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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:"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:"Volatility"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Exchange rate
ARCH model
Börsenkurs
Estimation theory
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Zeitreihenanalyse
Schätztheorie
46
Time series analysis
17
ARCH-Modell
12
Estimation
10
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10
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Craig, Ben R.
Imbens, Guido
Li, Dong
Park, Joon Y.
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
Cai, Zongwu
15
Fan, Yanqin
15
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
Sun, Yixiao
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
Hsiao, Cheng
11
Kumbhakar, Subal
11
Leybourne, Stephen James
11
Newey, Whitney K.
11
Giles, David E. A.
10
Hong, Han
10
Li, Kunpeng
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
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16
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15
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12
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8
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1
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1
Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics
1
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ECONIS (ZBW)
46
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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
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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
Saved in:
10
Non-standard inference for augmented double autoregressive models with null volatility coefficients
Jiang, Feiyu
;
Li, Dong
;
Zhu, Ke
- In:
Journal of econometrics
215
(
2020
)
1
,
pp. 165-183
Persistent link: https://www.econbiz.de/10012439437
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