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person:"Croux, Christophe"
subject:"Volatility"
~isPartOf:"Discussion paper / Department of Economics, University of California San Diego"
~isPartOf:"Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria"
~person:"Engle, Robert F."
~person:"Lütkepohl, Helmut"
~subject:"Estimation theory"
~subject:"Theorie"
~subject:"Time series analysis"
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Estimation theory
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Croux, Christophe
Engle, Robert F.
Lütkepohl, Helmut
White, Halbert
21
Granger, C. W. J.
11
Baltagi, Badi H.
6
Elliott, Graham
5
Krämer, Walter
5
Chen, Xiaohong
4
Den Haan, Wouter J.
4
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3
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3
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3
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3
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3
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3
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3
Sakata, Shinichi
3
Sun, Yixiao
3
Aparicio Acosta, Felipe M.
2
Egger, Peter
2
Eitrheim, Øyvind
2
Ericsson, Neil R.
2
Haldrup, Niels
2
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Huber, Martin
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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2
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Discussion paper / Department of Economics, University of California San Diego
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
KBI
24
Discussion papers / Deutsches Institut für Wirtschaftsforschung
17
Research report / Katholieke Universiteit Leuven, Faculty of Economics and Applied Economics, Department of Applied Economics
9
DIW Berlin Discussion Paper
6
Discussion papers of interdisciplinary research project 373
6
Econometric theory
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
5
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5
Journal of economic dynamics & control
4
SFB 649 discussion paper
4
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3
EUI working paper / ECO
3
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3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
International journal of forecasting
3
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3
NBER Working Paper
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Working paper / National Bureau of Economic Research, Inc.
3
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Joint discussion paper series in economics : publ. by the Universities of Aachen, Gießen, Göttingen, Kassel, Marburg, Siegen
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Journal of applied econometrics
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1
Discussion paper / Tinbergen Institute
1
Discussion paper series / Center for Economic Studies, Leuven
1
Econometrics in theory and practice : Festschrift for Hans Schneeweiß ; with 33 tables
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ECONIS (ZBW)
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1
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:
2
Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH
Engle, Robert F.
;
Sheppard, Kevin
-
2001
Persistent link: https://www.econbiz.de/10001618448
Saved in:
3
Stochastic permanent breaks
Engle, Robert F.
;
Smith, Aaron D.
-
1998
Persistent link: https://www.econbiz.de/10000983276
Saved in:
4
Trades and quotes : a bivariate point process
Engle, Robert F.
;
Lunde, Asger
-
1998
Persistent link: https://www.econbiz.de/10000983784
Saved in:
5
Econometric analysis of discrete-valued irregulary-spaced financial transactions data using a new autoregressive conditional multinominal model
Russell, Jeffrey R.
;
Engle, Robert F.
-
1998
Persistent link: https://www.econbiz.de/10000988764
Saved in:
6
A money demand system for German M3
Lütkepohl, Helmut
- In:
Empirical economics : a journal of the Institute for …
23
(
1998
)
3
,
pp. 371-386
Persistent link: https://www.econbiz.de/10001338278
Saved in:
7
The econometrics of ultra-high frequency data
Engle, Robert F.
-
1996
Persistent link: https://www.econbiz.de/10000939559
Saved in:
8
Estimating diffusion models of stochastic volatility
Engle, Robert F.
;
Lee, Gary G. J.
-
1995
Persistent link: https://www.econbiz.de/10000930719
Saved in:
9
Forecasting transaction rates : the autoregressive conditional duration model
Engle, Robert F.
;
Russell, Jeffrey R.
-
1994
Persistent link: https://www.econbiz.de/10000904213
Saved in:
10
Multivariate simultaneous generalized ARCH
Engle, Robert F.
;
Kroner, Kenneth F.
-
1993
-
Rev
Persistent link: https://www.econbiz.de/10000878056
Saved in:
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