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subject:"Volatility"
type_genre:"Article in journal"
~person:"Kapetanios, George"
~person:"Nielsen, Morten Ørregaard"
~subject:"Zeitreihenanalyse"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
Zeitreihenanalyse
Estimation theory
44
Schätztheorie
44
Time series analysis
17
Estimation
9
Schätzung
9
Bootstrap approach
7
Bootstrap-Verfahren
7
Nichtparametrisches Verfahren
7
Nonparametric statistics
7
Regression analysis
7
Regressionsanalyse
7
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6
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6
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5
Clusteranalyse
5
Induktive Statistik
5
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5
Regionales Cluster
5
Statistical inference
5
Theorie
5
Theory
5
ARMA model
4
ARMA-Modell
4
Clustered data
4
Cointegration
4
Fractional integration
4
Kointegration
4
Wild cluster bootstrap
4
CRVE
3
Cluster-robust variance estimator
3
Correlation
3
Korrelation
3
Robust inference
3
Statistical test
3
Statistischer Test
3
Structural break
3
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3
VAR model
3
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3
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Article
18
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Article in journal
Aufsatz in Zeitschrift
Arbeitspapier
39
Graue Literatur
39
Non-commercial literature
39
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39
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English
18
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Kapetanios, George
Nielsen, Morten Ørregaard
Phillips, Peter C. B.
29
Leybourne, Stephen James
18
Linton, Oliver
18
Harvey, Andrew C.
16
Kumar, Dilip
16
Lütkepohl, Helmut
16
Taylor, Robert
16
Teräsvirta, Timo
16
Johansen, Søren
14
Maheswaran, S.
14
Chambers, Marcus J.
13
Gao, Jiti
13
Hassler, Uwe
13
Li, Jia
13
Perron, Pierre
13
Tauchen, George Eugene
13
Xiao, Zhijie
13
Ghysels, Eric
12
Todorov, Viktor
12
Koopman, Siem Jan
11
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
Zakoïan, Jean-Michel
10
Fan, Jianqing
9
Franses, Philip Hans
9
Hafner, Christian M.
9
Harvey, David I.
9
Hendry, David F.
9
Nelson, Daniel B.
9
Westerlund, Joakim
9
Andersen, Torben
8
Baltagi, Badi H.
8
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Econometric theory
3
Econometric reviews
2
Journal of applied econometrics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of econometrics
2
Journal of empirical finance
2
Economics letters
1
International journal of forecasting
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
1
The econometrics journal
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ECONIS (ZBW)
18
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1
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 880-896
Persistent link: https://www.econbiz.de/10013534577
Saved in:
2
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:
3
Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard
;
Seo, Won-Ki
;
Seong, Dakyung
- In:
Econometric theory
39
(
2023
)
3
,
pp. 443-480
Persistent link: https://www.econbiz.de/10014306644
Saved in:
4
Adaptive inference in heteroscedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 50-65
Persistent link: https://www.econbiz.de/10012804084
Saved in:
5
Truncated sum of squares estimation of fractional time series models with deterministic trends
Hualde, Javier
;
Nielsen, Morten Ørregaard
- In:
Econometric theory
36
(
2020
)
4
,
pp. 751-772
Persistent link: https://www.econbiz.de/10012258429
Saved in:
6
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:
7
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:
8
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
198
(
2017
)
1
,
pp. 165-188
Persistent link: https://www.econbiz.de/10011818374
Saved in:
9
The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
Johansen, Søren
;
Nielsen, Morten Ørregaard
- In:
Econometric theory
32
(
2016
)
5
,
pp. 1095-1139
Persistent link: https://www.econbiz.de/10011661716
Saved in:
10
A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets
Dolatabadi, Sepideh
;
Nielsen, Morten Ørregaard
;
Xu, Ke
- In:
Journal of empirical finance
38
(
2016
),
pp. 623-639
Persistent link: https://www.econbiz.de/10011663388
Saved in:
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