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accessRights:"restricted"
subject:"Zeitreihenanalyse"
~person:"Lütkepohl, Helmut"
~person:"Phillips, Peter C. B."
~person:"Sucarrat, Genaro"
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Zeitreihenanalyse
Estimation theory
43
Schätztheorie
43
Time series analysis
22
Regression analysis
9
Regressionsanalyse
9
VAR model
9
VAR-Modell
9
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8
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8
Cointegration
8
Estimation
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Einheitswurzeltest
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5
Nonparametric statistics
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Unit root test
5
Capital income
4
Endogeneity
4
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4
Structural vector autoregression
4
Volatility
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Volatilität
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Lütkepohl, Helmut
Phillips, Peter C. B.
Sucarrat, Genaro
Gao, Jiti
10
Li, Jia
9
Zhu, Ke
8
Kapetanios, George
7
Koopman, Siem Jan
7
Linton, Oliver
7
Taylor, Robert
7
Teräsvirta, Timo
7
Demetrescu, Matei
6
Kim, Donggyu
6
Li, Degui
6
Li, Yingying
6
Lucas, André
6
Marcellino, Massimiliano
6
Nielsen, Morten Ørregaard
6
Shang, Han Lin
6
Todorov, Viktor
6
Wang, Shouyang
6
Blasques, Francisco
5
Davis, Richard A.
5
Dong, Chaohua
5
Francq, Christian
5
Omay, Tolga
5
Tauchen, George Eugene
5
Agiakloglou, Christos N.
4
Andersen, Torben
4
Bollerslev, Tim
4
Cavaliere, Giuseppe
4
Fan, Jianqing
4
Hassler, Uwe
4
Hendry, David F.
4
Hong, Yongmiao
4
Hyndman, Rob J.
4
Johansen, Søren
4
Leybourne, Stephen James
4
Li, Guodong
4
McElroy, Tucker
4
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Journal of econometrics
8
International journal of forecasting
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of economic dynamics & control
2
Econometric reviews
1
Econometric theory
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Energy economics
1
Journal of economic surveys
1
Journal of financial econometrics
1
The European journal of finance
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The econometrics journal
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ECONIS (ZBW)
22
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1
Fully modified least squares cointegrating parameter estimation in multicointegrated systems
Kheifets, Igor L.
;
Phillips, Peter C. B.
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 300-319
Persistent link: https://www.econbiz.de/10014339925
Saved in:
2
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
3
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
4
Heteroscedastic proxy vector autoregressions
Lütkepohl, Helmut
;
Schlaak, Thore
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
3
,
pp. 1268-1281
Persistent link: https://www.econbiz.de/10013539510
Saved in:
5
Understanding temporal aggregation effects on kurtosis in financial indices
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 25-46
Persistent link: https://www.econbiz.de/10013441621
Saved in:
6
Testing identification via heteroskedasticity in structural vector autoregressive models
Lütkepohl, Helmut
;
Meitz, Mika
;
Netšunajev, Aleksei
; …
- In:
The econometrics journal
24
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012504441
Saved in:
7
Identification of volatility proxies as expectations of squared financial returns
Sucarrat, Genaro
- In:
International journal of forecasting
37
(
2021
)
4
,
pp. 1677-1690
Persistent link: https://www.econbiz.de/10013274330
Saved in:
8
Econometric estimates of Earth's transient climate sensitivity
Phillips, Peter C. B.
;
Leirvik, Thomas
;
Storelvmo, Trude
- In:
Journal of econometrics
214
(
2020
)
1
,
pp. 6-32
Persistent link: https://www.econbiz.de/10012438082
Saved in:
9
Asymptotic theory for near integrated processes driven by tempered linear processes
Sabzikar, Farzad
;
Wang, Qiying
;
Phillips, Peter C. B.
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 192-202
Persistent link: https://www.econbiz.de/10012439672
Saved in:
10
Point optimal testing with roots that are functionally local to unity
Bykhovskaya, Anna
;
Phillips, Peter C. B.
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 231-259
Persistent link: https://www.econbiz.de/10012483325
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