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subject:"Share price"
subject:"Time series analysis"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
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Share price
Time series analysis
Estimation theory
1,711
Schätztheorie
1,711
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377
Theory
377
Zeitreihenanalyse
329
Nichtparametrisches Verfahren
322
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322
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Phillips, Peter C. B.
11
Taylor, Robert
9
Linton, Oliver
8
Leybourne, Stephen James
7
Todorov, Viktor
7
Li, Jia
6
Tauchen, George Eugene
6
Andersen, Torben
5
Chen, Xiaohong
5
Davis, Richard A.
5
Francq, Christian
5
Kim, Donggyu
5
Koopman, Siem Jan
5
Li, Yingying
5
Robinson, Peter M.
5
Xiao, Zhijie
5
Zhu, Ke
5
Chambers, Marcus J.
4
Harvey, David I.
4
Li, Qi
4
Ng, Serena
4
Shephard, Neil G.
4
Sun, Yixiao
4
Zakoïan, Jean-Michel
4
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3
Baltagi, Badi H.
3
Blasques, Francisco
3
Bollerslev, Tim
3
Chen, Rong
3
Dong, Chaohua
3
Elliott, Graham
3
Engle, Robert F.
3
Fan, Jianqing
3
Gao, Jiti
3
Gonzalo, Jesús
3
Hill, Jonathan B.
3
Johansen, Søren
3
Kim, Dukpa
3
Koop, Gary
3
Li, Degui
3
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Journal of econometrics
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Econometric theory
161
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
150
Economics letters
141
Discussion paper / Tinbergen Institute
102
Econometric reviews
89
International journal of forecasting
63
Working paper / Department of Econometrics and Business Statistics, Monash University
63
CREATES research paper
61
Journal of forecasting
59
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
52
Applied economics letters
50
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49
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43
Cowles Foundation discussion paper
41
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
40
Economic modelling
39
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
39
Journal of time series econometrics
39
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
39
The econometrics journal
37
Applied economics
36
Journal of the American Statistical Association : JASA
34
Journal of applied econometrics
33
Computational economics
32
NBER working paper series
31
Journal of empirical finance
30
EUI working paper / ECO
29
SFB 649 discussion paper
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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27
Working paper series
26
Oxford bulletin of economics and statistics
24
LSE STICERD Research Paper
23
Umeå economic studies
23
Discussion paper / Center for Economic Research, Tilburg University
22
Discussion paper / Centre for Economic Forecasting
22
Technical working paper / National Bureau of Economic Research
22
Working paper / National Bureau of Economic Research, Inc.
22
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1
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
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2
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
3
Estimation and inference in factor copula models with exogenous covariates
Mayer, Alexander
;
Wied, Dominik
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1500-1521
Persistent link: https://www.econbiz.de/10014471408
Saved in:
4
What's trending in difference-in-differences? : a synthesis of the recent econometrics literature
Roth, Jonathan
;
Sant'Anna, Pedro H. C.
;
Bilinski, Alyssa
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2218-2244
Persistent link: https://www.econbiz.de/10014471452
Saved in:
5
Tail index estimation in the presence of covariates : stock returns' tail risk dynamics
Nicolau, João
;
Rodrigues, Paulo M. M.
;
Stoykov, Marian Z.
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2266-2284
Persistent link: https://www.econbiz.de/10014471455
Saved in:
6
A new generalized exponentially weighted moving average quantile model and its statistical inference
Zhu, Ke
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471471
Saved in:
7
Beta observation-driven models with exogenous regressors : a joint analysis of realized correlation and leverage effects
Gorgi, Paolo
;
Koopman, Siem Jan
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471518
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8
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
9
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:
10
Structural VAR models in the frequency domain
Guay, Alain
;
Pelgrin, Florian
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332268
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