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subject:"Time series analysis"
subject:"United States"
~person:"Engle, Robert F."
~person:"Timmermann, Allan"
~subject:"Zeitreihenanalyse"
~type:"article"
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Time series analysis
United States
Zeitreihenanalyse
Estimation
36
Schätzung
36
Theorie
20
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20
USA
16
Capital income
14
Kapitaleinkommen
14
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11
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10
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Engle, Robert F.
Timmermann, Allan
Gil-Alaña, Luis A.
93
Gupta, Rangan
71
Caporale, Guglielmo Maria
51
Bahmani-Oskooee, Mohsen
44
Tiwari, Aviral Kumar
30
Chang, Tsangyao
28
Wohar, Mark E.
28
Moosa, Imad A.
26
Bollerslev, Tim
21
Koopman, Siem Jan
18
Balcilar, Mehmet
17
Miller, Stephen M.
16
Serletis, Apostolos
16
Koop, Gary
15
McAleer, Michael
15
Payne, James E.
15
Apergēs, Nikolaos
14
Diebold, Francis X.
14
Heckman, James J.
14
Hsing, Yu
14
Salisu, Afees A.
14
Swanson, Norman R.
14
Tauchen, George Eugene
14
Österholm, Pär
14
McMillan, David G.
13
Ramírez, Miguel D.
13
Belke, Ansgar
12
Cebula, Richard J.
12
Chan, Joshua
12
Marcellino, Massimiliano
12
Narayan, Paresh Kumar
12
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12
Ranjbar, Omid
12
Sarno, Lucio
12
Stock, James H.
12
Todorov, Viktor
12
Andersen, Torben
11
Basu, Susanto
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Cheung, Yin-Wong
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The journal of finance : the journal of the American Finance Association
4
Forecasting volatility in the financial markets
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of financial economics
2
Econometric reviews
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of econometrics
1
Journal of economic literature
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of financial markets
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Nonlinear dynamics and economics : proceedings of the Tenth Internat. Symposium in Economic Theory and Econometrics
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Review of derivatives research
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The American economic review
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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The review of financial studies
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ECONIS (ZBW)
22
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1
Forecasting macroeconomic variables under model instability
Pettenuzzo, Davide
;
Timmermann, Allan
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
2
,
pp. 183-201
Persistent link: https://www.econbiz.de/10011704162
Saved in:
2
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
3
Runs on money market mutual funds
Schmidt, Lawrence
;
Timmermann, Allan
;
Wermers, Russ
- In:
The American economic review
106
(
2016
)
9
,
pp. 2625-2657
Persistent link: https://www.econbiz.de/10011582095
Saved in:
4
Forecasting stock returns under economic constraints
Pettenuzzo, Davide
;
Timmermann, Allan
;
Valkanov, Rossen I.
- In:
Journal of financial economics
114
(
2014
)
3
,
pp. 517-553
Persistent link: https://www.econbiz.de/10010532691
Saved in:
5
A GARCH option pricing model with filtered historical simulation
Barone-Adesi, Giovanni
;
Engle, Robert F.
;
Mancini, Loriano
- In:
The review of financial studies
21
(
2008
)
3
,
pp. 1223-1258
Persistent link: https://www.econbiz.de/10003742228
Saved in:
6
What good is a volatility model?
Engle, Robert F.
;
Patton, Andrew J.
- In:
Forecasting volatility in the financial markets
,
(pp. 47-63)
.
2007
Persistent link: https://www.econbiz.de/10003872831
Saved in:
7
Variations in the mean and volatility of stock returns around turning points of the business cycle
Pérez-Quirós, Gabriel
;
Timmermann, Allan
- In:
Forecasting volatility in the financial markets
,
(pp. 333-350)
.
2007
Persistent link: https://www.econbiz.de/10003873006
Saved in:
8
Learning, structural instability, and present value calculations
Pesaran, M. Hashem
;
Pettenuzzo, Davide
;
Timmermann, Allan
- In:
Econometric reviews
26
(
2007
)
2
,
pp. 253-288
Persistent link: https://www.econbiz.de/10003509128
Saved in:
9
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:
10
CAViaR: conditional autoregressive value at risk by regression quantiles
Engle, Robert F.
;
Manganelli, Simone
- In:
Journal of business & economic statistics : JBES ; a …
22
(
2004
)
4
,
pp. 367-381
Persistent link: https://www.econbiz.de/10002372839
Saved in:
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