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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of economic dynamics & control"
~subject:"Time series analysis"
~subject:"USA"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
Time series analysis
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Estimation theory
91
Schätztheorie
91
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36
Theory
36
Estimation
17
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16
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13
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11
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Lütkepohl, Helmut
3
Cogley, Timothy
2
Bruns, Martin
1
Cannon, Patrick
1
Chen, Baoline
1
Coakley, Jerry
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1
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1
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1
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1
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1
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1
Ye, Shiqi
1
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Journal of economic dynamics & control
Journal of econometrics
390
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
233
Econometric theory
173
Economics letters
166
Econometric reviews
100
International journal of forecasting
74
Journal of forecasting
65
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
59
Applied economics letters
56
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
55
The review of economics and statistics
54
Econometrics : open access journal
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Journal of applied econometrics
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The econometrics journal
48
Applied economics
46
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
43
Journal of the American Statistical Association : JASA
41
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40
Journal of time series econometrics
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37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
32
Oxford bulletin of economics and statistics
29
Journal of banking & finance
26
American journal of agricultural economics
24
Finance research letters
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Journal of risk and financial management : JRFM
21
The review of economic studies
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The journal of futures markets
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International economic review
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International journal of economics and financial issues : IJEFI
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Journal of financial and quantitative analysis : JFQA
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Quantitative economics : QE ; journal of the Econometric Society
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of finance : the journal of the American Finance Association
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International journal of theoretical and applied finance
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ECONIS (ZBW)
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1
Heteroskedastic proxy vector autoregressions : an identification-robust test for time-varying impulse responses in the presence of multiple proxies
Bruns, Martin
;
Lütkepohl, Helmut
- In:
Journal of economic dynamics & control
161
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10015050043
Saved in:
2
Black-box Bayesian inference for agent-based models
Dyer, Joel
;
Cannon, Patrick
;
Farmer, J. Doyne
;
Schmon, …
- In:
Journal of economic dynamics & control
161
(
2024
),
pp. 1-36
Persistent link: https://www.econbiz.de/10015050047
Saved in:
3
Identification of vector autoregressive models with nonlinear contemporaneous structure
Cordoni, Francesco
;
Dorémus, Nicolas
;
Moneta, Alessio
- In:
Journal of economic dynamics & control
162
(
2024
),
pp. 1-24
Persistent link: https://www.econbiz.de/10015050285
Saved in:
4
Fast estimation of a large TVP-VAR model with score-driven volatilities
Zheng, Tingguo
;
Ye, Shiqi
;
Hong, Yongmiao
- In:
Journal of economic dynamics & control
157
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014495380
Saved in:
5
Impulse response analysis in conditional quantile models with an application to monetary policy
Lee, Dong Jin
;
Kim, Tae-hwan
;
Mizen, Paul
- In:
Journal of economic dynamics & control
127
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012668504
Saved in:
6
Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
Lütkepohl, Helmut
;
Schlaak, Thore
- In:
Journal of economic dynamics & control
101
(
2019
),
pp. 41-61
Persistent link: https://www.econbiz.de/10012131020
Saved in:
7
Mortgage default in an estimated model of the U.S. housing market
Lambertini, Luisa
;
Nuguer, Victoria
;
Uysal, Pinar
- In:
Journal of economic dynamics & control
76
(
2017
),
pp. 171-201
Persistent link: https://www.econbiz.de/10011817214
Saved in:
8
Testing for identification in SVAR-GARCH models
Lütkepohl, Helmut
;
Milunovich, George
- In:
Journal of economic dynamics & control
73
(
2016
),
pp. 241-258
Persistent link: https://www.econbiz.de/10011709107
Saved in:
9
Measuring high-frequency income risk from low-frequency data
Klein, Paul
;
Telyukova, Irina A.
- In:
Journal of economic dynamics & control
37
(
2013
)
3
,
pp. 535-542
Persistent link: https://www.econbiz.de/10009710498
Saved in:
10
Heterogeneity in stock prices : a STAR model with multivariate transition function
Lof, Matthijs
- In:
Journal of economic dynamics & control
36
(
2012
)
12
,
pp. 1845-1854
Persistent link: https://www.econbiz.de/10009701922
Saved in:
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