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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~isPartOf:"The econometrics journal"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Volatility
Time series analysis
Estimation theory
580
Schätztheorie
580
Theorie
270
Theory
270
Nichtparametrisches Verfahren
94
Nonparametric statistics
94
Zeitreihenanalyse
76
Regression analysis
68
Regressionsanalyse
68
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51
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51
Statistical test
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87
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Article in journal
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87
Conference paper
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English
87
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Phillips, Peter C. B.
5
Nelson, Daniel B.
4
Abadir, Karim Maher
3
Tauchen, George Eugene
3
Andrews, Donald W. K.
2
Dufour, Jean-Marie
2
Foster, Dean P.
2
Hadri, Kaddour
2
Li, Jia
2
Perron, Pierre
2
Sims, Christopher A.
2
Stock, James H.
2
Tzavalis, Elias
2
Uhlig, Harald
2
Velasco, Carlos
2
Watson, Mark W.
2
White, Halbert
2
Alvarez, Javier
1
Arellano, Manuel
1
Bai, Jushan
1
Baillie, Richard
1
Bierens, Herman J.
1
Chambers, Marcus J.
1
Chen, Jia
1
Chen, Xiaohong
1
Cooley, Thomas F.
1
Coudin, Elise
1
Cubadda, Gianluca
1
DeJong, David Neil
1
Delgado, Miguel A.
1
Demetrescu, Matei
1
Doornik, Jurgen A.
1
Elliott, Robert J.
1
Engle, Robert F.
1
Fan, Jianqing
1
Faust, Jon
1
Gallant, A. Ronald
1
Gao, Jiti
1
Ginker, Tim
1
Guo, Zheng-feng
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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
The econometrics journal
Journal of econometrics
364
Econometric theory
167
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
161
Economics letters
151
Econometric reviews
96
International journal of forecasting
69
Journal of forecasting
61
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
55
Applied economics letters
53
Econometrics : open access journal
51
Economic modelling
44
Journal of time series econometrics
40
Applied economics
37
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
37
Journal of empirical finance
37
Journal of the American Statistical Association : JASA
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Computational economics
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Journal of applied econometrics
33
Journal of financial econometrics : official journal of the Society for Financial Econometrics
30
Oxford bulletin of economics and statistics
23
Finance research letters
21
Journal of banking & finance
21
Journal of risk and financial management : JRFM
21
Journal of financial econometrics
18
Quantitative finance
17
International journal of economics and financial issues : IJEFI
16
The North American journal of economics and finance : a journal of financial economics studies
16
Journal of macroeconomics
15
The review of economics and statistics
15
International journal of theoretical and applied finance
14
Journal of economic dynamics & control
14
Quantitative economics : QE ; journal of the Econometric Society
14
The review of economic studies
13
Journal of quantitative economics
12
Empirical economics : a quarterly journal of the Institute for Advanced Studies
11
Energy economics
11
Central European journal of economic modelling and econometrics
10
European journal of operational research : EJOR
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ECONIS (ZBW)
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1
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
2
R-estimators in GARCH models : asymptotics and applications
Liu, Hang
;
Mukherjee, Kanchan
- In:
The econometrics journal
25
(
2022
)
1
,
pp. 98-113
Persistent link: https://www.econbiz.de/10012878893
Saved in:
3
The vector error correction index model : representation, estimation and identification
Cubadda, Gianluca
;
Mazzali, Marco
- In:
The econometrics journal
27
(
2024
)
1
,
pp. 126-150
Persistent link: https://www.econbiz.de/10014528100
Saved in:
4
Bubble testing under polynomial trends
Wang, Xiaohu
;
Yu, Jun
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 25-44
Persistent link: https://www.econbiz.de/10013543273
Saved in:
5
Single step estimation of ARMA roots for nonfundamental nonstationary fractional models
Lobato, Ignacio N.
;
Velasco, Carlos
- In:
The econometrics journal
25
(
2022
)
2
,
pp. 455-476
Persistent link: https://www.econbiz.de/10013253844
Saved in:
6
Forecasting using cross-section average-augmented time series regressions
Karabiyik, Hande
;
Westerlund, Joakim
- In:
The econometrics journal
24
(
2021
)
2
,
pp. 315-333
Persistent link: https://www.econbiz.de/10012595000
Saved in:
7
Testing identification via heteroskedasticity in structural vector autoregressive models
Lütkepohl, Helmut
;
Meitz, Mika
;
Netšunajev, Aleksei
; …
- In:
The econometrics journal
24
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012504441
Saved in:
8
LSTUR regression theory and the instability of the sample correlation coefficient between financial return indices
Ginker, Tim
;
Lieberman, Offer
- In:
The econometrics journal
24
(
2021
)
1
,
pp. 58-82
Persistent link: https://www.econbiz.de/10012504449
Saved in:
9
Generalized forecast averaging in autoregressions with a near unit root
Kejriwal, Mohitosh
;
Yu, Xuewen
- In:
The econometrics journal
24
(
2021
)
1
,
pp. 83-102
Persistent link: https://www.econbiz.de/10012504451
Saved in:
10
Large mixed-frequency VARs with a parsimonious time-varying parameter structure
Götz, Thomas B.
;
Hauzenberger, Klemens
- In:
The econometrics journal
24
(
2021
)
3
,
pp. 442-461
Persistent link: https://www.econbiz.de/10012620715
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