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subject:"Time series analysis"
subject:"United States"
~isPartOf:"Journal of econometrics"
~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~person:"Engle, Robert F."
~person:"Taylor, Robert"
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Time series analysis
United States
Estimation
5
Schätzung
5
Volatility
4
Volatilität
4
Zeitreihenanalyse
4
Estimation theory
3
Schätztheorie
3
Einheitswurzeltest
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Engle, Robert F.
Taylor, Robert
Gao, Jiti
16
Todorov, Viktor
7
Bollerslev, Tim
5
Kim, Donggyu
5
Koop, Gary
5
Li, Jia
5
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5
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4
Martin, Gael M.
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4
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3
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3
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3
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3
Hyndman, Rob J.
3
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3
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3
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3
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2
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2
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2
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2
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2
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2
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2
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2
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2
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Journal of econometrics
Working paper / Department of Econometrics and Business Statistics, Monash University
Discussion paper / Department of Economics, University of California San Diego
7
Working paper / National Bureau of Economic Research, Inc.
7
Queen's Economics Department working paper
3
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2
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Forecasting volatility in the financial markets
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Review of derivatives research
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ECONIS (ZBW)
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1
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
-
2020
Persistent link: https://www.econbiz.de/10012606901
Saved in:
2
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:
3
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:
4
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
Saved in:
5
A multiple indicators model for volatility using intra-daily data
Engle, Robert F.
;
Gallo, Giampiero M.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 3-27
Persistent link: https://www.econbiz.de/10003298558
Saved in:
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