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person:"Bollerslev, Tim"
subject:"Volatility"
~accessRights:"restricted"
~language:"eng"
~person:"Phillips, Peter C. B."
~subject:"Time series analysis"
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Bollerslev, Tim
Phillips, Peter C. B.
Li, Jia
11
Gao, Jiti
10
Todorov, Viktor
10
Kumar, Dilip
9
Zhu, Ke
9
Francq, Christian
8
Kapetanios, George
8
Linton, Oliver
8
Lütkepohl, Helmut
8
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7
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7
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7
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7
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7
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6
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6
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6
Li, Yingying
6
Liu, Zhi
6
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6
Marcellino, Massimiliano
6
Mykland, Per A.
6
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6
Sbrana, Giacomo
6
Shang, Han Lin
6
Tauchen, George Eugene
6
Xiao, Zhijie
6
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5
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5
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5
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5
Dong, Chaohua
5
Li, Dong
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5
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Journal of econometrics
11
Econometric reviews
1
Econometric theory
1
Handbook of econometrics : volume 4
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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1
Fully modified least squares cointegrating parameter estimation in multicointegrated systems
Kheifets, Igor L.
;
Phillips, Peter C. B.
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 300-319
Persistent link: https://www.econbiz.de/10014339925
Saved in:
2
Understanding temporal aggregation effects on kurtosis in financial indices
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 25-46
Persistent link: https://www.econbiz.de/10013441621
Saved in:
3
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
4
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
5
Point optimal testing with roots that are functionally local to unity
Bykhovskaya, Anna
;
Phillips, Peter C. B.
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 231-259
Persistent link: https://www.econbiz.de/10012483325
Saved in:
6
Econometric estimates of Earth's transient climate sensitivity
Phillips, Peter C. B.
;
Leirvik, Thomas
;
Storelvmo, Trude
- In:
Journal of econometrics
214
(
2020
)
1
,
pp. 6-32
Persistent link: https://www.econbiz.de/10012438082
Saved in:
7
Asymptotic theory for near integrated processes driven by tempered linear processes
Sabzikar, Farzad
;
Wang, Qiying
;
Phillips, Peter C. B.
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 192-202
Persistent link: https://www.econbiz.de/10012439672
Saved in:
8
Weak σ-convergence : theory and applications
Kong, Jianning
;
Phillips, Peter C. B.
;
Sul, Donggyu
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 185-207
Persistent link: https://www.econbiz.de/10012302556
Saved in:
9
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
Saved in:
10
Dynamic panel Anderson-Hsiao estimation with roots near unity
Phillips, Peter C. B.
- In:
Econometric theory
34
(
2018
)
2
,
pp. 253-276
Persistent link: https://www.econbiz.de/10011950953
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