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subject:"Estimation"
subject:"Volatilität"
~person:"Cai, Zongwu"
~subject:"Time series analysis"
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Estimation
Volatilität
Time series analysis
Estimation theory
65
Schätztheorie
65
Nichtparametrisches Verfahren
36
Nonparametric statistics
36
Regression analysis
27
Regressionsanalyse
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Bootstrap-Verfahren
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Dynamic financial network
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English
31
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Cai, Zongwu
Phillips, Peter C. B.
107
Gao, Jiti
93
Koopman, Siem Jan
61
Pesaran, M. Hashem
56
Linton, Oliver
55
Lütkepohl, Helmut
50
Kapetanios, George
48
Johansen, Søren
45
Teräsvirta, Timo
45
Franses, Philip Hans
44
Diebold, Francis X.
42
Nielsen, Morten Ørregaard
39
Swanson, Norman R.
36
Koop, Gary
35
Härdle, Wolfgang
34
Nelson, Daniel B.
32
Harvey, Andrew C.
31
Stock, James H.
31
Sibbertsen, Philipp
30
Watson, Mark W.
29
Engle, Robert F.
28
Gouriéroux, Christian
28
Lucas, André
28
Robinson, Peter M.
28
Ghysels, Eric
27
McAleer, Michael
27
Marcellino, Massimiliano
26
Taylor, Robert
26
Cavaliere, Giuseppe
25
Giraitis, Liudas
25
Li, Degui
25
Peng, Bin
25
Sentana, Enrique
25
Bauwens, Luc
24
Haldrup, Niels
24
Maravall Herrero, Agustín
24
Nielsen, Bent
24
Perron, Pierre
24
Schorfheide, Frank
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Working papers series in theoretical and applied economics
20
Journal of econometrics
5
Econometric theory
3
Discussion papers of interdisciplinary research project 373
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Econometric reviews
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Journal of banking & finance
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ECONIS (ZBW)
31
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1
A functional-coefficient VAR model for dynamic quantiles and its application to constructing nonparametric financial network
Cai, Zongwu
;
Liu, Xiyuan
;
Su, Liangjun
-
2024
Persistent link: https://www.econbiz.de/10014521096
Saved in:
2
A combination forecast for nonparametric models with structural breaks
Cai, Zongwu
;
Gunawan
-
2023
Persistent link: https://www.econbiz.de/10014414260
Saved in:
3
Penalized model averaging for high dimensional quantile regressions
Bao, Haowen
;
Cai, Zongwu
;
Sun, Yuying
-
2023
Persistent link: https://www.econbiz.de/10014280711
Saved in:
4
Estimating quantile treatment effects for panel data
Cai, Zongwu
;
Fang, Ying
;
Lin, Ming
;
Zhan, Mingfeng
-
2022
Persistent link: https://www.econbiz.de/10012888248
Saved in:
5
A new test on asset return predictability with structural breaks
Cai, Zongwu
;
Chang, Seong Yeon
-
2022
Persistent link: https://www.econbiz.de/10012888261
Saved in:
6
A nonparametric dynamic network via multivariate quantile autoregressions
Cai, Zongwu
;
Liu, Xiyuan
-
2022
Persistent link: https://www.econbiz.de/10013283992
Saved in:
7
Testing conditional independence in macroeconomic policy evaluation for time series data
Fang, Ying
;
Lin, Ming
;
Tang, Shengfang
;
Cai, Zongwu
-
2021
Persistent link: https://www.econbiz.de/10012663950
Saved in:
8
Solving the price puzzle via a functional coefficient factor-augmented VAR model
Cai, Zongwu
;
Liu, Xiyuan
-
2021
Persistent link: https://www.econbiz.de/10012602647
Saved in:
9
Testing heteroskedasticity for predictive regressions with nonstationary regressors
Hong, Shaoxin
;
Zhang, Zhengyi
;
Cai, Zongwu
-
2021
Persistent link: https://www.econbiz.de/10012425349
Saved in:
10
Semiparametric estimation and model selection for conditional mixture copula models
Liu, Guannan
;
Long, Wei
;
Yang, Bingduo
;
Cai, Zongwu
-
2021
Persistent link: https://www.econbiz.de/10012425393
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