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Year of publication
Subject
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Ergodicity 54 ergodicity 35 Theorie 13 Theory 11 Stochastischer Prozess 10 Stochastic process 9 Estimation theory 8 Schätztheorie 8 Stationarity 8 stationarity 8 Time series analysis 6 Zeitreihenanalyse 6 Markov chain 5 Markov-Kette 5 nonlinear time series 5 stochastic recurrence equations 5 threshold models 5 Jobson-Korkie test 4 Observation-driven models 4 Sharpe ratio 4 consistency 4 heteroscedasticity 4 performance measurement 4 CAPM 3 Calibration 3 Capital income 3 Consistency 3 GARCH-type models 3 Gordin's condition 3 Kapitaleinkommen 3 Labor Share 3 Lock-in 3 Metastability 3 Network effects 3 Networks 3 Profit Share 3 Technology 3 Volatility 3 Wage Share 3 calibration 3
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Online availability
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Undetermined 43 Free 41
Type of publication
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Article 53 Book / Working Paper 37 Other 1
Subcategories
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Article in journal 53 Working paper 36
Language
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Undetermined 52 English 38 Spanish 1
Author
All
Stachurski, John 8 Blasques, Francisco 5 Frahm, Gabriel 5 Kamihigashi, Takashi 5 Giovannoni, Olivier 3 Koopman, Siem Jan 3 Ling, Shiqing 3 BISIN, Alberto 2 Feng, Dingan 2 Fonseca, Giovanni 2 Horst, Ulrich 2 Kovalenko, Igor 2 Li, Dong 2 Lucas, André 2 Nientker, Marc 2 Norman, Thomas W. L. 2 Pierri, Damian 2 Pike, Maureen 2 Song, Peter X.-K. 2 Valchev, Rosen 2 Wirjanto, Tony S. 2 Woeckener, Bernd W. 2 Zakoian, Jean-Michel 2 ÖZGÜR, Onur 2 ANITA, LAURA-IULIA 1 ANITA, SEBASTIAN 1 Allington, Nigel F. B. 1 Allington, Nigel F.B. 1 Altissimo, Filippo 1 Atencia, I. 1 Batista, A.A. 1 Cai, Zongwu 1 Cao, Dan Vu 1 Carrión Álvarez, Miguel 1 Chen, Rong 1 Costa, I.V.L. 1 Cottrell, M. 1 Davidson, Paul 1 Dhar, Abishek 1 Douc, R. 1
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Institution
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Research Institute for Economics and Business Administration, Kobe University 3 Institut de Préparation à l'Administration et à la Gestion (IPAG) 2 C.E.P.R. Discussion Papers 1 Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) 1 Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1 Centre de recherche de mathématiques et économie mathématique (CERMSEM), Centre d'Économie de la Sorbonne 1 Department of Economics, Oxford University 1 Department of Economics, University of Waterloo 1 Département de Sciences Économiques, Université de Montréal 1 Facoltà di Economia, Università degli Studi dell'Insubria 1 Levy Economics Institute 1 National Research University Higher School of Economics 1 Seminar für Wirtschafts- und Sozialstatistik, Wirtschafts- und Sozialwissenschaftliche Fakultät 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1 Tinbergen Instituut 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1 Wirtschaftswissenschaftlichen Fakultät, Eberhard-Karls-Universität Tübingen 1
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Published in...
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Physica A: Statistical Mechanics and its Applications 10 Stochastic Processes and their Applications 4 Studies in Nonlinear Dynamics & Econometrics 4 Discussion Paper Series / Research Institute for Economics and Business Administration, Kobe University 3 Statistical Inference for Stochastic Processes 3 Cahiers de recherche 2 Discussion paper / Tinbergen Institute 2 Econometric reviews 2 Games 2 Journal of Post Keynesian Economics 2 Journal of econometrics 2 Journal of post-Keynesian economics : JPKE 2 TOP: An Official Journal of the Spanish Society of Statistics and Operations Research 2 Tinbergen Institute Discussion Paper 2 Tübinger Diskussionsbeiträge 2 Working Papers / Institut de Préparation à l'Administration et à la Gestion (IPAG) 2 Working paper 2 ASTIN bulletin : the journal of the International Actuarial Association 1 Annals of the Institute of Statistical Mathematics 1 CEPR Discussion Papers 1 Computational Statistics 1 Discussion Papers in Econometrics and Statistics 1 Discussion Papers in Statistics and Econometrics 1 Dynamic games and applications : DGA 1 Economics Series Working Papers / Department of Economics, Oxford University 1 Economics Working Paper Archive 1 Economics and Quantitative Methods 1 Finance and stochastics 1 HSE Working papers 1 ISER Discussion Paper 1 International Journal of Public Policy 1 International journal of theoretical and applied finance 1 Journal of Artificial Societies and Social Simulation 1 Journal of Multivariate Analysis 1 Journal of business research : JBR 1 Journal of economic theory 1 MPRA Paper 1 Mathematical Methods of Operations Research 1 Mathematical Population Studies 1 Metrika 1
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Source
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RePEc 55 ECONIS (ZBW) 26 EconStor 9 BASE 1
Showing 1 - 50 of 73
 
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Stationary covariance regime for affine stochastic covariance models in Hilbert spaces
Friesen, Martin; Karbach, Sven - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015130554
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Resilience to the pandemic : the role of female management, multi-unit structure, and business model innovation
Gómez, Jaime; Krammer, Sorin M. S.; Pérez-Aradros, Beatriz - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014546063
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A model specification test for nonlinear stochastic diffusions with delay
Cai, Zongwu; Mei, Hongwei; Wang, Rui - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014280707
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An ergodic theory of sovereign default
Pierri, Damian; Seoane, Hernán D. - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014252738
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Memory, multiple equilibria and emerging market crises
Pierri, Damian; Reffett, Kevin L. - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013259515
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Economic agents as imperfect problem solvers
Ilut, Cosmin; Valchev, Rosen - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013547719
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Economic agents as imperfect problem solvers
Ilut, Cosmin L.; Valchev, Rosen - 2020
Book / Working Paper
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Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations
Pan, Jiazhu; He, Yali - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014372884
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An intersection-union test for the sharpe ratio
Frahm, Gabriel - 2018
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011996598
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An intersection-union test for the sharpe ratio
Frahm, Gabriel - 2018
Article
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Recursive equilibrium in Krusell and Smith (1998)
Cao, Dan Vu - 2018
This paper uses the tools developed in the literature on dynamically incomplete markets with finite agents to study the large economy with a continuum of agents and both aggregate and idiosyncratic shocks in Krusell and Smith (1998). It establishes the existence of sequential competitive...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011919029
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A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models
Blasques, Francisco; Nientker, Marc - 2017
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011819465
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A stochastic recurrence equation approach to stationarity and phi-mixing of a class of nonlinear ARCH models
Blasques, Francisco; Nientker, Marc - 2017
This article generalises the results of Sadi and Zakoian (2006) to a considerably larger class of nonlinear ARCH models with discontinuities, leverage e ects and robust news impact curves. We propose a new method of proof for the existence of a strictly stationary and phi-mixing solution....
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011699508
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Unique ergodicity of deterministic zero-sum differential games
Hochart, Antoine - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012487920
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Ergodic inequality
Norman, Thomas W. L. - 2016
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011709888
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Ergodic inequality
Norman, Thomas W. L. - 2016
Article
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Poisson models with dynamic random effects and nonnegative credibilities per period
Pinquet, Jean - 2020
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012243387
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Maximum likelihood estimation for correctly specified generalized autoregressive score models : feedback effects, contraction conditions and asymptotic properties
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
The strong consistency and asymptotic normality of the maximum likelihood estimator in observation-driven models usually requires the study of the model both as a filter for the time-varying parameter and as a data generating process (DGP) for observed data. The probabilistic properties of the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010364739
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Maximum Likelihood Estimation for Correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties
Blasques, Francisco; Koopman, Siem Jan; Lucas, and André - 2014
Book / Working Paper
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Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
Book / Working Paper
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What do we know about the labor share and the profit share? Part I: Theories
Giovannoni, Olivier - 2014
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010513050
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"What Do We Know About the Labor Share and the Profit Share? Part I: Theories"
Giovannoni, Olivier - 2014
Book / Working Paper
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Seeking Ergodicity in Dynamic Economies
Kamihigashiw, Takashi; Stachurski, John - 2014
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010786600
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Seeking Ergodicity in Dynamic Economies
Kamihigashi, Takashi; Stachurski, John - 2014
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011085494
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Seeking Ergodicity in Dynamic Economies
Kamihigashi, Takashi; Stachurski, John - 2014
Book / Working Paper
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Seeking Ergodicity in Dynamic Economies
Kamihigashi, Takashi; Stachurski, John - 2014
Book / Working Paper
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Seeking Ergodicity in Dynamic Economies
Kamihigashi, Takashi; Stachurski, John - 2014
Book / Working Paper
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Theories
Giovannoni, Olivier - 2014
This series of working papers explores a theme enjoying a tremendous resurgence: the functional distribution of income - the division of aggregate income by factor share. This first installment surveys some landmark theories of income distribution. Some provide a technology-based account of the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010356673
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Similarity-based model for ordered categorical data
Gayer, Gabi; Lieberman, Offer; Yaffe, Omer - 2019
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012181274
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Multichannel queuing systems with balking and regenerative input fl ow
Tkachenko, Tkachenko Andrey - 2013
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011146266
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Arbitrage pricing theory in ergodic markets
Frahm, Gabriel - 2018
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011903768
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The unit root problem : affinities between ergodicity and stationarity, its practical contradictions for central bank policy, and some consideration of alternatives
Nasir, Muhammad Ali; Morgan, Jamie - 2018
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011981665
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Analysis of the Emergent Properties: Stationarity and Ergodicity
Grazzini, Jakob - 2012
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010586176
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Asymptotic Theory of General Multivariate GARCH Models
Jiang, Weibin - 2011
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10009447285
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Dynamic linear economies with social interactions
ÖZGÜR, Onur; BISIN, Alberto - 2011
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010933671
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Dynamic Linear Economies with Social Interactions
ÖZGÜR, Onur; BISIN, Alberto - 2011
Book / Working Paper
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Seeking ergodicity in dynamic economies
Kamihigashi, Takashi; Stachurski, John - 2016
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011593603
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Samuelson and Davidson on ergodicity : a reformulation
Carrión Álvarez, Miguel; Ehnts, Dirk - 2016
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011700531
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Asymptotic inference in multiple-threshold double autoregressive models
Li, Dong; Ling, Shiqing; Zakoïan, Jean-Michel - 2015
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011504598
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Generalized ARMA models with martingale difference errors
Zheng, Tingguo; Xiao, Han; Chen, Rong - 2015
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011504639
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Time-deformation modeling of stock returns directed by duration processes
Feng, Dingan; Song, Peter X.-K.; Wirjanto, Tony S. - 2015
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011373264
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Time-Deformation Modeling Of Stock Returns Directed By Duration Processes
Feng, Dingan; Song, Peter X.-K.; Wirjanto, Tony S. - 2008
Book / Working Paper
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El tratamiento de la incertidumbre en la macroeconomía
Osorio Vaccaro, Jorge - 2015
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011648677
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Maximal coupling of empirical copulas for discrete vectors
Faugeras, Olivier P. - 2015
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011263467
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Ergodic Equilibria in Stochastic Sequential Games
Large, Jeremy; Norman, Thomas - 2008
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005047703
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Testing for the best alternative with an application to performance measurement
Frahm, Gabriel - 2007
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010304419
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Testing for the best alternative with an application to performance measurement
Frahm, Gabriel - 2007
Book / Working Paper
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Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes
Lopes, Sílvia R.C.; Prass, Taiane S. - 2014
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011058849
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Momentum autocorrelation function of an impurity in a classical oscillator chain with alternating masses— I. General theory
Yu, Ming B. - 2014
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011063523
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A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise
Neuenkirch, Andreas; Tindel, Samy - 2014
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010992891
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Stationarity and geometric ergodicity of a class of nonlinear ARCH models
Saidi, Youssef; Zakoian, Jean-Michel - 2006
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011167230
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Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator
Douc, R.; Doukhan, P.; Moulines, E. - 2013
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010875058
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Random walks in random environments without ellipticity
Lenci, Marco - 2013
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011064991
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Long-time behavior of stable-like processes
Sandrić, Nikola - 2013
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011065126
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Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models
Li, Dong; Ling, Shiqing; Zakoian, Jean-Michel - 2013
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010747015
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Stability conditions for a Piecewise Deterministic Markov Process
Giovanni, Fonseca - 2005
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005827377
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On the probabilistic structure of power threshold generalized arch stochastic processes
Gonçalves, E.; Leite, J.; Mendes-Lopes, N. - 2012
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011039812
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Distinguishability of particles in glass-forming systems
Mauro, John C.; Smedskjaer, Morten M. - 2012
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010589692
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Lessons not learned: from the collapse of Long-Term Capital Management to the subprime crisis
Allington, Nigel F. B.; McCombie, John S. L.; Pike, Maureen - 2012
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010612926
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The failure of the new macroeconomic consensus: from non-ergodicity to the efficient markets hypothesis and back again
Allington, Nigel F.B.; McCombie, John S.L.; Pike, Maureen - 2011
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010817033
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Estimation and testing for a Poisson autoregressive model
Zhu, Fukang; Wang, Dehui - 2011
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10008925334
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Stationarity and the existence of moments of a family of GARCH processes
Ling, Shiqing; MacAleer, Michael - 2001
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010332324
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