Persistent link: https://www.econbiz.de/10012215031
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Optimal control for uncertain discrete-time singular systems under expected value criterion
Shu, Yadong; Li, Bo; Zhu, Yuanguo - In: Fuzzy optimization and decision making : a journal of … 20 (2021) 3, pp. 331-364
Persistent link: https://www.econbiz.de/10012616212
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Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.; Kyriakopoulou, Dimitra - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 589-603
Persistent link: https://www.econbiz.de/10012499104
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Weak limits of random coefficient autoregressive processes and their application in ruin theory
Dong, Y.; Spielmann, J. - In: Insurance / Mathematics & economics 91 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012241966
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Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
Wintenberger, Olivier - Volkswirtschaftliche Fakultät, … - 2013
Recurrence Equation (SRE). We prove the strong consistency of the Quasi Maximum Likelihood Estimator (QMLE) when the optimization …
Persistent link: https://www.econbiz.de/10011113070
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Parametric inference and forecasting in continuously invertible volatility models
Wintenberger, Olivier; Cai, Sixiang - Volkswirtschaftliche Fakultät, … - 2011
approach based on the Stochastic Recurrence Equation (SRE) given in Straumann (2005). Under very weak assumptions, we prove the …
Persistent link: https://www.econbiz.de/10009147705
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Non-causal strictly stationary solutions of random recurrence equations
Brandes, Dirk-Philip; Lindner, Alexander - In: Statistics & Probability Letters 94 (2014) C, pp. 113-118
random recurrence equation Xn=MnXn−1+Qn, n∈N, i.e. to strictly stationary solutions of this equation when X0 is assumed to be …
Persistent link: https://www.econbiz.de/10011040153
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Hitting time distribution for skip-free Markov chains: A simple proof
Zhou, Ke - In: Statistics & Probability Letters 83 (2013) 7, pp. 1782-1786
A well-known theorem for an irreducible skip-free Markov chain on the nonnegative integers with absorbing state d, under some conditions, is that the hitting (absorbing) time of state d starting from state 0 is distributed as the sum of d independent geometric (or exponential) random variables....
Persistent link: https://www.econbiz.de/10010665593
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