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~isPartOf:"Journal of econometrics"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Time series analysis"
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Stochastischer Prozess
Zeitreihenanalyse
673
Time series analysis
672
Theorie
326
Theory
326
Estimation theory
308
Schätztheorie
308
Estimation
115
Schätzung
114
Volatility
100
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100
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87
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87
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80
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70
Statistical test
63
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63
Cointegration
57
Kointegration
56
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51
Regressionsanalyse
51
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48
Factor analysis
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48
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42
ARCH-Modell
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Börsenkurs
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Panel study
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Autocorrelation
38
Autokorrelation
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Capital income
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Phillips, Peter C. B.
5
Tauchen, George Eugene
4
Todorov, Viktor
4
Yu, Jun
4
Chan, Joshua
3
Francq, Christian
3
Horváth, Lajos
3
Li, Jia
3
Lieberman, Offer
3
Zakoïan, Jean-Michel
3
Kim, Donggyu
2
Kokoszka, Piotr
2
Koop, Gary
2
Li, Guodong
2
Park, Joon Y.
2
Poon, Aubrey
2
Rice, Gregory
2
Taylor, Robert
2
Varneskov, Rasmus Tangsgaard
2
Wang, Yazhen
2
Zhu, Ke
2
Agbeyegbe, Terence D.
1
Andersen, Torben
1
Asai, Manabu
1
Bai, Jushan
1
Berenguer-Rico, Vanessa
1
Blasques, Francisco
1
Brockwell, Peter J.
1
Busetti, Fabio
1
Carriero, Andrea
1
Cerovecki, Clément
1
Chaker, Selma
1
Chambers, Marcus J.
1
Chan, Kung-sik
1
Chang, Jinyuan
1
Chang, Yoosoon
1
Chavez-Demoulin, V.
1
Chen, Rui
1
Christensen, Kim
1
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1
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Journal of econometrics
Discussion paper / Tinbergen Institute
44
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
29
Econometric reviews
28
Econometric theory
23
Working paper / Department of Econometrics and Business Statistics, Monash University
20
Economics letters
18
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Economic modelling
15
CAMA working paper series
14
Computational economics
14
International journal of forecasting
14
Working paper
14
Cowles Foundation discussion paper
12
Quantitative finance
12
The econometrics journal
12
CREATES research paper
11
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
11
Econometrics : open access journal
11
Applied economics letters
10
Journal of empirical finance
10
Energy economics
9
European journal of operational research : EJOR
9
Journal of banking & finance
9
Journal of economic dynamics & control
9
Journal of risk and financial management : JRFM
9
SFB 649 discussion paper
9
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
8
Journal of financial econometrics
8
Journal of forecasting
8
Discussion papers of interdisciplinary research project 373
7
Empirical economics : a quarterly journal of the Institute for Advanced Studies
7
International journal of theoretical and applied finance
7
Journal of applied econometrics
7
Journal of time series econometrics
7
Cowles Foundation Discussion Paper
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
Research paper series / Swiss Finance Institute
6
Risks : open access journal
6
CESifo working papers
5
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ECONIS (ZBW)
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1
Stochastic properties of nonlinear locally-nonstationary filters
Blasques, Francisco
;
Nientker, Marc
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2082-2095
Persistent link: https://www.econbiz.de/10014471445
Saved in:
2
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:
3
A new generalized exponentially weighted moving average quantile model and its statistical inference
Zhu, Ke
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471471
Saved in:
4
Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model
Fan, Yanqin
;
Han, Fang
;
Park, Hyeonseok
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014471479
Saved in:
5
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:
6
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:
7
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:
8
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
9
Understanding temporal aggregation effects on kurtosis in financial indices
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 25-46
Persistent link: https://www.econbiz.de/10013441621
Saved in:
10
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
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