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person:"Corsi, Fulvio"
subject:"Volatilität"
~person:"Taylor, Robert"
~subject:"ARCH model"
~subject:"Capital income"
~subject:"Stochastic process"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Volatilität
ARCH model
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Estimation theory
27
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27
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19
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19
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9
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9
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9
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9
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6
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Corsi, Fulvio
Taylor, Robert
Francq, Christian
19
Kumar, Dilip
16
Maheswaran, S.
16
Zakoïan, Jean-Michel
15
Li, Jia
12
Tauchen, George Eugene
12
Todorov, Viktor
12
Linton, Oliver
11
McAleer, Michael
9
Andersen, Torben
8
Hafner, Christian M.
8
Li, Yingying
8
Ling, Shiqing
8
Liu, Zhi
8
Rahbek, Anders
8
Teräsvirta, Timo
8
Kim, Donggyu
7
Koopman, Siem Jan
7
Li, Dong
7
Mykland, Per A.
7
Zhu, Ke
7
Ardia, David
6
Bollerslev, Tim
6
Demetrescu, Matei
6
Fan, Jianqing
6
Ghysels, Eric
6
Kristensen, Dennis
6
Li, Wai Keung
6
Tsionas, Efthymios G.
6
Wang, Yazhen
6
Asai, Manabu
5
Bauwens, Luc
5
Chan, Ngai Hang
5
Elliott, Robert J.
5
Engle, Robert F.
5
Horváth, Lajos
5
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5
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5
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Journal of econometrics
5
Econometric reviews
1
Econometric theory
1
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
10
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1
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
De Angelis, Luca
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 725-757
Persistent link: https://www.econbiz.de/10014420355
Saved in:
2
Extensions to IVX methods of inference for return predictability
Demetrescu, Matei
;
Georgiev, Iliyan
;
Rodrigues, Paulo M. M.
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014471800
Saved in:
3
Transformed regression-based long-horizon predictability tests
Demetrescu, Matei
;
Rodrigues, Paulo M. M.
;
Taylor, Robert
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10014471812
Saved in:
4
Testing for episodic predictability in stock returns
Demetrescu, Matei
;
Georgiev, Iliyan
;
Rodrigues, Paulo M. M.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 85-113
Persistent link: https://www.econbiz.de/10013441625
Saved in:
5
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
6
A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo
;
Buccheri, Giuseppe
;
Corsi, Fulvio
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 569-586
Persistent link: https://www.econbiz.de/10012792854
Saved in:
7
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:
8
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano
;
Corsi, Fulvio
;
Mira, Antonietta
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
Saved in:
9
Testing for seasonal unit roots by frequency domain regression
Chambers, Marcus J.
;
Ercolani, Joanne S.
;
Taylor, Robert
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 243-258
Persistent link: https://www.econbiz.de/10010256166
Saved in:
10
Testing for unit roots in the presence of a possible break in trend and nonstationary volatility
Cavaliere, Giuseppe
;
Harvey, David I.
;
Leybourne, …
- In:
Econometric theory
27
(
2011
)
5
,
pp. 957-991
Persistent link: https://www.econbiz.de/10009379762
Saved in:
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