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person:"Croux, Christophe"
subject:"Volatility"
~accessRights:"restricted"
~person:"Engle, Robert F."
~person:"Lütkepohl, Helmut"
~subject:"Theorie"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Volatility
Theorie
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Estimation theory
19
Schätztheorie
19
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13
VAR-Modell
13
Zeitreihenanalyse
12
Heteroscedasticity
6
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6
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5
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4
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vector autoregression
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Croux, Christophe
Engle, Robert F.
Lütkepohl, Helmut
Gao, Jiti
10
Li, Jia
10
Phillips, Peter C. B.
10
Todorov, Viktor
10
Kumar, Dilip
9
Zhu, Ke
9
Francq, Christian
8
Kapetanios, George
8
Linton, Oliver
8
Demetrescu, Matei
7
Koopman, Siem Jan
7
Marcellino, Massimiliano
7
Taylor, Robert
7
Teräsvirta, Timo
7
Wang, Shouyang
7
Winkelmann, Rainer
7
Andersen, Torben
6
Kim, Donggyu
6
Li, Degui
6
Li, Yingying
6
Lucas, André
6
Mykland, Per A.
6
Nielsen, Morten Ørregaard
6
Sbrana, Giacomo
6
Sentana, Enrique
6
Shang, Han Lin
6
Tauchen, George Eugene
6
Bauwens, Luc
5
Blasques, Francisco
5
Bollerslev, Tim
5
Cavaliere, Giuseppe
5
Davis, Richard A.
5
Dong, Chaohua
5
Li, Dong
5
Liu, Zhi
5
Maheswaran, S.
5
Omay, Tolga
5
Poskitt, Donald Stephen
5
Sucarrat, Genaro
5
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International journal of forecasting
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of economic dynamics & control
2
Discussion paper / Centre for Economic Policy Research
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Handbook of econometrics : volume 4
1
Journal of econometric methods
1
Journal of economic surveys
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The econometrics journal
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1
Heteroscedastic proxy vector autoregressions
Lütkepohl, Helmut
;
Schlaak, Thore
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
3
,
pp. 1268-1281
Persistent link: https://www.econbiz.de/10013539510
Saved in:
2
Testing identification via heteroskedasticity in structural vector autoregressive models
Lütkepohl, Helmut
;
Meitz, Mika
;
Netšunajev, Aleksei
; …
- In:
The econometrics journal
24
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012504441
Saved in:
3
Fitting vast dimensional time-varying covariance models
Pakel, Cavit
;
Shephard, Neil G.
;
Sheppard, Kevin
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 652-668
Persistent link: https://www.econbiz.de/10012588005
Saved in:
4
Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
Lütkepohl, Helmut
;
Schlaak, Thore
- In:
Journal of economic dynamics & control
101
(
2019
),
pp. 41-61
Persistent link: https://www.econbiz.de/10012131020
Saved in:
5
Linearly transforming variables in the VAR model, how does it change the impulse response?
Reusens, Peter
;
Croux, Christophe
- In:
Journal of econometric methods
7
(
2018
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011945885
Saved in:
6
Calculating joint confidence bands for impulse response functions using highest density regions
Lütkepohl, Helmut
;
Staszewska-Bystrova, Anna
;
Winker, Peter
- In:
Empirical economics : a journal of the Institute for …
55
(
2018
)
4
,
pp. 1389-1411
Persistent link: https://www.econbiz.de/10011950253
Saved in:
7
Detecting time variation in the price puzzle : a less informative prior choice for time varying parameter VAR models
Reusens, Peter
;
Croux, Christophe
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011743732
Saved in:
8
Forecasting using sparse cointegration
Wilms, Ines
;
Croux, Christophe
- In:
International journal of forecasting
32
(
2016
)
4
,
pp. 1256-1267
Persistent link: https://www.econbiz.de/10011622146
Saved in:
9
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
10
Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut
;
Velinov, Anton
- In:
Journal of economic surveys
30
(
2016
)
2
,
pp. 377-392
Persistent link: https://www.econbiz.de/10011553496
Saved in:
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