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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Economics letters"
~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~person:"Chen, Yi-ting"
~person:"Yan, Yayi"
~subject:"Correlation"
~subject:"Forecasting model"
~subject:"Zeitreihenanalyse"
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Volatility
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Zeitreihenanalyse
Estimation theory
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Nichtparametrisches Verfahren
4
Nonparametric statistics
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Estimation
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Chen, Yi-ting
Yan, Yayi
Gao, Jiti
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Peng, Bin
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Li, Degui
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Yang, Yanrong
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Cai, Biqing
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Frazier, David T.
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Hwang, Eunju
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Jiang, Bin
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Leybourne, Stephen James
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Moura, Guilherme Valle
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Nadarajah, K.
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Pan, Guangming
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Economics letters
Working paper / Department of Econometrics and Business Statistics, Monash University
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of forecasting
1
The econometrics journal
1
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Nonparametric estimation and testing for time-varying VAR models
Gao, Jiti
;
Peng, Bin
;
Yan, Yayi
-
2022
Persistent link: https://www.econbiz.de/10013494327
Saved in:
2
On time-varying VAR models : estimation, testing and impulse response analysis
Yan, Yayi
;
Gao, Jiti
;
Peng, Bin
-
2021
Persistent link: https://www.econbiz.de/10012697193
Saved in:
3
Asymptotics for time-varying vector MA (∞) processes
Yan, Yayi
;
Gao, Jiti
;
Peng, Bin
-
2021
Persistent link: https://www.econbiz.de/10012697951
Saved in:
4
Parameter stability testing for multivariate dynamic time-varying models
Gao, Jiti
;
Peng, Bin
;
Yan, Yayi
-
2021
Persistent link: https://www.econbiz.de/10012668893
Saved in:
5
A class of time-varying vector moving average (∞) models
Yan, Yayi
;
Gao, Jiti
;
Peng, Bin
-
2020
Persistent link: https://www.econbiz.de/10012610863
Saved in:
6
On the optimal estimating function method for conditional correlation models
Chen, Yi-ting
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 83-125
Persistent link: https://www.econbiz.de/10010519661
Saved in:
7
Generalized moment tests for autoregressive conditional duration models
Chen, Yi-ting
;
Hsieh, Chih-sheng
- In:
Journal of financial econometrics : official journal of …
8
(
2010
)
3
,
pp. 345-391
Persistent link: https://www.econbiz.de/10003997409
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