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subject:"Volatility"
type_genre:"Article in journal"
~person:"Fan, Jianqing"
~person:"Kapetanios, George"
~person:"Xiao, Zhijie"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Volatility
Zeitreihenanalyse
Estimation theory
71
Schätztheorie
71
Time series analysis
26
Nichtparametrisches Verfahren
22
Nonparametric statistics
22
Regression analysis
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Fan, Jianqing
Kapetanios, George
Xiao, Zhijie
Phillips, Peter C. B.
29
Leybourne, Stephen James
18
Linton, Oliver
18
Harvey, Andrew C.
16
Kumar, Dilip
16
Taylor, Robert
16
Teräsvirta, Timo
16
Lütkepohl, Helmut
15
Johansen, Søren
14
Maheswaran, S.
14
Chambers, Marcus J.
13
Gao, Jiti
13
Hassler, Uwe
13
Perron, Pierre
13
Tauchen, George Eugene
13
Li, Jia
12
Todorov, Viktor
12
Ghysels, Eric
11
Koopman, Siem Jan
11
McAleer, Michael
11
Zhu, Ke
11
Baillie, Richard
10
Bauwens, Luc
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Francq, Christian
10
Koop, Gary
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Lucas, André
10
Robinson, Peter M.
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Zakoïan, Jean-Michel
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9
Hafner, Christian M.
9
Harvey, David I.
9
Hendry, David F.
9
Nelson, Daniel B.
9
Nielsen, Morten Ørregaard
9
Westerlund, Joakim
9
Andersen, Torben
8
Baltagi, Badi H.
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Journal of econometrics
9
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6
The econometrics journal
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Cambridge working papers in economics
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Econometric theory
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Economics letters
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International journal of forecasting
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
30
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1
Forecasting in factor augmented regressions under structural change
Massacci, Daniele
;
Kapetanios, George
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 62-76
Persistent link: https://www.econbiz.de/10014450259
Saved in:
2
Testing for trend specifications in panel data models
Wu, Jilin
;
Song, Xiaojun
;
Xiao, Zhijie
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 453-466
Persistent link: https://www.econbiz.de/10014448241
Saved in:
3
Copula-based time series with filtered nonstationarity
Chen, Xiaohong
;
Xiao, Zhijie
;
Wang, Bo
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 127-155
Persistent link: https://www.econbiz.de/10013441732
Saved in:
4
Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity
Linton, Oliver
;
Xiao, Zhijie
-
2019
Persistent link: https://www.econbiz.de/10012692312
Saved in:
5
Factor-adjusted regularized model selection
Fan, Jianqing
;
Ke, Yuan
;
Wang, Kaizheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 71-85
Persistent link: https://www.econbiz.de/10012439637
Saved in:
6
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu
;
Fan, Jianqing
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
Saved in:
7
Structured volatility matrix estimation for non-synchronized high-frequency financial data
Fan, Jianqing
;
Kim, Donggyu
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 61-78
Persistent link: https://www.econbiz.de/10012302521
Saved in:
8
Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity
Linton, Oliver
;
Xiao, Zhijie
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 608-631
Persistent link: https://www.econbiz.de/10012304598
Saved in:
9
Testing for changing volatility
Wu, Jilin
;
Xiao, Zhijie
- In:
The econometrics journal
21
(
2018
)
2
,
pp. 192-217
Persistent link: https://www.econbiz.de/10012166609
Saved in:
10
Estimation and forecasting in vector autoregressive moving average models for rich datasets
Dias, Gustavo Fruet
;
Kapetanios, George
- In:
Journal of econometrics
202
(
2018
)
1
,
pp. 75-91
Persistent link: https://www.econbiz.de/10011974554
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