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language:"eng"
subject:"Zeitreihenanalyse"
~isPartOf:"Journal of econometrics"
~person:"Andersen, Torben"
~person:"Gao, Jiti"
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Zeitreihenanalyse
Estimation theory
20
Schätztheorie
20
Time series analysis
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7
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7
Panel
6
Panel study
6
Volatility
6
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Andersen, Torben
Gao, Jiti
Phillips, Peter C. B.
11
Taylor, Robert
9
Linton, Oliver
8
Leybourne, Stephen James
7
Li, Jia
6
Todorov, Viktor
6
Chen, Xiaohong
5
Davis, Richard A.
5
Kim, Donggyu
5
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5
Robinson, Peter M.
5
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5
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4
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4
Harvey, David I.
4
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4
Li, Qi
4
Ng, Serena
4
Sun, Yixiao
4
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3
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3
Bollerslev, Tim
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Chen, Rong
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Elliott, Graham
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Li, Guodong
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Journal of econometrics
Working paper / Department of Econometrics and Business Statistics, Monash University
29
CREATES research paper
3
Econometric theory
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Cowles Foundation Discussion Paper
2
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School of Accounting, Finance and Economics & FEMARC working paper series
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1
Cambridge working papers in economics
1
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Essays in honor of Joon Y. Park : econometric theory
1
Essays in honor of Peter C. B. Phillips
1
Global COE Hi-Stat discussion paper series
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The Oxford handbook of applied nonparametric and semiparametric econometrics and statistics
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ECONIS (ZBW)
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1
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
2
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
Saved in:
3
Consistent inference for predictive regressions in persistent economic systems
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 215-244
Persistent link: https://www.econbiz.de/10013275373
Saved in:
4
Estimating smooth structural change in cointegration models
Phillips, Peter C. B.
;
Li, Degui
;
Gao, Jiti
- In:
Journal of econometrics
196
(
2017
)
1
,
pp. 180-195
Persistent link: https://www.econbiz.de/10011743793
Saved in:
5
Specification testing for nonlinear multivariate cointegrating regressions
Dong, Chaohua
;
Gao, Jiti
;
Tjostheim, Dag
;
Yin, Jiying
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 104-117
Persistent link: https://www.econbiz.de/10011897704
Saved in:
6
A misspecification test for multiplicative error models of non-negative time series processes
Gao, Jiti
;
Kim, Nam Hyun
;
Saart, Patrick W.
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 346-359
Persistent link: https://www.econbiz.de/10011504553
Saved in:
7
Jump-robust volatility estimation using nearest neighbor truncation
Andersen, Torben
;
Dobrev, Dobrislav
;
Schaumburg, Ernst
- In:
Journal of econometrics
169
(
2012
)
1
,
pp. 75-93
Persistent link: https://www.econbiz.de/10009666722
Saved in:
8
Estimating continuous-time stochastic volatility models of the short-term interest rate
Andersen, Torben
- In:
Journal of econometrics
77
(
1997
)
2
,
pp. 343-377
Persistent link: https://www.econbiz.de/10001212838
Saved in:
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