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isPartOf:"Journal of econometrics"
~isPartOf:"IMF working papers"
~isPartOf:"International journal of finance & economics : IJFE"
~person:"Taylor, Robert"
~subject:"Efficient market hypothesis"
~subject:"Finanzmarkt"
~subject:"Volatility"
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Efficient market hypothesis
Finanzmarkt
Volatility
Volatilität
5
Bootstrap approach
3
Bootstrap-Verfahren
3
Time series analysis
3
Zeitreihenanalyse
3
Cointegration
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Fractional integration
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Level break fraction
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Rohstoffderivat
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Rohstoffmarkt
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Schätztheorie
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Taylor, Robert
Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Andersen, Torben
12
Aït-Sahalia, Yacine
11
McAleer, Michael
9
Meddahi, Nour
8
Xiu, Dacheng
8
Li, Jia
7
Ma, Feng
7
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7
Patton, Andrew J.
7
Arezki, Rabah
6
Asai, Manabu
6
Cavaliere, Giuseppe
6
Ghysels, Eric
6
Kim, Donggyu
6
Shephard, Neil G.
6
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
Li, Yingying
5
Liang, Chao
5
Liang, Hong
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Francq, Christian
4
Gallo, Giampiero M.
4
Jasiak, Joann
4
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4
Li, Xiafei
4
Linton, Oliver
4
Maheu, John M.
4
Park, Joon Y.
4
Rahbek, Anders
4
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4
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Journal of econometrics
IMF working papers
International journal of finance & economics : IJFE
Econometric reviews
4
Econometric theory
3
Discussion papers / Department of Economics, University of Copenhagen
2
Research memorandum / METEOR, Universiteit Maastricht, Faculty of Economics and Business Administration
2
CREATES research paper
1
Cowles Foundation discussion paper
1
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1
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ECONIS (ZBW)
5
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1
Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
Harris, David
;
Kew, Hsein
;
Taylor, Robert
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 354-388
Persistent link: https://www.econbiz.de/10012483394
Saved in:
2
Inference on co-integration parameters in heteroskedastic vector autoregressions
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
Rahbek, Anders
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 64-85
Persistent link: https://www.econbiz.de/10011615672
Saved in:
3
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:
4
Testing for co-integration in vector autoregressions with non-stationary volatility
Cavaliere, Giuseppe
;
Rahbek, Anders
;
Taylor, Robert
- In:
Journal of econometrics
158
(
2010
)
1
,
pp. 7-24
Persistent link: https://www.econbiz.de/10008826880
Saved in:
5
Testing for a change in persistence in the presence of non-stationary volatility
Cavaliere, Giuseppe
;
Taylor, Robert
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 84-98
Persistent link: https://www.econbiz.de/10003783787
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