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~isPartOf:"Journal of econometrics"
~subject:"Markov-Kette"
~subject:"Stock market"
~subject:"Theory"
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Markov-Kette
Stock market
Theory
ARMA model
31
ARMA-Modell
31
Theorie
17
Time series analysis
15
Zeitreihenanalyse
15
Volatility
6
Volatilität
6
Estimation theory
5
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Abadir, Karim Maher
1
Anderson, Brian D. O.
1
Bauwens, Luc
1
Billio, Monica
1
Bollerslev, Tim
1
Cavaliere, Giuseppe
1
Cubadda, Gianluca
1
Davidson, James E. H.
1
Deistler, Manfred
1
Dijk, Dick van
1
Felsenstein, Elisabeth
1
Francq, Christian
1
Franses, Philip Hans
1
Giersbergen, Noud P. A. van
1
Golosnoy, Vasyl
1
Gribisch, Bastian
1
Hecq, Alain W. J.
1
Hsiao, Cheng
1
Kiviet, J. F.
1
Koelbl, Lukas
1
Kuersteiner, Guido M.
1
Liesenfeld, Roman
1
Martin, Vance
1
Monfort, Alain
1
Nakatsuma, Teruo
1
Nielsen, Morten Ørregaard
1
Paap, Richard
1
Palm, Franz C.
1
Pelletier, Denis
1
Robert, Christian P.
1
Talmain, Gabriel
1
Taylor, Robert
1
Wang, Cindy Shin Huei
1
Wang, Xiaohu
1
Wilkins, Nigel P.
1
Wright, Jonathan H.
1
Xiao, Weilin
1
Yu, Jun
1
Zadrozny, Peter A.
1
Zakoïan, Jean-Michel
1
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Journal of econometrics
Journal of forecasting
19
Econometric theory
16
Economics letters
15
International journal of forecasting
13
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
10
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
CoFE discussion papers
9
Discussion paper / Tinbergen Institute
7
Computational economics
6
Discussion papers in economics
6
The econometrics journal
6
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
5
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
5
Documentos de trabajo / Banco de España, Servicio de Estudios
5
Economic modelling
5
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
5
International journal of economics and financial issues : IJEFI
5
Série des documents de travail / Centre de Recherche en Économie et Statistique
5
CREATES research paper
4
Discussion papers of interdisciplinary research project 373
4
Econometric Institute research papers
4
Econometric reviews
4
Journal of banking & finance
4
Research memorandum / METEOR
4
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
4
Working paper
4
Working paper / Department of Econometrics and Business Statistics, Monash University
4
Working paper / National Bureau of Economic Research, Inc.
4
Applied financial economics
3
Banque de France Working Paper
3
CBN journal of applied statistics
3
CORE discussion paper : DP
3
CORE discussion papers : DP
3
Discussion paper
3
Europäische Hochschulschriften / 5
3
International Journal of Energy Economics and Policy : IJEEP
3
Journal of quantitative economics : official journal of the Indian Econometric Society
3
Statistical papers
3
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
3
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ECONIS (ZBW)
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1
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
Saved in:
2
The structure of multivariate AR and ARMA systems : regular and singular systems; the single and the mixed frequency case
Anderson, Brian D. O.
;
Deistler, Manfred
;
Felsenstein, …
- In:
Journal of econometrics
192
(
2016
)
2
,
pp. 366-373
Persistent link: https://www.econbiz.de/10011704722
Saved in:
3
Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data
Zadrozny, Peter A.
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 438-446
Persistent link: https://www.econbiz.de/10011704992
Saved in:
4
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
Saved in:
5
Forecasting a long memory process subject to structural breaks
Wang, Cindy Shin Huei
;
Bauwens, Luc
;
Hsiao, Cheng
- In:
Journal of econometrics
177
(
2013
)
2
,
pp. 171-184
Persistent link: https://www.econbiz.de/10010254878
Saved in:
6
The conditional autoregressive Wishart model for multivariate stock market volatility
Golosnoy, Vasyl
;
Gribisch, Bastian
;
Liesenfeld, Roman
- In:
Journal of econometrics
167
(
2012
)
1
,
pp. 211-223
Persistent link: https://www.econbiz.de/10009551424
Saved in:
7
Studying co-movements in large multivariate data prior to multivariate modelling
Cubadda, Gianluca
;
Hecq, Alain W. J.
;
Palm, Franz C.
- In:
Journal of econometrics
148
(
2009
)
1
,
pp. 25-35
Persistent link: https://www.econbiz.de/10003813089
Saved in:
8
Regime switching for dynamic correlations
Pelletier, Denis
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 445-473
Persistent link: https://www.econbiz.de/10003298605
Saved in:
9
Autocovariance functions of series and of their transforms
Abadir, Karim Maher
;
Talmain, Gabriel
- In:
Journal of econometrics
124
(
2005
)
2
,
pp. 227-252
Persistent link: https://www.econbiz.de/10002515537
Saved in:
10
How to implement the bootstrap in static or stable dynamic regression models : test statistik versus confidence region approach
Giersbergen, Noud P. A. van
;
Kiviet, J. F.
- In:
Journal of econometrics
108
(
2002
)
1
,
pp. 133-156
Persistent link: https://www.econbiz.de/10001656607
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