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person:"Croux, Christophe"
subject:"Volatility"
~accessRights:"restricted"
~person:"Liu, Zhi"
~person:"Sucarrat, Genaro"
~person:"Zhu, Ke"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Volatility
Zeitreihenanalyse
Estimation theory
28
Schätztheorie
28
Time series analysis
19
Volatilität
11
ARCH model
10
ARCH-Modell
10
Estimation
6
Schätzung
6
Capital income
5
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Croux, Christophe
Liu, Zhi
Sucarrat, Genaro
Zhu, Ke
Gao, Jiti
10
Li, Jia
10
Phillips, Peter C. B.
10
Todorov, Viktor
10
Kumar, Dilip
9
Francq, Christian
8
Kapetanios, George
8
Linton, Oliver
8
Demetrescu, Matei
7
Koopman, Siem Jan
7
Lütkepohl, Helmut
7
Taylor, Robert
7
Teräsvirta, Timo
7
Wang, Shouyang
7
Andersen, Torben
6
Kim, Donggyu
6
Li, Degui
6
Li, Yingying
6
Lucas, André
6
Marcellino, Massimiliano
6
Mykland, Per A.
6
Nielsen, Morten Ørregaard
6
Sbrana, Giacomo
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
Maheswaran, S.
5
Omay, Tolga
5
Poskitt, Donald Stephen
5
Sentana, Enrique
5
Xiao, Zhijie
5
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Journal of econometrics
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
International journal of forecasting
2
Journal of financial econometrics
2
Econometric reviews
1
Econometric theory
1
Energy economics
1
Finance and stochastics
1
Journal of econometric methods
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The European journal of finance
1
The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
22
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1
A new generalized exponentially weighted moving average quantile model and its statistical inference
Zhu, Ke
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471471
Saved in:
2
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
3
Testing error distribution by kernelized Stein discrepancy in multivariate time series models
Luo, Donghang
;
Zhu, Ke
;
Gong, Huan
;
Li, Dong
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 111-125
Persistent link: https://www.econbiz.de/10013540650
Saved in:
4
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
5
Multifrequency-band tests for white noise under heteroscedasticity
Liu, Mengya
;
Zhu, Fukang
;
Zhu, Ke
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 799-814
Persistent link: https://www.econbiz.de/10013534533
Saved in:
6
Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang
;
Liu, Zhi
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
Saved in:
7
Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang
;
Zhu, Ke
;
Li, Guodong
;
Li, Wai Keung
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
Saved in:
8
Identification of volatility proxies as expectations of squared financial returns
Sucarrat, Genaro
- In:
International journal of forecasting
37
(
2021
)
4
,
pp. 1677-1690
Persistent link: https://www.econbiz.de/10013274330
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
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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