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person:"Dufour, Jean-Marie"
subject:"Theory"
~person:"Lucas, André"
~subject:"Zeitreihenanalyse"
~type_genre:"Article in journal"
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Zeitreihenanalyse
Estimation theory
39
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39
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17
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10
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9
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9
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6
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Dufour, Jean-Marie
Lucas, André
Phillips, Peter C. B.
48
Andrews, Donald W. K.
30
Baltagi, Badi H.
30
Li, Qi
30
Linton, Oliver
27
Newey, Whitney K.
27
McAleer, Michael
26
Pesaran, M. Hashem
24
Lütkepohl, Helmut
23
Gouriéroux, Christian
22
Leybourne, Stephen James
22
Ohtani, Kazuhiro
22
Perron, Pierre
22
Robinson, Peter M.
22
Ullah, Aman
21
Giles, David E. A.
20
Krämer, Walter
20
Teräsvirta, Timo
19
Granger, C. W. J.
18
Horowitz, Joel
18
Johansen, Søren
18
King, Maxwell L.
18
Hassler, Uwe
17
Lee, Lung-fei
17
Baillie, Richard
16
Chambers, Marcus J.
16
Hahn, Jinyong
16
Harvey, Andrew C.
16
Hendry, David F.
16
Schmidt, Peter
16
Srivastava, Virendra K.
16
Taylor, Robert
16
Wooldridge, Jeffrey M.
16
Bera, Anil K.
15
Ghysels, Eric
15
Hsiao, Cheng
15
Tauchen, George Eugene
15
Bai, Jushan
14
Kelejian, Harry H.
14
Koop, Gary
14
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
Econometric reviews
3
Journal of econometrics
3
Econometric theory
2
Economics letters
2
International economic review
2
International journal of forecasting
2
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ECONIS (ZBW)
23
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1
Maximum likelihood estimation for score-driven models
Blasques, Francisco
;
Brummelen, Janneke van
;
Koopman, …
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 325-346
Persistent link: https://www.econbiz.de/10013442028
Saved in:
2
Nonlinear autoregressive models with optimality properties
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
- In:
Econometric reviews
39
(
2020
)
6
,
pp. 559-578
Persistent link: https://www.econbiz.de/10012195421
Saved in:
3
Fractional integration and fat tails for realized covariance kernels
Opschoor, Anne
;
Lucas, André
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 66-90
Persistent link: https://www.econbiz.de/10012054426
Saved in:
4
A stochastic recurrence equations approach for score driven correlation models
Blasques, Francisco
;
Lucas, André
;
Silde, Erkki
- In:
Econometric reviews
37
(
2018
)
1/5
,
pp. 166-181
Persistent link: https://www.econbiz.de/10012038166
Saved in:
5
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 875-887
Persistent link: https://www.econbiz.de/10011621857
Saved in:
6
Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
Lucas, André
;
Zhang, Xin
- In:
International journal of forecasting
32
(
2016
)
2
,
pp. 293-302
Persistent link: https://www.econbiz.de/10011596763
Saved in:
7
A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
Abadir, Karim Maher
;
Lucas, André
- In:
Journal of econometrics
119
(
2004
)
1
,
pp. 45-71
Persistent link: https://www.econbiz.de/10001943912
Saved in:
8
Quantiles for t-statistics based on M-estimators of unit roots
Abadir, Karim Maher
;
Lucas, André
- In:
Economics letters
67
(
2000
)
2
,
pp. 131-137
Persistent link: https://www.econbiz.de/10001471315
Saved in:
9
A note on optimal estimation from a risk-management perspective under possibly misspecified tail behavior
Lucas, André
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
1
,
pp. 31-39
Persistent link: https://www.econbiz.de/10001441592
Saved in:
10
Exact inference methods for first-order autoregressive distributed lag models
Dufour, Jean-Marie
- In:
Econometrica : journal of the Econometric Society, an …
66
(
1998
)
1
,
pp. 79-104
Persistent link: https://www.econbiz.de/10001233470
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