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subject:"USA"
subject:"Prognoseverfahren"
~isPartOf:"Journal of econometrics"
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USA
Prognoseverfahren
Estimation theory
1,638
Schätztheorie
1,638
Theorie
368
Theory
368
Nichtparametrisches Verfahren
313
Nonparametric statistics
313
Zeitreihenanalyse
309
Time series analysis
308
Regression analysis
268
Regressionsanalyse
268
Estimation
216
Schätzung
212
Panel
156
Panel study
156
Statistical test
150
Statistischer Test
150
Volatility
116
Volatilität
116
Method of moments
99
Momentenmethode
98
Induktive Statistik
82
Statistical inference
82
Maximum likelihood estimation
81
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81
Autocorrelation
77
Autokorrelation
77
Forecasting model
73
Bootstrap approach
71
Bootstrap-Verfahren
71
Instrumental variables
69
Cointegration
63
Kointegration
62
Stochastic process
61
Stochastischer Prozess
61
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60
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60
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59
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59
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58
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106
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3
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3
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106
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Lee, Ji Hyung
5
Taylor, Robert
4
Andersen, Torben
3
Corradi, Valentina
3
Demetrescu, Matei
3
Georgiev, Iliyan
3
Kim, Donggyu
3
McCracken, Michael W.
3
Rodrigues, Paulo M. M.
3
Tu, Yundong
3
Baltagi, Badi H.
2
Cai, Zongwu
2
Clark, Todd E.
2
Fan, Jianqing
2
Fan, Rui
2
Hansen, Bruce E.
2
Kao, Chihwa
2
Koopman, Siem Jan
2
LaFrance, Jeffrey T.
2
Mayer, Walter James
2
Mroz, Thomas A.
2
Ng, Serena
2
Pesaran, M. Hashem
2
Pope, Rulon D.
2
Rossi, Barbara
2
Sekhposyan, Tatevik
2
Swanson, Norman R.
2
Abadie, Alberto
1
Agnew, G. K.
1
Athanasopoulos, George
1
Atkinson, Scott Estes
1
Bai, Jushan
1
Bakalli, Gaetan
1
Bams, Dennis
1
Bansal, Ravi
1
Bauwens, Luc
1
Beatty, T. K. M.
1
Bennedsen, Mikkel
1
Blasques, Francisco
1
Bollerslev, Tim
1
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Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
132
International journal of forecasting
116
Journal of forecasting
73
The review of economics and statistics
45
Economics letters
40
Working paper / National Bureau of Economic Research, Inc.
35
Journal of applied econometrics
29
Discussion paper / Tinbergen Institute
28
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
23
Working paper / Department of Econometrics and Business Statistics, Monash University
21
Applied economics
20
American journal of agricultural economics
19
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
18
Journal of empirical finance
18
CREATES research paper
17
Journal of banking & finance
17
Journal of financial and quantitative analysis : JFQA
17
Journal of the American Statistical Association : JASA
16
The econometrics journal
16
Discussion paper
15
Discussion paper series / IZA
15
Econometric reviews
15
Econometric theory
15
NBER working paper series
15
Oxford bulletin of economics and statistics
15
The journal of futures markets
15
Working paper
15
Journal of macroeconomics
14
The journal of finance : the journal of the American Finance Association
14
The review of financial studies
14
Discussion paper / Centre for Economic Policy Research
13
Technical working paper / National Bureau of Economic Research
13
Insurance / Mathematics & economics
12
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
12
Working papers / Rutgers University, Department of Economics
12
Applied economics letters
11
CESifo working papers
11
Discussion papers / CEPR
11
European journal of operational research : EJOR
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ECONIS (ZBW)
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1
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:
2
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:
3
Extensions to IVX methods of inference for return predictability
Demetrescu, Matei
;
Georgiev, Iliyan
;
Rodrigues, Paulo M. M.
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014471800
Saved in:
4
Transformed regression-based long-horizon predictability tests
Demetrescu, Matei
;
Rodrigues, Paulo M. M.
;
Taylor, Robert
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10014471812
Saved in:
5
Predictive quantile regression with mixed roots and increasing dimensions : the ALQR approach
Fan, Rui
;
Lee, Ji Hyung
;
Shin, Youngki
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-19
Persistent link: https://www.econbiz.de/10014471819
Saved in:
6
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:
7
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:
8
A new robust inference for predictive quantile regression
Cai, Zongwu
;
Chen, Haiqiang
;
Liao, Xiaosai
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 227-250
Persistent link: https://www.econbiz.de/10014364804
Saved in:
9
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:
10
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:
11
Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk
Corradi, Valentina
;
Fosten, Jack
;
Gutknecht, Daniel
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365517
Saved in:
12
Probabilistic prediction for binary treatment choice : with focus on personalized medicine
Manski, Charles F.
- In:
Journal of econometrics
234
(
2023
)
2
,
pp. 647-663
Persistent link: https://www.econbiz.de/10014434356
Saved in:
13
Estimating the variance of a combined forecast : bootstrap-based approach
Hounyo, Ulrich
;
Lahiri, Kajal
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 445-468
Persistent link: https://www.econbiz.de/10014340010
Saved in:
14
How should parameter estimation be tailored to the objective?
Hansen, Peter Reinhard
;
Dumitrescu, Elena-Ivona
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 535-558
Persistent link: https://www.econbiz.de/10013464115
Saved in:
15
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:
16
Analyzing cross-validation for forecasting with structural instability
Hirano, Keisuke
;
Wright, Jonathan H.
- In:
Journal of econometrics
226
(
2022
)
1
,
pp. 139-154
Persistent link: https://www.econbiz.de/10013440526
Saved in:
17
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:
18
Semiparametric model averaging prediction for dichotomous response
Fang, Fang
;
Li, Jialiang
;
Xia, Xiaochao
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 219-245
Persistent link: https://www.econbiz.de/10013441865
Saved in:
19
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:
20
Assessing consumer demand with noisy neural measurements
Webb, Ryan
;
Mehta, Nitin
;
Levy, Ifat
- In:
Journal of econometrics
222
(
2021
)
1,1
,
pp. 89-106
Persistent link: https://www.econbiz.de/10012619344
Saved in:
21
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:
22
New testing approaches for mean-variance predictability
Fiorentini, Gabriele
;
Sentana, Enrique
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 516-538
Persistent link: https://www.econbiz.de/10012619733
Saved in:
23
Bayesian MIDAS penalized regressions : estimation, selection, and prediction
Mogliani, Matteo
;
Simoni, Anna
- In:
Journal of econometrics
222
(
2021
)
1,3
,
pp. 833-860
Persistent link: https://www.econbiz.de/10012619795
Saved in:
24
Model selection in utility-maximizing binary prediction
Su, Jiun-Hua
- In:
Journal of econometrics
223
(
2021
)
1
,
pp. 96-124
Persistent link: https://www.econbiz.de/10012619962
Saved in:
25
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:
26
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
Saved in:
27
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
28
Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
Gungor, Sermin
;
Luger, Richard
- In:
Journal of econometrics
218
(
2020
)
2
,
pp. 750-770
Persistent link: https://www.econbiz.de/10012483180
Saved in:
29
Econometric analysis of production networks with dominant units
Pesaran, M. Hashem
;
Yang, Cynthia Fan
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 507-541
Persistent link: https://www.econbiz.de/10012483410
Saved in:
30
Knowing factors or factor loadings, or neither? : evaluating estimators of large covariance matrices with noisy and asynchronous data
Dai, Chaoxing
;
Lu, Kun
;
Xiu, Dacheng
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 43-79
Persistent link: https://www.econbiz.de/10012139780
Saved in:
31
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu
;
Fan, Jianqing
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
Saved in:
32
Alternative tests for correct specification of conditional predictive densities
Rossi, Barbara
;
Sekhposyan, Tatevik
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 638-657
Persistent link: https://www.econbiz.de/10012149374
Saved in:
33
Nearly weighted risk minimal unbiased estimation
Müller, Ulrich K.
;
Wang, Yulong
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 18-34
Persistent link: https://www.econbiz.de/10012302499
Saved in:
34
Structured volatility matrix estimation for non-synchronized high-frequency financial data
Fan, Jianqing
;
Kim, Donggyu
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 61-78
Persistent link: https://www.econbiz.de/10012302521
Saved in:
35
On the predictive risk in misspecified quantile regression
Giessing, Alexander
;
He, Xuming
- In:
Journal of econometrics
213
(
2019
)
1
,
pp. 235-260
Persistent link: https://www.econbiz.de/10012304550
Saved in:
36
Predictive quantile regressions under persistence and conditional heteroskedasticity
Fan, Rui
;
Lee, Ji Hyung
- In:
Journal of econometrics
213
(
2019
)
1
,
pp. 261-280
Persistent link: https://www.econbiz.de/10012304551
Saved in:
37
Saddlepoint approximations for short and long memory time series : a frequency domain approach
La Vecchia, Davide
;
Ronchetti, Elvezio
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 578-592
Persistent link: https://www.econbiz.de/10012304589
Saved in:
38
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
39
Estimation and forecasting in vector autoregressive moving average models for rich datasets
Dias, Gustavo Fruet
;
Kapetanios, George
- In:
Journal of econometrics
202
(
2018
)
1
,
pp. 75-91
Persistent link: https://www.econbiz.de/10011974554
Saved in:
40
Testing for parameter instability in predictive regression models
Georgiev, Iliyan
;
Harvey, David I.
;
Leybourne, Stephen James
- In:
Journal of econometrics
204
(
2018
)
1
,
pp. 101-118
Persistent link: https://www.econbiz.de/10011974719
Saved in:
41
Forecasting cointegrated nonstationary time series with time-varying variance
Tu, Yundong
;
Yi, Yanping
- In:
Journal of econometrics
196
(
2017
)
1
,
pp. 83-98
Persistent link: https://www.econbiz.de/10011743781
Saved in:
42
Identification and estimation of a large factor model with structural instability
Baltagi, Badi H.
;
Kao, Chihwa
;
Wang, Fa
- In:
Journal of econometrics
197
(
2017
)
1
,
pp. 87-100
Persistent link: https://www.econbiz.de/10011818347
Saved in:
43
Least squares estimation of large dimensional threshold factor models
Massacci, Daniele
- In:
Journal of econometrics
197
(
2017
)
1
,
pp. 101-129
Persistent link: https://www.econbiz.de/10011818348
Saved in:
44
Tests of equal accuracy for nested models with estimated factors
Gonçalves, Sílvia
;
McCracken, Michael W.
;
Perron, Benoit
- In:
Journal of econometrics
198
(
2017
)
2
,
pp. 231-252
Persistent link: https://www.econbiz.de/10011818789
Saved in:
45
Exploiting the errors : a simple approach for improved volatility forecasting
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011610646
Saved in:
46
Predictive quantile regression with persistent covariates : IVX-QR approach
Lee, Ji Hyung
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 105-118
Persistent link: https://www.econbiz.de/10011616003
Saved in:
47
A reexamination of stock return predictability
Choi, Yongok
;
Jacewitz, Stefan
;
Park, Joon Y.
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 168-189
Persistent link: https://www.econbiz.de/10011617132
Saved in:
48
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
Blasques, Francisco
;
Koopman, Siem Jan
;
Mallee, Max I. P.
; …
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 405-417
Persistent link: https://www.econbiz.de/10011704989
Saved in:
49
A flexible semiparametric forecasting model for time series
Li, Degui
;
Linton, Oliver
;
Lu, Zu-di
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 345-357
Persistent link: https://www.econbiz.de/10011499465
Saved in:
50
Jackknife model averaging for quantile regressions
Lu, Xun
;
Su, Liangjun
- In:
Journal of econometrics
188
(
2015
)
1
,
pp. 40-58
Persistent link: https://www.econbiz.de/10011500249
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