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isPartOf:"SFB 649 discussion paper"
subject:"Time series analysis"
~isPartOf:"Journal of time series econometrics"
~subject:"ARCH model"
~type:"article"
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Time series analysis
ARCH model
Estimation theory
59
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10
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10
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SFB 649 discussion paper
Journal of time series econometrics
Journal of econometrics
336
Econometric theory
188
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
157
Economics letters
148
Econometric reviews
91
International journal of forecasting
67
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62
Applied economics letters
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The econometrics journal
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Journal of the American Statistical Association : JASA
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
32
Journal of applied econometrics
31
Journal of empirical finance
31
Journal of financial econometrics : official journal of the Society for Financial Econometrics
26
Oxford bulletin of economics and statistics
24
Journal of banking & finance
19
Finance research letters
18
Journal of risk and financial management : JRFM
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Journal of financial econometrics
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International journal of economics and financial issues : IJEFI
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Journal of economic dynamics & control
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Journal of macroeconomics
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The North American journal of economics and finance : a journal of financial economics studies
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The review of economics and statistics
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Central European journal of economic modelling and econometrics
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Energy economics
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Insurance / Mathematics & economics
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The empirical economics letters : a monthly international journal of economics
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ECONIS (ZBW)
41
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1
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
Saved in:
2
Small sample adjustment for hypotheses testing on cointegrating vectors
Canepa, Alessandra
- In:
Journal of time series econometrics
14
(
2022
)
1
,
pp. 51-85
Persistent link: https://www.econbiz.de/10013260145
Saved in:
3
In-fill asymptotic distribution of the change point estimator when estimating breaks one at a time
Tayanagi, Toshikazu
;
Kurozumi, Eiji
- In:
Journal of time series econometrics
15
(
2023
)
2
,
pp. 111-149
Persistent link: https://www.econbiz.de/10014465604
Saved in:
4
Improving the estimation and predictions of small time series models
Liu-Evans, Gareth
- In:
Journal of time series econometrics
15
(
2023
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014288356
Saved in:
5
Multivariate hyper-rotated GARCH-BEKK
Asai, Manabu
;
McAleer, Michael
- In:
Journal of time series econometrics
14
(
2022
)
2
,
pp. 175-198
Persistent link: https://www.econbiz.de/10013260190
Saved in:
6
Consumption, aggregate wealth and expected stock returns : an FCVAR approach
Quineche, Ricardo
- In:
Journal of time series econometrics
13
(
2021
)
1
,
pp. 21-42
Persistent link: https://www.econbiz.de/10012437824
Saved in:
7
A general frequency domain estimation method for Gegenbauer processes
Hunt, Richard
;
Peiris, Shelton
;
Weber, Neville C.
- In:
Journal of time series econometrics
13
(
2021
)
2
,
pp. 119-144
Persistent link: https://www.econbiz.de/10012612765
Saved in:
8
Estimation of continuous and discrete time co-integrated systems with stock and flow variables
González Olivares, Daniel
;
Guizar, Isai
- In:
Journal of time series econometrics
13
(
2021
)
2
,
pp. 145-186
Persistent link: https://www.econbiz.de/10012612767
Saved in:
9
Cointegrated dynamics for a generalized long memory process : application to interest rates
Asai, Manabu
;
Peiris, Shelton
;
McAleer, Michael
;
Allen, …
- In:
Journal of time series econometrics
12
(
2020
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012258310
Saved in:
10
Checking model adequacy for count time series by using Pearson residuals
Weiß, Christian H.
;
Scherer, Lukas
;
Aleksandrov, Boris
; …
- In:
Journal of time series econometrics
12
(
2020
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10012258316
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