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person:"Franses, Philip Hans"
subject:"Zeitreihenanalyse"
~person:"Lucas, André"
~subject:"Kapitaleinkommen"
~type_genre:"Aufsatz in Zeitschrift"
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Zeitreihenanalyse
Kapitaleinkommen
Estimation
34
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16
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16
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14
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7
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Franses, Philip Hans
Lucas, André
Gil-Alaña, Luis A.
86
Gupta, Rangan
80
Zaremba, Adam
58
Caporale, Guglielmo Maria
43
Tiwari, Aviral Kumar
36
McMillan, David G.
34
Wohar, Mark E.
33
Narayan, Paresh Kumar
25
Chang, Tsangyao
24
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22
Pierdzioch, Christian
21
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21
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19
Ma, Feng
19
Moosa, Imad A.
19
Wang, Yudong
19
Cakici, Nusret
18
Bali, Turan G.
16
Kumar, Dilip
16
Sehgal, Sanjay
16
Lee, Chien-chiang
15
Zhang, Yaojie
15
Bahmani-Oskooee, Mohsen
14
Bouri, Elie
14
Brooks, Robert
14
Chiang, Thomas C.
14
Koopman, Siem Jan
14
Long, Huaigang
14
Salisu, Afees A.
14
Tauchen, George Eugene
14
Jawadi, Fredj
13
Nonejad, Nima
13
Ramírez, Miguel D.
13
Westerlund, Joakim
13
Demirer, Rıza
12
McAleer, Michael
12
Ranjbar, Omid
12
Umutlu, Mehmet
12
Xuan Vinh Vo
12
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International journal of forecasting
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Applied mathematical finance
1
Econometric reviews
1
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1
Journal of empirical finance
1
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1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Oxford bulletin of economics and statistics
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ECONIS (ZBW)
15
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1
Autoregressive conditional durations : an application to the Surinamese dollar versus the US dollar exchange rate
Ooft, Gavin
;
Franses, Philip Hans
;
Bhaghoe, Sailesh
- In:
Review of development economics : an essential resource …
27
(
2023
)
4
,
pp. 2618-2637
Persistent link: https://www.econbiz.de/10014427710
Saved in:
2
Time-varying variance and skewness in realized volatility measures
Opschoor, Anne
;
Lucas, André
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 827-840
Persistent link: https://www.econbiz.de/10014465151
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
Testing for parameter instability across different modeling frameworks
Calvori, Francesco
;
Creal, Drew
;
Koopman, Siem Jan
; …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 223-246
Persistent link: https://www.econbiz.de/10011987424
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
Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
; …
- In:
Journal of econometrics
195
(
2016
)
2
,
pp. 211-223
Persistent link: https://www.econbiz.de/10011705251
Saved in:
7
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
8
Forecasting time series with long memory and level shifts
Hyung, Namwon
;
Franses, Philip Hans
- In:
Journal of forecasting
24
(
2005
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10002569962
Saved in:
9
Estimating volatility on overlapping returns when returns are autocorrelated
Kluitman, Roy
;
Franses, Philip Hans
- In:
Applied mathematical finance
9
(
2002
)
3
,
pp. 179-188
Persistent link: https://www.econbiz.de/10001718679
Saved in:
10
Constructing seasonally adjusted data with time-varying confidence intervals
Koopman, Siem Jan
;
Franses, Philip Hans
- In:
Oxford bulletin of economics and statistics
64
(
2002
)
5
,
pp. 509-526
Persistent link: https://www.econbiz.de/10001741990
Saved in:
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