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type_genre:"Article in journal"
~person:"Lütkepohl, Helmut"
~subject:"Estimation theory"
~subject:"Volatilität"
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Estimation theory
Volatilität
Theorie
55
Theory
55
VAR model
25
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25
Time series analysis
22
Zeitreihenanalyse
22
Cointegration
20
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20
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13
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7
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Lütkepohl, Helmut
McAleer, Michael
41
Phillips, Peter C. B.
32
Andrews, Donald W. K.
30
Newey, Whitney K.
27
Bollerslev, Tim
26
Li, Qi
26
Baltagi, Badi H.
23
Gupta, Rangan
23
Gouriéroux, Christian
21
Ohtani, Kazuhiro
21
Pesaran, M. Hashem
21
Ghysels, Eric
20
Giles, David E. A.
20
Granger, C. W. J.
20
Krämer, Walter
19
Horowitz, Joel
18
Perron, Pierre
18
Diebold, Francis X.
17
King, Maxwell L.
17
Lee, Lung-fei
17
Robinson, Peter M.
17
Ullah, Aman
17
Linton, Oliver
16
Srivastava, Virendra K.
16
Tauchen, George Eugene
16
Wooldridge, Jeffrey M.
16
Andersen, Torben
15
Asai, Manabu
15
Bekaert, Geert
15
Caporale, Guglielmo Maria
15
Franses, Philip Hans
15
Hahn, Jinyong
15
Schmidt, Peter
15
Aït-Sahalia, Yacine
14
Bera, Anil K.
14
Engle, Robert F.
14
Kelejian, Harry H.
14
Renault, Eric
14
Bai, Jushan
13
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Econometric theory
3
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3
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2
Oxford bulletin of economics and statistics
2
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1
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1
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The review of economics and statistics
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ECONIS (ZBW)
16
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1
Choosing between different time-varying volatility models for structural vector autoregressive analysis
Lütkepohl, Helmut
;
Schlaak, Thore
- In:
Oxford bulletin of economics and statistics
80
(
2018
)
4
,
pp. 715-735
Persistent link: https://www.econbiz.de/10011969506
Saved in:
2
Identifying monetary policy shocks via changes in volatility
Lanne, Markku
;
Lütkepohl, Helmut
- In:
Journal of money, credit and banking : JMCB
40
(
2008
)
6
,
pp. 1131-1149
Persistent link: https://www.econbiz.de/10003745912
Saved in:
3
Practical problems with reduced-rank ML estimators for cointegration parameters and a simple alternative
Brüggemann, Ralf
;
Lütkepohl, Helmut
- In:
Oxford bulletin of economics and statistics
67
(
2005
)
5
,
pp. 673-690
Persistent link: https://www.econbiz.de/10003142844
Saved in:
4
Comparison of bootstrap confidence intervals for impulse responses of German monetary systems
Benkwitz, Alexander
;
Lütkepohl, Helmut
;
Wolters, Jürgen
- In:
Macroeconomic dynamics
5
(
2001
)
1
,
pp. 81-100
Persistent link: https://www.econbiz.de/10001570831
Saved in:
5
Problems related to confidence intervals for impulse responses of autoregressive processes
Benkwitz, Alexander
;
Lütkepohl, Helmut
;
Neumann, Michael H.
- In:
Econometric reviews
19
(
2000
)
1
,
pp. 69-103
Persistent link: https://www.econbiz.de/10001455663
Saved in:
6
Local power of likelihood ratio tests for the cointegrating rank of a VAR process
Saikkonen, Pentti
;
Lütkepohl, Helmut
- In:
Econometric theory
15
(
1999
)
1
,
pp. 50-78
Persistent link: https://www.econbiz.de/10001381809
Saved in:
7
Statistische Modellierung von Volatilitäten
Lütkepohl, Helmut
- In:
Allgemeines statistisches Archiv : AStA ; journal of …
81
(
1997
)
1
,
pp. 62-84
Persistent link: https://www.econbiz.de/10001217275
Saved in:
8
Modified Wald tests under nonregular conditions
Lütkepohl, Helmut
- In:
Journal of econometrics
78
(
1997
)
2
,
pp. 315-332
Persistent link: https://www.econbiz.de/10001219971
Saved in:
9
Impulse response analysis in infinite order cointegrated vector autoregressive processes
Lütkepohl, Helmut
- In:
Journal of econometrics
81
(
1997
)
1
,
pp. 127-157
Persistent link: https://www.econbiz.de/10001336799
Saved in:
10
Nonparametric dynamic modelling
Lütkepohl, Helmut
(
contributor
)
- In:
Journal of econometrics
81
(
1997
)
1
Persistent link: https://www.econbiz.de/10001229341
Saved in:
1
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