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subject:"Time series analysis"
~isPartOf:"Journal of econometrics"
~subject:"Cointegration"
~subject:"Forecasting model"
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Time series analysis
Cointegration
Forecasting model
Estimation
465
Schätzung
460
Estimation theory
216
Schätztheorie
216
Theorie
166
Theory
166
Zeitreihenanalyse
115
Nichtparametrisches Verfahren
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Todorov, Viktor
8
Bollerslev, Tim
5
Kim, Donggyu
5
Li, Jia
5
Phillips, Peter C. B.
5
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5
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4
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3
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3
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3
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3
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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
Dijk, Dick van
2
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2
Francq, Christian
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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2
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2
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Journal of econometrics
Applied economics
271
Economic modelling
235
Applied economics letters
209
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
164
International journal of forecasting
161
Energy economics
141
CESifo working papers
138
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
136
Finance research letters
123
International review of economics & finance : IREF
121
Journal of forecasting
119
Economics letters
115
Journal of banking & finance
108
Working paper
103
International journal of economics and financial issues : IJEFI
99
The North American journal of economics and finance : a journal of financial economics studies
97
Journal of empirical finance
95
International Journal of Energy Economics and Policy : IJEEP
94
The empirical economics letters : a monthly international journal of economics
94
Discussion paper / Tinbergen Institute
93
International journal of economics and finance
89
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
86
International review of financial analysis
78
Journal of applied econometrics
75
Journal of international money and finance
73
Discussion paper / Centre for Economic Policy Research
71
Discussion papers / Deutsches Institut für Wirtschaftsforschung
64
Journal of financial economics
62
International journal of finance & economics : IJFE
61
Applied financial economics
60
Econometric reviews
60
Research in international business and finance
58
NBER Working Paper
57
Cogent economics & finance
56
Journal of international financial markets, institutions & money
56
Working paper / National Bureau of Economic Research, Inc.
56
Theoretical and applied economics : GAER review
55
Journal of risk and financial management : JRFM
54
Journal of macroeconomics
53
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ECONIS (ZBW)
159
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1
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
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
Penetrating sporadic return predictability
Tu, Yundong
;
Xie, Xinling
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471472
Saved in:
4
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:
5
A penalized two-pass regression to predict stock returns with time-varying risk premia
Bakalli, Gaetan
;
Guerrier, Stéphane
;
Scaillet, Olivier
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471822
Saved in:
6
Are bond returns predictable with real-time macro data?
Huang, Dashan
;
Jiang, Fuwei
;
Li, Kunpeng
;
Tong, Guoshi
; …
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014471827
Saved in:
7
Business-cycle consumption risk and asset prices
Bandi, Federico M.
;
Tamoni, Andrea
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014471828
Saved in:
8
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
9
Inference and forecasting for continuous-time integer-valued trawl processes
Bennedsen, Mikkel
;
Lunde, Asger
;
Shephard, Neil G.
; …
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014365470
Saved in:
10
Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik
;
Dijk, Dick van
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
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