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subject:"Forecasting model"
~isPartOf:"Journal of econometrics"
~subject:"Structural break"
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Search: subject_exact:"Time series analysis"
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Forecasting model
Structural break
Zeitreihenanalyse
673
Time series analysis
672
Theorie
326
Theory
326
Estimation theory
308
Schätztheorie
308
Estimation
115
Schätzung
114
Volatility
100
Volatilität
100
Prognoseverfahren
87
Nichtparametrisches Verfahren
80
Nonparametric statistics
80
Stochastic process
70
Stochastischer Prozess
70
Statistical test
63
Statistischer Test
63
Cointegration
57
Kointegration
56
Regression analysis
51
Regressionsanalyse
51
VAR model
51
VAR-Modell
51
Einheitswurzeltest
48
Factor analysis
48
Faktorenanalyse
48
Unit root test
48
ARCH model
42
ARCH-Modell
42
Börsenkurs
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Share price
41
Panel
40
Panel study
40
Autocorrelation
38
Autokorrelation
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Capital income
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Kapitaleinkommen
38
Bayes-Statistik
36
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Conference paper
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English
111
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Taylor, Robert
7
Leybourne, Stephen James
6
Swanson, Norman R.
5
Castle, Jennifer
4
Harvey, David I.
4
Hendry, David F.
4
Koop, Gary
4
Patton, Andrew J.
4
Dijk, Herman K. van
3
Fan, Jianqing
3
Hallin, Marc
3
Kapetanios, George
3
Kim, Donggyu
3
Korobilis, Dimitris
3
Linton, Oliver
3
Marcellino, Massimiliano
3
Medeiros, Marcelo C.
3
Perron, Pierre
3
Pick, Andreas
3
Zhang, Xinyu
3
Andersen, Torben
2
Baltagi, Badi H.
2
Barigozzi, Matteo
2
Bauwens, Luc
2
Casarin, Roberto
2
Demetrescu, Matei
2
Harris, David
2
Kao, Chihwa
2
Koopman, Siem Jan
2
La Vecchia, Davide
2
Lee, Tae-hwy
2
Liao, Yuan
2
Lu, Zu-di
2
Ng, Serena
2
Oka, Tatsushi
2
Pesaran, M. Hashem
2
Pettenuzzo, Davide
2
Ravazzolo, Francesco
2
Rodrigues, Paulo M. M.
2
Timmermann, Allan
2
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Journal of econometrics
International journal of forecasting
427
Journal of forecasting
225
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
90
Applied economics
89
Economic modelling
87
Energy economics
77
Working paper / Department of Econometrics and Business Statistics, Monash University
76
Discussion paper / Tinbergen Institute
70
Economics letters
70
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
63
Working paper
51
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
48
Applied economics letters
46
Computational economics
43
International Journal of Energy Economics and Policy : IJEEP
42
CESifo working papers
38
CREATES research paper
35
Econometric reviews
34
Journal of empirical finance
34
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
33
European journal of operational research : EJOR
32
International review of economics & finance : IREF
31
Journal of applied econometrics
31
The North American journal of economics and finance : a journal of financial economics studies
29
CAMA working paper series
28
Working paper series / European Central Bank
28
Finance research letters
27
International journal of production economics
26
Econometric Institute research papers
25
Journal of risk and financial management : JRFM
24
NBER Working Paper
23
NBER working paper series
23
Tourism economics : the business and finance of tourism and recreation
23
Working papers
23
International review of financial analysis
22
Discussion papers / CEPR
21
The empirical economics letters : a monthly international journal of economics
21
Discussion paper / Centre for Economic Policy Research
20
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
20
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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
CRPS learning
Berrisch, Jonathan
;
Ziel, Florian
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014471798
Saved in:
3
Uniform predictive inference for factor models with instrumental and idiosyncratic betas
Cheng, Mingmian
;
Liao, Yuan
;
Yang, Xiye
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014471816
Saved in:
4
A flexible predictive density combination for large financial data sets in regular and crisis periods
Casarin, Roberto
;
Grassi, Stefano
;
Ravazzolo, Francesco
; …
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-12
Persistent link: https://www.econbiz.de/10014471818
Saved in:
5
Score-driven asset pricing : predicting time-varying risk premia based on cross-sectional model performance
Umlandt, Dennis
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014471829
Saved in:
6
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
7
We modeled long memory with just one lag!
Bauwens, Luc
;
Chevillon, Guillaume
;
Laurent, Sébastien
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332326
Saved in:
8
Structural inference in sparse high-dimensional vector autoregressions
Krampe, Jonas
;
Paparoditis, Efstathios
;
Trenkler, Carsten
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 276-300
Persistent link: https://www.econbiz.de/10014364826
Saved in:
9
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
10
Group fused Lasso for large factor models with multiple structural breaks
Ma, Chenchen
;
Tu, Yundong
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 132-154
Persistent link: https://www.econbiz.de/10014340971
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