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~isPartOf:"Journal of econometrics"
~subject:"Kointegration"
~subject:"Volatility"
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Search: subject:"Time series analysis"
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Kointegration
Volatility
Time series analysis
661
Zeitreihenanalyse
661
Theorie
319
Theory
319
Estimation theory
307
Schätztheorie
307
Estimation
115
Schätzung
114
Volatilität
100
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87
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87
Nichtparametrisches Verfahren
79
Nonparametric statistics
79
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70
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70
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63
Statistischer Test
63
Cointegration
57
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51
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51
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51
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51
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48
Factor analysis
48
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48
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48
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42
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153
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Todorov, Viktor
7
Li, Jia
6
Andersen, Torben
5
Kim, Donggyu
5
Li, Yingying
5
Tauchen, George Eugene
5
Barigozzi, Matteo
4
Bollerslev, Tim
4
Hallin, Marc
4
McAleer, Michael
4
Patton, Andrew J.
4
Phillips, Peter C. B.
4
Taylor, Robert
4
Fan, Jianqing
3
Kong, Xin-Bing
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Asai, Manabu
2
Boswijk, Herman Peter
2
Cavaliere, Giuseppe
2
Chambers, Marcus J.
2
Chan, Joshua
2
Christensen, Kim
2
Clinet, Simon
2
Ergemen, Yunus Emre
2
Francq, Christian
2
Gao, Jiti
2
Harris, David
2
Hounyo, Ulrich
2
Hualde, Javier
2
Johansen, Søren
2
Kongsted, Hans Christian
2
Li, Guodong
2
Li, Wai Keung
2
Liu, Zhi
2
Meddahi, Nour
2
Medeiros, Marcelo C.
2
Mykland, Per A.
2
Park, Joon Y.
2
Paruolo, Paolo
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Journal of econometrics
Economic modelling
93
Energy economics
87
International journal of forecasting
76
Applied economics
64
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
63
Economics letters
60
Econometric reviews
51
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
51
Journal of empirical finance
50
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
42
Finance research letters
42
Applied economics letters
41
Journal of forecasting
40
The North American journal of economics and finance : a journal of financial economics studies
39
Econometric theory
35
International Journal of Energy Economics and Policy : IJEEP
35
International review of economics & finance : IREF
33
International review of financial analysis
32
Econometrics : open access journal
31
Journal of financial econometrics
29
Research in international business and finance
29
Journal of banking & finance
28
Quantitative finance
26
Computational economics
25
International journal of economics and financial issues : IJEFI
25
Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
Journal of risk and financial management : JRFM
25
The empirical economics letters : a monthly international journal of economics
24
The econometrics journal
23
Journal of economic dynamics & control
20
Applied financial economics
19
CBN journal of applied statistics
18
International journal of finance & economics : IJFE
18
Journal of applied econometrics
18
Journal of international financial markets, institutions & money
17
Empirical economics : a quarterly journal of the Institute for Advanced Studies
16
International journal of economics and finance
16
Journal of economics and finance
15
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
153
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1
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153
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1
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
Saved in:
2
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
3
Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
Saved in:
4
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
5
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
6
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
7
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
8
Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik
;
Dijk, Dick van
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
Saved in:
9
Fully modified least squares cointegrating parameter estimation in multicointegrated systems
Kheifets, Igor L.
;
Phillips, Peter C. B.
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 300-319
Persistent link: https://www.econbiz.de/10014339925
Saved in:
10
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
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