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subject:"Time series analysis"
subject:"United States"
~isPartOf:"Journal of econometrics"
~person:"Engle, Robert F."
~person:"Taylor, Robert"
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Time series analysis
United States
Estimation
4
Schätzung
4
Volatility
3
Volatilität
3
Zeitreihenanalyse
3
Estimation theory
2
Forecasting model
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Engle, Robert F.
Taylor, Robert
Todorov, Viktor
7
Bollerslev, Tim
5
Kim, Donggyu
5
Koop, Gary
5
Li, Jia
5
Tauchen, George Eugene
5
Andersen, Torben
3
Baltagi, Badi H.
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Fan, Jianqing
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Aruoba, S. Borağan
2
Aït-Sahalia, Yacine
2
Barigozzi, Matteo
2
Christensen, Kim
2
Diebold, Francis X.
2
Dijk, Dick van
2
Ergemen, Yunus Emre
2
Fulop, Andras
2
Gouriéroux, Christian
2
Hallin, Marc
2
Han, Xu
2
Hounyo, Ulrich
2
Inoue, Atsushi
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2
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2
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2
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2
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2
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2
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2
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Journal of econometrics
Discussion paper / Department of Economics, University of California San Diego
7
Working paper / National Bureau of Economic Research, Inc.
7
Queen's Economics Department working paper
3
CREATES research paper
2
Discussion paper / Centre for Economic Policy Research
2
Econometric theory
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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The journal of finance : the journal of the American Finance Association
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Working paper series / New York University, Salomon Center, Leonard N. Stern School of Business
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Estudios de economía aplicada : revista promovida por Asepelt, Asociación de Economía Aplicada
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Forecasting volatility in the financial markets
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Journal of economic literature
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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The review of financial studies
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Working paper / Department of Econometrics and Business Statistics, Monash University
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ECONIS (ZBW)
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1
Testing for episodic predictability in stock returns
Demetrescu, Matei
;
Georgiev, Iliyan
;
Rodrigues, Paulo M. M.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 85-113
Persistent link: https://www.econbiz.de/10013441625
Saved in:
2
Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
Harris, David
;
Kew, Hsein
;
Taylor, Robert
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 354-388
Persistent link: https://www.econbiz.de/10012483394
Saved in:
3
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
Saved in:
4
A multiple indicators model for volatility using intra-daily data
Engle, Robert F.
;
Gallo, Giampiero M.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 3-27
Persistent link: https://www.econbiz.de/10003298558
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