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subject:"Zeitreihenanalyse"
source:"econis"
~person:"Lucas, André"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Zeitreihenanalyse
Estimation theory
15
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15
Time series analysis
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7
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7
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4
Stochastischer Prozess
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3
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Lucas, André
Phillips, Peter C. B.
29
Leybourne, Stephen James
18
Teräsvirta, Timo
17
Harvey, Andrew C.
16
Johansen, Søren
16
Taylor, Robert
16
Gao, Jiti
15
Linton, Oliver
15
Lütkepohl, Helmut
15
Chambers, Marcus J.
14
Hassler, Uwe
13
Perron, Pierre
13
Hendry, David F.
11
Mills, Terence C.
11
Robinson, Peter M.
11
Baillie, Richard
10
Koop, Gary
10
Tauchen, George Eugene
10
Xiao, Zhijie
10
Zhu, Ke
10
Chan, Ngai Hang
9
Chen, Xiaohong
9
Engle, Robert F.
9
Granger, C. W. J.
9
Harvey, David I.
9
Kapetanios, George
9
Koopman, Siem Jan
9
Li, Jia
9
Li, Qi
9
McElroy, Tucker
9
Nelson, Daniel B.
9
Stock, James H.
9
Sun, Yixiao
9
Watson, Mark W.
9
Westerlund, Joakim
9
Bauwens, Luc
8
Franses, Philip Hans
8
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8
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Econometric reviews
2
International journal of forecasting
2
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2
Econometric theory
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics
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ECONIS (ZBW)
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1
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:
2
Nonlinear autoregressive models with optimality properties
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
- In:
Econometric reviews
39
(
2020
)
6
,
pp. 559-578
Persistent link: https://www.econbiz.de/10012195421
Saved in:
3
Fractional integration and fat tails for realized covariance kernels
Opschoor, Anne
;
Lucas, André
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 66-90
Persistent link: https://www.econbiz.de/10012054426
Saved in:
4
A stochastic recurrence equations approach for score driven correlation models
Blasques, Francisco
;
Lucas, André
;
Silde, Erkki
- In:
Econometric reviews
37
(
2018
)
1/5
,
pp. 166-181
Persistent link: https://www.econbiz.de/10012038166
Saved in:
5
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 875-887
Persistent link: https://www.econbiz.de/10011621857
Saved in:
6
Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
Lucas, André
;
Zhang, Xin
- In:
International journal of forecasting
32
(
2016
)
2
,
pp. 293-302
Persistent link: https://www.econbiz.de/10011596763
Saved in:
7
Outlier detection in cointegration analysis
Franses, Philip Hans
- In:
Journal of business & economic statistics : JBES ; a …
16
(
1998
)
4
,
pp. 459-468
Persistent link: https://www.econbiz.de/10001251800
Saved in:
8
Unit root tests based on M estimators
Lucas, André
- In:
Econometric theory
11
(
1995
)
2
,
pp. 331-346
Persistent link: https://www.econbiz.de/10001185251
Saved in:
9
An outlier robust unit root test with an application to the extended Nelson-Plosser data
Lucas, André
- In:
Journal of econometrics
66
(
1995
)
1
,
pp. 153-173
Persistent link: https://www.econbiz.de/10001174120
Saved in:
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