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isPartOf:"Journal of applied econometrics"
subject:"Volatility"
~subject:"Bayes-Statistik"
~subject:"Time series analysis"
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Volatility
Bayes-Statistik
Time series analysis
Estimation
357
Schätzung
357
Theorie
142
Theory
142
USA
95
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95
Welt
39
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Clark, Todd E.
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Doppelhofer, Gernot
3
Marcellino, Massimiliano
3
Weeks, Melvyn
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Journal of applied econometrics
Applied economics
221
Economic modelling
221
Journal of econometrics
182
Energy economics
177
Applied economics letters
151
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
141
International review of economics & finance : IREF
137
Finance research letters
135
CESifo working papers
133
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
133
Working paper
130
Economics letters
127
The North American journal of economics and finance : a journal of financial economics studies
123
International review of financial analysis
117
Discussion paper / Tinbergen Institute
107
International journal of forecasting
107
Journal of banking & finance
103
Journal of empirical finance
99
Journal of international money and finance
98
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
96
Applied financial economics
95
Working paper / National Bureau of Economic Research, Inc.
95
NBER working paper series
91
NBER Working Paper
89
Journal of international financial markets, institutions & money
82
Research in international business and finance
81
Journal of forecasting
76
Discussion paper / Centre for Economic Policy Research
71
Journal of economic dynamics & control
69
Journal of risk and financial management : JRFM
69
Econometric reviews
67
The journal of futures markets
65
International journal of finance & economics : IJFE
63
CAMA working paper series
59
Journal of macroeconomics
57
Macroeconomic dynamics
57
Discussion paper
55
The European journal of finance
51
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
74
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11
Identifying factor-augmented vector autoregression models via changes in shock variances
Yamamoto, Yohei
;
Hara, Naoko
- In:
Journal of applied econometrics
37
(
2022
)
4
,
pp. 722-745
Persistent link: https://www.econbiz.de/10013332683
Saved in:
12
Transitions at different moments in time : a spatial probit approach
Elhorst, J. Paul
;
Heijnen, Pim
;
Samarina, Anna
;
Jacobs, Jan
- In:
Journal of applied econometrics
32
(
2017
)
2
,
pp. 422-439
Persistent link: https://www.econbiz.de/10011690252
Saved in:
13
Weak and strong cross-sectional dependence : a panel data analysis of international technology diffusion
Ertur, Kamil C.
;
Musolesi, Antonio
- In:
Journal of applied econometrics
32
(
2017
)
3
,
pp. 477-503
Persistent link: https://www.econbiz.de/10011690519
Saved in:
14
Inference on self-exciting jumps in prices and volatility using high-frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
- In:
Journal of applied econometrics
32
(
2017
)
3
,
pp. 504-532
Persistent link: https://www.econbiz.de/10011694633
Saved in:
15
Joint Bayesian analysis of oarameters and states in nonlinear non‐Gaussian state space models
Barra, István
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
; …
- In:
Journal of applied econometrics
32
(
2017
)
5
,
pp. 1003-1026
Persistent link: https://www.econbiz.de/10011862307
Saved in:
16
Identifying relevant and irrelevant variables in sparse factor models
Kaufmann, Sylvia
;
Schumacher, Christian
- In:
Journal of applied econometrics
32
(
2017
)
6
,
pp. 1123-1144
Persistent link: https://www.econbiz.de/10011862569
Saved in:
17
Dynamic spatial autoregressive models with autoregressive and heteroskedastic disturbances
Catania, Leopoldo
;
Billé, Anna Gloria
- In:
Journal of applied econometrics
32
(
2017
)
6
,
pp. 1178-1196
Persistent link: https://www.econbiz.de/10011862573
Saved in:
18
Combining density forecasts using focused scoring rules
Opschoor, Anne
;
Dijk, Dick van
;
Wel, Michel van der
- In:
Journal of applied econometrics
32
(
2017
)
7
,
pp. 1298-1313
Persistent link: https://www.econbiz.de/10011862725
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19
A bounded model of time variation in trend inflation, NAIRU and the Phillips Curve
Chan, Joshua
;
Koop, Gary
;
Potter, Simon M.
- In:
Journal of applied econometrics
31
(
2016
)
3
,
pp. 551-565
Persistent link: https://www.econbiz.de/10011642631
Saved in:
20
A social interactions model with endogenous friendship formation and selectivity
Hsieh, Chih-sheng
;
Lee, Lung-fei
- In:
Journal of applied econometrics
31
(
2016
)
2
,
pp. 301-319
Persistent link: https://www.econbiz.de/10011644324
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