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accessRights:"restricted"
subject:"Zeitreihenanalyse"
~person:"Andersen, Torben"
~person:"Li, Degui"
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Search: subject_exact:"Estimation theory"
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Zeitreihenanalyse
Estimation theory
23
Schätztheorie
23
Nichtparametrisches Verfahren
12
Nonparametric statistics
12
Regression analysis
10
Regressionsanalyse
10
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10
Volatility
6
Volatilität
6
Capital income
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Kapitaleinkommen
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Estimation
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Factor analysis
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Kernel degeneracy
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Kointegration
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Market microstructure
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Market microstructure noise
2
Marktmikrostruktur
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Andersen, Torben
Li, Degui
Gao, Jiti
10
Phillips, Peter C. B.
10
Li, Jia
9
Kapetanios, George
8
Lütkepohl, Helmut
8
Zhu, Ke
8
Koopman, Siem Jan
7
Linton, Oliver
7
Taylor, Robert
7
Teräsvirta, Timo
7
Demetrescu, Matei
6
Kim, Donggyu
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
Sbrana, Giacomo
5
Sucarrat, Genaro
5
Tauchen, George Eugene
5
Xiao, Zhijie
5
Agiakloglou, Christos N.
4
Baillie, Richard
4
Bollerslev, Tim
4
Cavaliere, Giuseppe
4
Fan, Jianqing
4
Hassler, Uwe
4
Hendry, David F.
4
Hong, Yongmiao
4
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4
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Journal of econometrics
6
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1
Econometric theory
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Working paper / National Bureau of Economic Research, Inc.
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ECONIS (ZBW)
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1
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:
2
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:
3
Consistent inference for predictive regressions in persistent economic systems
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 215-244
Persistent link: https://www.econbiz.de/10013275373
Saved in:
4
Robust nonlinear regression estimation in null recurrent time series
Bravo, Francesco
;
Li, Degui
;
Tjostheim, Dag
- In:
Journal of econometrics
224
(
2021
)
2
,
pp. 416-438
Persistent link: https://www.econbiz.de/10013275395
Saved in:
5
Nonparametric estimation and forecasting for time-varying coefficient realized volatility models
Chen, Xiangjin B.
;
Gao, Jiti
;
Li, Degui
;
Silvapulle, …
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
1
,
pp. 88-100
Persistent link: https://www.econbiz.de/10011894402
Saved in:
6
Estimation of semi-varying coefficient models with nonstationary regressors
Li, Kunpeng
;
Li, Degui
;
Liang, Zhongwen
;
Hsiao, Cheng
- In:
Econometric reviews
36
(
2017
)
1/3
,
pp. 354-369
Persistent link: https://www.econbiz.de/10011795217
Saved in:
7
Estimating smooth structural change in cointegration models
Phillips, Peter C. B.
;
Li, Degui
;
Gao, Jiti
- In:
Journal of econometrics
196
(
2017
)
1
,
pp. 180-195
Persistent link: https://www.econbiz.de/10011743793
Saved in:
8
Uniform consistency for nonparametric estimators in null recurrent time series
Gao, Jiti
;
Kanaya, Shin
;
Li, Degui
;
Tjostheim, Dag
- In:
Econometric theory
31
(
2015
)
5
,
pp. 911-952
Persistent link: https://www.econbiz.de/10011545492
Saved in:
9
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:
10
Jump-robust volatility estimation using nearest neighbor truncation
Andersen, Torben
;
Dobrev, Dobrislav
;
Schaumburg, Ernst
-
2009
Persistent link: https://www.econbiz.de/10003909988
Saved in:
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