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person:"Craig, Ben R."
subject:"Exchange rate"
~isPartOf:"CEMFI working paper"
~isPartOf:"Discussion paper / School of Economics, The University of New South Wales"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~person:"Fan, Yanqin"
~person:"Gouriéroux, Christian"
~person:"Imbens, Guido"
~person:"Kohn, Robert"
~person:"Park, Joon Y."
~person:"Taylor, Robert"
~person:"Westerlund, Joakim"
~subject:"Bootstrap approach"
~subject:"Börsenkurs"
~subject:"Forecasting model"
~subject:"Monte Carlo simulation"
~subject:"Statistical inference"
~subject:"Zeitreihenanalyse"
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Exchange rate
Bootstrap approach
Börsenkurs
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Estimation theory
67
Schätztheorie
67
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18
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16
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Craig, Ben R.
Fan, Yanqin
Gouriéroux, Christian
Imbens, Guido
Kohn, Robert
Park, Joon Y.
Taylor, Robert
Westerlund, Joakim
Phillips, Peter C. B.
14
Linton, Oliver
10
Francq, Christian
9
Leybourne, Stephen James
8
Todorov, Viktor
8
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7
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7
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7
Sentana, Enrique
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Zakoïan, Jean-Michel
7
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6
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6
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6
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6
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Li, Yingying
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Shephard, Neil G.
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Xiao, Zhijie
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4
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CEMFI working paper
Discussion paper / School of Economics, The University of New South Wales
Journal of econometrics
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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8
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1
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:
2
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:
3
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:
4
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:
5
Partial identification and inference in censored quantile regression
Fan, Yanqin
;
Liu, Ruixuan
- In:
Journal of econometrics
206
(
2018
)
1
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012110350
Saved in:
6
Testing for parameter instability in predictive regression models
Georgiev, Iliyan
;
Harvey, David I.
;
Leybourne, Stephen James
- In:
Journal of econometrics
204
(
2018
)
1
,
pp. 101-118
Persistent link: https://www.econbiz.de/10011974719
Saved in:
7
Statistical inference for independent component analysis : application to structural VAR models
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
- In:
Journal of econometrics
196
(
2017
)
1
,
pp. 111-126
Persistent link: https://www.econbiz.de/10011743785
Saved in:
8
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
198
(
2017
)
1
,
pp. 165-188
Persistent link: https://www.econbiz.de/10011818374
Saved in:
9
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
Aït-Sahalia, Yacine
;
Park, Joon Y.
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 119-138
Persistent link: https://www.econbiz.de/10011616006
Saved in:
10
A reexamination of stock return predictability
Choi, Yongok
;
Jacewitz, Stefan
;
Park, Joon Y.
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 168-189
Persistent link: https://www.econbiz.de/10011617132
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