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subject:"Zeitreihenanalyse"
accessRights:"restricted"
~person:"McElroy, Tucker"
~person:"Sucarrat, Genaro"
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Search: subject_exact:"Estimation theory"
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Zeitreihenanalyse
Estimation theory
10
Schätztheorie
10
Time series analysis
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6
ARCH-Modell
6
Capital income
4
Kapitaleinkommen
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McElroy, Tucker
Sucarrat, Genaro
Gao, Jiti
10
Phillips, Peter C. B.
10
Li, Jia
9
Zhu, Ke
8
Kapetanios, George
7
Koopman, Siem Jan
7
Linton, Oliver
7
Lütkepohl, Helmut
7
Taylor, Robert
7
Teräsvirta, Timo
7
Demetrescu, Matei
6
Kim, Donggyu
6
Li, Degui
6
Li, Yingying
6
Lucas, André
6
Marcellino, Massimiliano
6
Nielsen, Morten Ørregaard
6
Shang, Han Lin
6
Todorov, Viktor
6
Wang, Shouyang
6
Blasques, Francisco
5
Davis, Richard A.
5
Dong, Chaohua
5
Francq, Christian
5
Omay, Tolga
5
Tauchen, George Eugene
5
Agiakloglou, Christos N.
4
Andersen, Torben
4
Bollerslev, Tim
4
Cavaliere, Giuseppe
4
Fan, Jianqing
4
Hassler, Uwe
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Hendry, David F.
4
Hong, Yongmiao
4
Hyndman, Rob J.
4
Johansen, Søren
4
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4
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Journal of financial econometrics
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Econometric reviews
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Energy economics
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International journal of forecasting
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of time series econometrics
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The European journal of finance
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The econometrics journal
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1
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
2
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
3
Identification of volatility proxies as expectations of squared financial returns
Sucarrat, Genaro
- In:
International journal of forecasting
37
(
2021
)
4
,
pp. 1677-1690
Persistent link: https://www.econbiz.de/10013274330
Saved in:
4
Testing collinearity of vector time series
McElroy, Tucker
;
Jach, Agnieszka
- In:
The econometrics journal
22
(
2019
)
2
,
pp. 97-116
Persistent link: https://www.econbiz.de/10012166700
Saved in:
5
Subsampling inference for the autocorrelations of GARCH processes
McElroy, Tucker
;
Jach, Agnieszka
- In:
Journal of financial econometrics
17
(
2019
)
3
,
pp. 495-515
Persistent link: https://www.econbiz.de/10012054818
Saved in:
6
Equation-by-equation estimation of multivariate periodic electricity price volatility
Escribano, Álvaro
;
Sucarrat, Genaro
- In:
Energy economics
74
(
2018
),
pp. 287-298
Persistent link: https://www.econbiz.de/10011972846
Saved in:
7
Estimation of log-GARCH models in the presence of zero returns
Sucarrat, Genaro
;
Escribano, Álvaro
- In:
The European journal of finance
24
(
2018
)
10/12
,
pp. 809-827
Persistent link: https://www.econbiz.de/10012244412
Saved in:
8
Multistep ahead forecasting of vector time series
McElroy, Tucker
;
McCracken, Michael W.
- In:
Econometric reviews
36
(
2017
)
5
,
pp. 495-513
Persistent link: https://www.econbiz.de/10011795256
Saved in:
9
Signal extraction revision variances as a goodness-of-fit measure
McElroy, Tucker
;
Wildi, Marc
- In:
Journal of time series econometrics
2
(
2010
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10009623322
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