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language:"eng"
subject:"Zeitreihenanalyse"
~isPartOf:"Journal of empirical finance"
~subject:"Kointegration"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Zeitreihenanalyse
Kointegration
Estimation theory
74
Schätztheorie
74
Time series analysis
23
Estimation
21
Schätzung
21
Volatility
20
Volatilität
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McKenzie, Michael D.
2
Satchell, Stephen
2
Wongwachara, Warapong
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Abergel, Frédéric
1
Amado, Cristina
1
Astill, Sam
1
Baillie, Richard
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Journal of empirical finance
Journal of econometrics
333
Econometric theory
171
Economics letters
144
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
143
Econometric reviews
98
International journal of forecasting
64
Applied economics letters
57
Journal of forecasting
55
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
55
Econometrics : open access journal
53
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
43
The econometrics journal
43
Economic modelling
42
Applied economics
40
Journal of time series econometrics
40
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
36
Journal of the American Statistical Association : JASA
35
Journal of applied econometrics
33
Computational economics
31
Oxford bulletin of economics and statistics
30
Journal of financial econometrics : official journal of the Society for Financial Econometrics
22
International journal of economics and financial issues : IJEFI
18
Journal of risk and financial management : JRFM
17
Journal of macroeconomics
16
Journal of financial econometrics
15
Journal of economic dynamics & control
14
The review of economics and statistics
14
Empirical economics : a quarterly journal of the Institute for Advanced Studies
13
International journal of economics and finance
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Finance research letters
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Quantitative economics : QE ; journal of the Econometric Society
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The review of economic studies
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Energy economics
11
Quantitative finance
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The empirical economics letters : a monthly international journal of economics
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Central European journal of economic modelling and econometrics
10
International Journal of Energy Economics and Policy : IJEEP
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Journal of banking & finance
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Journal of quantitative economics
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ECONIS (ZBW)
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1
An adaptive long memory conditional correlation model
Dark, Jonathan
- In:
Journal of empirical finance
75
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014491877
Saved in:
2
Dynamic cross-autocorrelation in stock returns
Kinnunen, Jyri
- In:
Journal of empirical finance
40
(
2017
),
pp. 162-173
Persistent link: https://www.econbiz.de/10011744473
Saved in:
3
Testing against changing correlation
Harvey, Andrew C.
;
Thiele, Stephen
- In:
Journal of empirical finance
38
(
2016
),
pp. 575-589
Persistent link: https://www.econbiz.de/10011663373
Saved in:
4
A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets
Dolatabadi, Sepideh
;
Nielsen, Morten Ørregaard
;
Xu, Ke
- In:
Journal of empirical finance
38
(
2016
),
pp. 623-639
Persistent link: https://www.econbiz.de/10011663388
Saved in:
5
The exact discretisation of CARMA models with applications in finance
Thornton, Michael A.
;
Chambers, Marcus J.
- In:
Journal of empirical finance
38
(
2016
),
pp. 739-761
Persistent link: https://www.econbiz.de/10011663785
Saved in:
6
The dynamics of squared returns under contemporaneous aggregation of GARCH models
Jondeau, Eric
- In:
Journal of empirical finance
32
(
2015
),
pp. 80-93
Persistent link: https://www.econbiz.de/10011556785
Saved in:
7
Testing for structural breaks in correlations : does it improve Value-at-Risk forecasting?
Berens, Tobias
;
Weiß, Gregor
;
Wied, Dominik
- In:
Journal of empirical finance
32
(
2015
),
pp. 135-152
Persistent link: https://www.econbiz.de/10011556809
Saved in:
8
Two-step estimation of the volatility functions in diffusion models with empirical applications
Ye, Xu-Guo
;
Lin, Jin-Guan
;
Zhao, Yan-Yong
;
Hao, Hong-Xia
- In:
Journal of empirical finance
33
(
2015
),
pp. 135-159
Persistent link: https://www.econbiz.de/10011556861
Saved in:
9
Testing of a market fraction model and power-law behaviour in the DAX 30
He, Xue-zhong
;
Li, Youwei
- In:
Journal of empirical finance
31
(
2015
),
pp. 1-17
Persistent link: https://www.econbiz.de/10011489318
Saved in:
10
ABC of SV: limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.
;
Kristensen, Dennis
- In:
Journal of empirical finance
31
(
2015
),
pp. 85-108
Persistent link: https://www.econbiz.de/10011489408
Saved in:
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