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subject:"Volatility"
type_genre:"Article in journal"
~person:"Hendry, David F."
~person:"Robinson, Peter M."
~subject:"Time series analysis"
~subject:"USA"
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Search: subject_exact:"Estimation theory"
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Volatility
Time series analysis
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Estimation theory
64
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Hendry, David F.
Robinson, Peter M.
Phillips, Peter C. B.
30
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18
Linton, Oliver
18
Harvey, Andrew C.
16
Kumar, Dilip
16
Lütkepohl, Helmut
16
Taylor, Robert
16
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16
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14
Johansen, Søren
14
Maheswaran, S.
14
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13
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13
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13
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13
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13
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12
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11
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11
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11
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11
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11
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10
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10
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9
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9
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9
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9
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Journal of econometrics
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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1
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ECONIS (ZBW)
20
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1
Modelling non-stationary "Big Data"
Castle, Jennifer
;
Doornik, Jurgen A.
;
Hendry, David F.
- In:
International journal of forecasting
37
(
2021
)
4
,
pp. 1556-1575
Persistent link: https://www.econbiz.de/10013274313
Saved in:
2
Asymptotic theory for time series with changing mean and variance
Dalla, Violetta
;
Giraitis, Liudas
;
Robinson, Peter M.
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 281-313
Persistent link: https://www.econbiz.de/10012483387
Saved in:
3
The impact of integrated measurement errors on modeling long-run macroeconomic time series
Duffy, James A.
;
Hendry, David F.
- In:
Econometric reviews
36
(
2017
)
6/9
,
pp. 568-587
Persistent link: https://www.econbiz.de/10011795283
Saved in:
4
Series estimation under cross-sectional dependence
Lee, Jungyoon
;
Robinson, Peter M.
- In:
Journal of econometrics
190
(
2016
)
1
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011591611
Saved in:
5
Efficient inference on fractionally integrated panel data models with fixed effects
Robinson, Peter M.
;
Velasco, Carlos
- In:
Journal of econometrics
185
(
2015
)
2
,
pp. 435-452
Persistent link: https://www.econbiz.de/10011348967
Saved in:
6
The estimation of misspecified long memory models
Robinson, Peter M.
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 225-230
Persistent link: https://www.econbiz.de/10010256170
Saved in:
7
Econometric modelling of time series with outlying observations
Hendry, David F.
;
Mizon, Grayham E.
- In:
Journal of time series econometrics
3
(
2011
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009623578
Saved in:
8
Inference on nonparametrically trending time series with fractional errors
Robinson, Peter M.
- In:
Econometric theory
25
(
2009
)
6
,
pp. 1716-1733
Persistent link: https://www.econbiz.de/10003904438
Saved in:
9
Log income vs. linear income : an application of the encompassing principle
Ermini, Luigi
;
Hendry, David F.
- In:
Oxford bulletin of economics and statistics
70
(
2008
),
pp. 807-827
Persistent link: https://www.econbiz.de/10003787676
Saved in:
10
Robust covariance matrix estimation : HAC estimates with long memory/antipersistence correction
Robinson, Peter M.
- In:
Econometric theory
21
(
2005
)
1
,
pp. 171-180
Persistent link: https://www.econbiz.de/10002674673
Saved in:
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