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subject:"Volatility"
type_genre:"Article in journal"
~person:"Robinson, Peter M."
~subject:"Time series analysis"
~subject:"USA"
~type_genre:"Working Paper"
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Search: subject_exact:"Estimation theory"
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Volatility
Time series analysis
USA
Estimation theory
61
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61
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27
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27
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15
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Robinson, Peter M.
Phillips, Peter C. B.
58
Gao, Jiti
50
Koopman, Siem Jan
42
Teräsvirta, Timo
37
Johansen, Søren
36
Lütkepohl, Helmut
36
Nielsen, Morten Ørregaard
33
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30
Linton, Oliver
29
Lucas, André
27
Sibbertsen, Philipp
25
Taylor, Robert
25
Kapetanios, George
23
Maravall Herrero, Agustín
23
Pesaran, M. Hashem
23
Swanson, Norman R.
23
Gouriéroux, Christian
22
Koop, Gary
22
Bauwens, Luc
21
Härdle, Wolfgang
21
Chambers, Marcus J.
20
Diebold, Francis X.
19
Ghysels, Eric
19
Harvey, Andrew C.
19
Leybourne, Stephen James
19
McAleer, Michael
19
Sentana, Enrique
19
Hassler, Uwe
18
Peng, Bin
18
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17
Tauchen, George Eugene
17
Cavaliere, Giuseppe
16
Hafner, Christian M.
16
Kumar, Dilip
16
Perron, Pierre
16
Todorov, Viktor
16
Zakoïan, Jean-Michel
16
Andersen, Torben
15
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15
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5
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2
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ECONIS (ZBW)
15
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1
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:
2
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:
3
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:
4
Correlation testing in time series, spatial and cross-sectional data
Robinson, Peter M.
(
contributor
)
-
2009
Persistent link: https://www.econbiz.de/10003805787
Saved in:
5
Inference on nonparametrically trending time series with frational errors
Robinson, Peter M.
(
contributor
)
-
2009
Persistent link: https://www.econbiz.de/10003805794
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
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:
8
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:
9
Nonlinear time series with long memory : a model for stochastic volatility
Robinson, Peter M.
;
Zaffaroni, Paolo
-
1997
Persistent link: https://www.econbiz.de/10000954585
Saved in:
10
Rate optimal semiparametric estimation of the memory parameter of the Gaussian time series with long range dependence
Giraitis, Liudas
;
Robinson, Peter M.
;
Samarov, Alexander
-
1997
Persistent link: https://www.econbiz.de/10000959150
Saved in:
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