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subject:"Time series analysis"
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Time series analysis
Estimation theory
1,639
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313
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313
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11
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6
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Journal of econometrics
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160
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146
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135
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99
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66
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54
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39
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39
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36
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35
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ECONIS (ZBW)
309
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1
Structural VAR models in the frequency domain
Guay, Alain
;
Pelgrin, Florian
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332268
Saved in:
2
We modeled long memory with just one lag!
Bauwens, Luc
;
Chevillon, Guillaume
;
Laurent, Sébastien
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332326
Saved in:
3
State-domain change point detection for nonlinear time series regression
Cui, Yan
;
Yang, Jun
;
Zhou, Zhou
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 3-27
Persistent link: https://www.econbiz.de/10014364628
Saved in:
4
Conditional asymmetry in Power ARCH(∞) models
Royer, Julien
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 178-204
Persistent link: https://www.econbiz.de/10014364731
Saved in:
5
Structural inference in sparse high-dimensional vector autoregressions
Krampe, Jonas
;
Paparoditis, Efstathios
;
Trenkler, Carsten
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 276-300
Persistent link: https://www.econbiz.de/10014364826
Saved in:
6
Finite-sample corrected inference for two-step GMM in time series
Hwang, Jungbin
;
Valdés, Gonzalo
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 327-352
Persistent link: https://www.econbiz.de/10014364895
Saved in:
7
Fully modified least squares cointegrating parameter estimation in multicointegrated systems
Kheifets, Igor L.
;
Phillips, Peter C. B.
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 300-319
Persistent link: https://www.econbiz.de/10014339925
Saved in:
8
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
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9
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
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10
Estimation and inference in factor copula models with exogenous covariates
Mayer, Alexander
;
Wied, Dominik
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1500-1521
Persistent link: https://www.econbiz.de/10014471408
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11
What's trending in difference-in-differences? : a synthesis of the recent econometrics literature
Roth, Jonathan
;
Sant'Anna, Pedro H. C.
;
Bilinski, Alyssa
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2218-2244
Persistent link: https://www.econbiz.de/10014471452
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12
A new generalized exponentially weighted moving average quantile model and its statistical inference
Zhu, Ke
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471471
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13
Beta observation-driven models with exogenous regressors : a joint analysis of realized correlation and leverage effects
Gorgi, Paolo
;
Koopman, Siem Jan
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471518
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14
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
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15
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
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16
Time series estimation of the dynamic effects of disaster-type shocks
Davis, Richard A.
;
Ng, Serena
- In:
Journal of econometrics
235
(
2023
)
1
,
pp. 180-201
Persistent link: https://www.econbiz.de/10014434389
Saved in:
17
Robust likelihood estimation of dynamic panel data models
Alvarez, Javier
;
Arellano, Manuel
- In:
Journal of econometrics
226
(
2022
)
1
,
pp. 21-61
Persistent link: https://www.econbiz.de/10013440479
Saved in:
18
Goodness-of-fit testing for time series models via distance covariance
Wan, Phyllis
;
Davis, Richard A.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 4-24
Persistent link: https://www.econbiz.de/10013441619
Saved in:
19
Understanding temporal aggregation effects on kurtosis in financial indices
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 25-46
Persistent link: https://www.econbiz.de/10013441621
Saved in:
20
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
21
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:
22
Asset selection based on high frequency Sharpe ratio
Wang, Christina Dan
;
Chen, Zhao
;
Lian, Yimin
;
Chen, Min
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 168-188
Persistent link: https://www.econbiz.de/10013441645
Saved in:
23
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
24
Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang
;
Zhu, Ke
;
Li, Guodong
;
Li, Wai Keung
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
Saved in:
25
Bayesian estimation of long-run risk models using sequential Monte Carlo
Fulop, Andras
;
Heng, Jeremy
;
Li, Junye
;
Liu, Hening
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 62-84
Persistent link: https://www.econbiz.de/10013441725
Saved in:
26
Copula-based time series with filtered nonstationarity
Chen, Xiaohong
;
Xiao, Zhijie
;
Wang, Bo
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 127-155
Persistent link: https://www.econbiz.de/10013441732
Saved in:
27
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
28
Functional time series approach to analyzing asset returns co-movements
Saart, Patrick W.
;
Xia, Yingcun
- In:
Journal of econometrics
229
(
2022
)
1
,
pp. 127-151
Persistent link: https://www.econbiz.de/10013441838
Saved in:
29
Projected estimation for large-dimensional matrix factor models
Yu, Long
;
He, Yong
;
Kong, Xinbing
;
Zhang, Xinsheng
- In:
Journal of econometrics
229
(
2022
)
1
,
pp. 201-217
Persistent link: https://www.econbiz.de/10013441854
Saved in:
30
On LASSO for predictive regression
Lee, Ji Hyung
;
Shi, Zhentao
;
Gao, Zhan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 322-349
Persistent link: https://www.econbiz.de/10013441886
Saved in:
31
Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying
;
Liu, Guangying
;
Zhang, Zhiyuan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
Saved in:
32
Parsimony inducing priors for large scale state-space models
Lopes, Hedibert Freitas
;
McCulloch, Robert E.
;
Tsay, Ruey S.
- In:
Journal of econometrics
230
(
2022
)
1
,
pp. 39-61
Persistent link: https://www.econbiz.de/10013441913
Saved in:
33
Maximum likelihood estimation for score-driven models
Blasques, Francisco
;
Brummelen, Janneke van
;
Koopman, …
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 325-346
Persistent link: https://www.econbiz.de/10013442028
Saved in:
34
Simultaneous inference for time-varying models
Karmakar, Sayar
;
Richter, Stefan
;
Wu, Wei Biao
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 408-428
Persistent link: https://www.econbiz.de/10013442109
Saved in:
35
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
Saved in:
36
Celebrating 40 years of panel data analysis : past, present and future
Sarafidis, Vasilis
;
Wansbeek, Tom
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 215-226
Persistent link: https://www.econbiz.de/10012618507
Saved in:
37
Estimating and testing high dimensional factor models with multiple structural changes
Baltagi, Badi H.
;
Kao, Chihwa
;
Wang, Fa
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 349-365
Persistent link: https://www.econbiz.de/10012618518
Saved in:
38
Estimation of a nonparametric model for bond prices from cross-section and time series information
Koo, Bonsoo
;
La Vecchia, Davide
;
Linton, Oliver
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 562-588
Persistent link: https://www.econbiz.de/10012618568
Saved in:
39
An automated approach towards sparse single-equation cointegration modelling
Smeekes, Stephan
;
Wijler, Etienne
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 247-276
Persistent link: https://www.econbiz.de/10012618835
Saved in:
40
Estimating multiple breaks in nonstationary autoregressive models
Pang, Tianxiao
;
Du, Lingjie
;
Chong, Terence Tai-Leung
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 277-311
Persistent link: https://www.econbiz.de/10012618836
Saved in:
41
Testing high-dimensional covariance matrices under the elliptical distribution and beyond
Yang, Xinxin
;
Zheng, Xinghua
;
Chen, Jiaqi
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 409-423
Persistent link: https://www.econbiz.de/10012619243
Saved in:
42
Large-dimensional dynamic factor models : estimation of impulse–response functions with I(1) cointegrated factors
Barigozzi, Matteo
;
Lippi, Marco
;
Luciani, Matteo
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 455-482
Persistent link: https://www.econbiz.de/10012619245
Saved in:
43
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
44
Estimation of endogenously sampled time series : the case of commodity price speculation in the steel market
Hall, George J.
;
Rust, John
- In:
Journal of econometrics
222
(
2021
)
1,1
,
pp. 219-243
Persistent link: https://www.econbiz.de/10012619398
Saved in:
45
Volatility analysis with realized GARCH-Itô models
Song, Xinyu
;
Kim, Donggyu
;
Yuan, Huiling
;
Cui, Xiangyu
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
Saved in:
46
Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
Chen, Xiaohong
;
Huang, Zhuo
;
Yi, Yanping
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 484-501
Persistent link: https://www.econbiz.de/10012619712
Saved in:
47
A weighted sieve estimator for nonparametric time series models with nonstationary variables
Dong, Chaohua
;
Linton, Oliver
;
Peng, Bin
- In:
Journal of econometrics
222
(
2021
)
2
,
pp. 909-932
Persistent link: https://www.econbiz.de/10012619807
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48
Model averaging prediction for time series models with a diverging number of parameters
Liao, Jun
;
Zou, Guohua
;
Gao, Yan
;
Zhang, Xinyu
- In:
Journal of econometrics
223
(
2021
)
1
,
pp. 190-221
Persistent link: https://www.econbiz.de/10012619966
Saved in:
49
Efficient estimation and filtering for multivariate jump-diffusions
Guay, François
;
Schwenkler, Gustavo
- In:
Journal of econometrics
223
(
2021
)
1
,
pp. 251-275
Persistent link: https://www.econbiz.de/10012619970
Saved in:
50
Boosting high dimensional predictive regressions with time varying parameters
Yousuf, Kashif
;
Ng, Serena
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 60-87
Persistent link: https://www.econbiz.de/10013275363
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