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person:"Craig, Ben R."
subject:"Exchange rate"
~isPartOf:"Economics letters"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~isPartOf:"Journal of international financial markets, institutions & money"
~person:"Imbens, Guido"
~person:"Li, Dong"
~person:"Park, Joon Y."
~person:"Sun, Yixiao"
~person:"Taylor, Robert"
~person:"Zakoïan, Jean-Michel"
~subject:"ARCH model"
~subject:"Börsenkurs"
~subject:"Estimation theory"
~subject:"Forecasting model"
~subject:"Monte Carlo simulation"
~subject:"Statistical inference"
~subject:"Zeitreihenanalyse"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Exchange rate
ARCH model
Börsenkurs
Estimation theory
Forecasting model
Monte Carlo simulation
Statistical inference
Zeitreihenanalyse
Schätztheorie
57
Time series analysis
21
ARCH-Modell
12
Statistical test
11
Statistischer Test
11
Volatility
11
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11
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10
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10
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57
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Craig, Ben R.
Imbens, Guido
Li, Dong
Park, Joon Y.
Sun, Yixiao
Taylor, Robert
Zakoïan, Jean-Michel
Phillips, Peter C. B.
35
Lee, Lung-fei
26
Li, Qi
24
Linton, Oliver
23
Su, Liangjun
23
Chen, Songnian
22
Baltagi, Badi H.
19
Robinson, Peter M.
18
Fan, Yanqin
15
Cai, Zongwu
14
Francq, Christian
14
Gao, Jiti
14
Hahn, Jinyong
14
Krämer, Walter
14
Pesaran, M. Hashem
14
Ullah, Aman
14
Westerlund, Joakim
14
Wooldridge, Jeffrey M.
14
Chen, Xiaohong
13
Chib, Siddhartha
12
Schmidt, Peter
12
Tu, Yundong
12
White, Halbert
12
Zhang, Xinyu
12
Andrews, Donald W. K.
11
Florens, Jean-Pierre
11
Gouriéroux, Christian
11
Hall, Alastair R.
11
Kumbhakar, Subal
11
Leybourne, Stephen James
11
Giles, David E. A.
10
Hong, Han
10
Hsiao, Cheng
10
Li, Kunpeng
10
Newey, Whitney K.
10
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10
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Economics letters
Journal of econometrics
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of international financial markets, institutions & money
Econometric theory
20
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
11
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
9
Econometric reviews
4
The econometrics journal
4
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3
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2
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2
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2
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2
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2
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1
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1
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1
Economic review
1
Energy economics
1
Essays in honor of Joon Y. Park : econometric theory
1
Essays in honor of Peter C. B. Phillips
1
Evaluation of training and other social programmes
1
Handbook of financial time series
1
Journal de la Société de Statistique de Paris
1
Journal of applied econometrics
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1
Management science : journal of the Institute for Operations Research and the Management Sciences
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Symposium on simulation methods in econometrics
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The journal of asset management : a major new, international quarterly journal for the financial community
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ECONIS (ZBW)
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1
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
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
Maximum likelihood estimation for α-stable double autoregressive models
Li, Dong
;
Tao, Yuxin
;
Yang, Yaxing
;
Zhang, Rongmao
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10014332316
Saved in:
5
Design-based analysis in Difference-In-Differences settings with staggered adoption
Athey, Susan
;
Imbens, Guido
- In:
Journal of econometrics
226
(
2022
)
1
,
pp. 62-79
Persistent link: https://www.econbiz.de/10013440512
Saved in:
6
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
Saved in:
7
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:
8
Nonparametric estimation of jump diffusion models
Park, Joon Y.
;
Wang, Bin
- In:
Journal of econometrics
222
(
2021
)
1,3
,
pp. 688-715
Persistent link: https://www.econbiz.de/10012619778
Saved in:
9
Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
Jiang, Feiyu
;
Li, Dong
;
Zhu, Ke
- In:
Journal of econometrics
224
(
2021
)
2
,
pp. 306-329
Persistent link: https://www.econbiz.de/10013275393
Saved in:
10
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
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