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person:"Croux, Christophe"
subject:"Volatility"
~person:"Engle, Robert F."
~person:"Lütkepohl, Helmut"
~subject:"Theorie"
~subject:"Time series analysis"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
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Estimation theory
56
Schätztheorie
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25
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22
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16
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Croux, Christophe
Engle, Robert F.
Lütkepohl, Helmut
Phillips, Peter C. B.
50
Andrews, Donald W. K.
30
Baltagi, Badi H.
30
Li, Qi
30
Linton, Oliver
29
McAleer, Michael
28
Newey, Whitney K.
27
Pesaran, M. Hashem
24
Gouriéroux, Christian
22
Leybourne, Stephen James
22
Ohtani, Kazuhiro
22
Perron, Pierre
22
Robinson, Peter M.
22
Ullah, Aman
22
Krämer, Walter
21
Giles, David E. A.
20
King, Maxwell L.
19
Teräsvirta, Timo
19
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18
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18
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18
Ghysels, Eric
17
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17
Lee, Lung-fei
17
Tauchen, George Eugene
17
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16
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16
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16
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16
Hendry, David F.
16
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16
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16
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16
Taylor, Robert
16
Wooldridge, Jeffrey M.
16
Zakoïan, Jean-Michel
16
Bera, Anil K.
15
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15
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14
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4
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ECONIS (ZBW)
39
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1
An alternative bootstrap for proxy vector autoregressions
Bruns, Martin
;
Lütkepohl, Helmut
- In:
Computational economics
62
(
2023
)
4
,
pp. 1857-1882
Persistent link: https://www.econbiz.de/10014442568
Saved in:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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
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