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subject:"Time series analysis"
subject:"United States"
~accessRights:"restricted"
~isPartOf:"Econometric reviews"
~isPartOf:"Journal of financial econometrics"
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Time series analysis
United States
Estimation theory
278
Schätztheorie
278
Nichtparametrisches Verfahren
68
Nonparametric statistics
68
Zeitreihenanalyse
66
Estimation
55
Schätzung
55
Regression analysis
54
Regressionsanalyse
54
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45
Statistischer Test
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43
Panel study
43
Method of moments
28
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Autocorrelation
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Autokorrelation
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Volatility
23
Volatilität
23
Statistical distribution
22
Statistische Verteilung
22
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18
ARCH-Modell
18
Bootstrap approach
18
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18
Maximum likelihood estimation
18
Maximum-Likelihood-Schätzung
18
Stochastic process
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16
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Monte-Carlo-Simulation
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panel data
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Teräsvirta, Timo
4
Lucas, André
3
Blasques, Francisco
2
Bohn Nielsen, Heino
2
Dong, Chaohua
2
Gao, Jiti
2
Hsiao, Cheng
2
Koopman, Siem Jan
2
Lee, Ji Hyung
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Liang, Zhongwen
2
McElroy, Tucker
2
Medeiros, Marcelo C.
2
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2
Amado, Cristina
1
Baillie, Richard
1
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1
Bauwens, Luc
1
Belotti, Federico
1
Bennedsen, Mikkel
1
Berenguer-Rico, Vanessa
1
Bermudez, P. de Zea
1
Bierens, Herman J.
1
Cai, Yuzhi
1
Cai, Zongwu
1
Carrion i Silvestre, Josep Lluís
1
Casini, Alessandro
1
Catani, Paul
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1
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1
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Econometric reviews
Journal of financial econometrics
Journal of econometrics
159
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
56
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
52
Economics letters
45
International journal of forecasting
41
Econometric theory
37
Journal of time series econometrics
37
Computational economics
24
The econometrics journal
18
Applied economics letters
16
Economic modelling
16
Discussion paper / Centre for Economic Policy Research
13
Applied economics
12
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
Finance research letters
11
Journal of forecasting
11
Working paper / National Bureau of Economic Research, Inc.
10
Discussion papers / CEPR
9
Essays in honor of Joon Y. Park : econometric theory
9
Journal of empirical finance
9
Energy economics
8
Journal of quantitative economics
8
The North American journal of economics and finance : a journal of financial economics studies
8
Quantitative finance
7
International journal of economics and finance
6
Journal of risk
6
The review of economics and statistics
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
5
Empirical economics : a quarterly journal of the Institute for Advanced Studies
5
Insurance / Mathematics & economics
5
Journal of economic dynamics & control
5
Journal of mathematical finance
5
NBER working paper series
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Research in international business and finance
5
European journal of operational research : EJOR
4
International journal of production economics
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International journal of production research
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ECONIS (ZBW)
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Estimation and inference of quantile impulse response functions by local projections : with applications to VaR dynamics
Han, Heejoon
;
Jung, Whayoung
;
Lee, Ji Hyung
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014526299
Saved in:
2
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
3
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
Saved in:
4
Modeling realized covariance matrices : a class of hadamard exponential models
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1376-1401
Persistent link: https://www.econbiz.de/10014391463
Saved in:
5
An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei
;
Ko, Yi-Chen
;
Wang, Jr-Yan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
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6
Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings
Belotti, Federico
;
Casini, Alessandro
;
Catania, Leopoldo
; …
- In:
Econometric reviews
42
(
2023
)
3
,
pp. 281-306
Persistent link: https://www.econbiz.de/10014305507
Saved in:
7
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
Saved in:
8
Volatility prediction using a realized-measure-based component model
Noureldin, Diaa
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 76-104
Persistent link: https://www.econbiz.de/10012878187
Saved in:
9
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
10
Comprehensively testing linearity hypothesis using the smooth transition autoregressive model
Seong, Dakyung
;
Cho, Jin Seo
;
Teräsvirta, Timo
- In:
Econometric reviews
41
(
2022
)
8
,
pp. 966-984
Persistent link: https://www.econbiz.de/10013364922
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