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accessRights:"restricted"
subject:"Zeitreihenanalyse"
~person:"Andersen, Torben"
~person:"Taylor, Robert"
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Search: subject_exact:"Estimation theory"
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Zeitreihenanalyse
Estimation theory
18
Schätztheorie
18
Time series analysis
11
Capital income
7
Forecasting model
7
Kapitaleinkommen
7
Prognoseverfahren
7
Regression analysis
6
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6
Volatility
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Volatilität
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Estimation
4
Fractional integration
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Schätzung
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Induktive Statistik
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(Un)conditional heteroskedasticity
2
Adaptive estimation
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Cointegration
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Einheitswurzeltest
2
Frequency domain inference
2
IVX estimation
2
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Market microstructure
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2
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Andersen, Torben
Taylor, Robert
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
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
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
Hyndman, Rob J.
4
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Journal of econometrics
7
Econometric theory
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Working paper / National Bureau of Economic Research, Inc.
1
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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
Adaptive inference in heteroscedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 50-65
Persistent link: https://www.econbiz.de/10012804084
Saved in:
3
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:
4
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:
5
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:
6
Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
Harris, David
;
Kew, Hsein
;
Taylor, Robert
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 354-388
Persistent link: https://www.econbiz.de/10012483394
Saved in:
7
Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point
Iacone, Fabrizio
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Econometric theory
35
(
2019
)
6
,
pp. 1201-1233
Persistent link: https://www.econbiz.de/10012149284
Saved in:
8
Unit root inference for non-stationary linear processes driven by infinite variance innovations
Cavaliere, Giuseppe
;
Georgiev, Iliyan
;
Taylor, Robert
- In:
Econometric theory
34
(
2018
)
2
,
pp. 302-348
Persistent link: https://www.econbiz.de/10011950958
Saved in:
9
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
198
(
2017
)
1
,
pp. 165-188
Persistent link: https://www.econbiz.de/10011818374
Saved in:
10
Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
Harris, David
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Journal of econometrics
192
(
2016
)
2
,
pp. 451-467
Persistent link: https://www.econbiz.de/10011704729
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