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subject:"Time series analysis"
~isPartOf:"Econometric reviews"
~subject:"Volatility"
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Time series analysis
Volatility
Theorie
568
Theory
568
Estimation theory
131
Schätztheorie
131
Zeitreihenanalyse
131
Estimation
72
Schätzung
72
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70
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166
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McAleer, Michael
8
Spanos, Aris
6
Taylor, Robert
6
Phillips, Peter C. B.
5
Andreou, Elena
4
Asai, Manabu
4
Franses, Philip Hans
4
Kilian, Lutz
4
Maasoumi, Esfandiar
4
Psaradakis, Zacharias G.
4
Bordignon, Silvano
3
Cavaliere, Giuseppe
3
Dagum, Estela Bee
3
Proietti, Tommaso
3
Ashley, Richard A.
2
Audrino, Francesco
2
Caporin, Massimiliano
2
Chan, Joshua
2
Gouriéroux, Christian
2
Granger, C. W. J.
2
Harvey, David I.
2
He, Changli
2
Hendry, David F.
2
Hodgson, Douglas J.
2
Jawadi, Fredj
2
Johansen, Søren
2
Kapetanios, George
2
Kočenda, Evžen
2
Leybourne, Stephen James
2
Li, Hongyi
2
Maddala, Gangadharrao S.
2
McElroy, Tucker
2
Osborn, Denise R.
2
Politis, Dimitris N.
2
Teräsvirta, Timo
2
Yu, Jun
2
Abaye, A.
1
Alcalá-Fdez, Jesús
1
Alexandrov, Theodore
1
Alghalith, Moawia
1
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Econometric reviews
Journal of econometrics
414
Economics letters
340
International journal of forecasting
335
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
277
Journal of forecasting
256
NBER working paper series
219
Working paper / National Bureau of Economic Research, Inc.
212
Discussion paper / Tinbergen Institute
207
NBER Working Paper
207
Econometric theory
198
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165
Applied economics
151
Journal of economic dynamics & control
127
Working paper
127
Journal of banking & finance
126
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
124
Journal of applied econometrics
116
Discussion paper / Centre for Economic Policy Research
113
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
111
Applied economics letters
109
Journal of empirical finance
109
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
107
CREATES research paper
102
Computational economics
100
Energy economics
99
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
91
Finance research letters
90
Journal of international money and finance
90
Working paper / Department of Econometrics and Business Statistics, Monash University
86
International journal of theoretical and applied finance
85
Journal of financial economics
83
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
78
EUI working paper / ECO
75
International review of economics & finance : IREF
75
International review of financial analysis
75
CESifo working papers
73
Mathematical finance : an international journal of mathematics, statistics and financial theory
72
Macroeconomic dynamics
70
The European journal of finance
69
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ECONIS (ZBW)
166
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1
Forecasting levels in loglinear unit root models
VanGarderen, Kees Jan
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 780-805
Persistent link: https://www.econbiz.de/10014420346
Saved in:
2
Extremal quantiles and stock price crashes
Andreou, Panayiotis C.
;
Anyfantaki, Sofia
;
Maasoumi, …
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 703-724
Persistent link: https://www.econbiz.de/10014420354
Saved in:
3
A new Bayesian model for contagion and interdependence
Poon, Aubrey
;
Zhu, Dan
- In:
Econometric reviews
41
(
2022
)
7
,
pp. 806-826
Persistent link: https://www.econbiz.de/10013364908
Saved in:
4
Forward detrending for heteroskedasticity-robust panel unit root testing
Herwartz, Helmut
;
Maxand, Simone
;
Yabibal Mulualem Walle
- In:
Econometric reviews
42
(
2023
)
1
,
pp. 28-53
Persistent link: https://www.econbiz.de/10014305436
Saved in:
5
Smooth structural changes and common factors in nonstationary panel data : an analysis of healthcare expenditures†
Nazlıoğlu, Şaban
;
Lee, Junsoo
;
Tieslau, Margie A.
; …
- In:
Econometric reviews
42
(
2023
)
1
,
pp. 78-97
Persistent link: https://www.econbiz.de/10014305439
Saved in:
6
A robust score-driven filter for multivariate time series
D'Innocenzo, Enzo
;
Luati, Alessandra
;
Mazzocchi, Mario
- In:
Econometric reviews
42
(
2023
)
5
,
pp. 441-470
Persistent link: https://www.econbiz.de/10014305555
Saved in:
7
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
Saved in:
8
Time-varying cointegration and the Kalman filter
Eroğlu, Burak Alparslan
;
Miller, J. Isaac
;
Yigit, Taner M.
- In:
Econometric reviews
41
(
2022
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10013167573
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9
Approximate state space modelling of unobserved fractional components
Hartl, Tobias
;
Jucknewitz, Roland
- In:
Econometric reviews
41
(
2022
)
1
,
pp. 75-98
Persistent link: https://www.econbiz.de/10013167584
Saved in:
10
Large dimensional portfolio allocation based on a mixed frequency dynamic factor model
Peng, Siyang
;
Shaojun, Guo
;
Long, Yonghong
- In:
Econometric reviews
41
(
2022
)
5
,
pp. 539-563
Persistent link: https://www.econbiz.de/10013364893
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