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subject:"Volatility"
type_genre:"Article in journal"
~person:"Fan, Jianqing"
~person:"Kapetanios, George"
~subject:"Börsenkurs"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Volatility
Börsenkurs
Zeitreihenanalyse
Estimation theory
48
Schätztheorie
48
Time series analysis
15
Nichtparametrisches Verfahren
13
Nonparametric statistics
13
Regression analysis
12
Regressionsanalyse
12
Correlation
11
Korrelation
11
Estimation
10
Schätzung
10
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8
Prognoseverfahren
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Volatilität
6
Theorie
5
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5
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4
Factor analysis
4
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4
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Article in journal
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Fan, Jianqing
Kapetanios, George
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
Maheswaran, S.
15
Johansen, Søren
14
Chambers, Marcus J.
13
Gao, Jiti
13
Hassler, Uwe
13
Perron, Pierre
13
Tauchen, George Eugene
13
Ghysels, Eric
12
Koopman, Siem Jan
12
Li, Jia
12
Todorov, Viktor
12
Xiao, Zhijie
12
Zakoïan, Jean-Michel
12
McAleer, Michael
11
Zhu, Ke
11
Baillie, Richard
10
Bauwens, Luc
10
Francq, Christian
10
Koop, Gary
10
Lucas, André
10
Robinson, Peter M.
10
Franses, Philip Hans
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.
8
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Journal of econometrics
4
Journal of the American Statistical Association : JASA
4
Econometric reviews
2
The econometrics journal
2
Economics letters
1
International journal of forecasting
1
Journal of applied econometrics
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
18
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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
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:
3
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:
4
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:
5
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
Saved in:
6
Inference for impulse response coefficients from multivariate fractionally integrated processes
Baillie, Richard
;
Kapetanios, George
;
Papailias, Fotis
- In:
Econometric reviews
36
(
2017
)
1/3
,
pp. 60-84
Persistent link: https://www.econbiz.de/10011794639
Saved in:
7
An overview of the estimation of large covariance and precision matrices
Fan, Jianqing
;
Liao, Yuan
;
Liu, Han
- In:
The econometrics journal
19
(
2016
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011487485
Saved in:
8
Exponent of cross-sectional dependence : estimation and inference
Bailey, Natalia
;
Kapetanios, George
;
Pesaran, M. Hashem
- In:
Journal of applied econometrics
31
(
2016
)
6
,
pp. 929-960
Persistent link: https://www.econbiz.de/10011686163
Saved in:
9
On the estimation of short memory components in long memory time series models
Baillie, Richard
;
Kapetanios, George
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
4
,
pp. 365-375
Persistent link: https://www.econbiz.de/10011649095
Saved in:
10
Bandwidth selection by cross-validation for forecasting long memory financial time series
Baillie, Richard
;
Kapetanios, George
;
Papailias, Fotis
- In:
Journal of empirical finance
29
(
2014
),
pp. 129-143
Persistent link: https://www.econbiz.de/10011300500
Saved in:
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