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person:"Jenkins, Stephen P."
subject:"Schätzung"
~person:"Bailey, Natalia"
~person:"Gouriéroux, Christian"
~person:"Hautsch, Nikolaus"
~person:"Huber, Florian"
~source:"econis"
~type_genre:"Aufsatz in Zeitschrift"
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Schätzung
Estimation theory
41
Schätztheorie
41
Theorie
19
Theory
19
Estimation
12
Time series analysis
7
Zeitreihenanalyse
7
Correlation
5
Korrelation
5
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5
VAR-Modell
5
Volatility
5
Volatilität
5
Börsenkurs
3
Identification
3
Method of moments
3
Momentenmethode
3
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Schock
3
Share price
3
Shock
3
Statistical theory
3
Statistische Methodenlehre
3
Bayes-Statistik
2
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2
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2
Cross-section analysis
2
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2
Forecasting model
2
Generalized covariance estimator
2
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2
Market microstructure
2
Marktmikrostruktur
2
Noise Trading
2
Noise trading
2
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2
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Jenkins, Stephen P.
Bailey, Natalia
Gouriéroux, Christian
Hautsch, Nikolaus
Huber, Florian
Kumbhakar, Subal
15
Gao, Jiti
12
Su, Liangjun
12
Tauchen, George Eugene
12
Linton, Oliver
10
Todorov, Viktor
10
Kumar, Dilip
9
Li, Jia
9
Baltagi, Badi H.
8
Hsiao, Cheng
8
Hsu, Yu-Chin
8
Lee, Lung-fei
8
Li, Qi
8
Phillips, Peter C. B.
8
Ramírez, Miguel D.
8
Francq, Christian
7
Jochmans, Koen
7
Kapetanios, George
7
Kim, Donggyu
7
Tsionas, Efthymios G.
7
Cai, Zongwu
6
Egger, Peter
6
Koop, Gary
6
Lesage, James P.
6
Lu, Xun
6
Park, Joon Y.
6
Parmeter, Christopher F.
6
Pesaran, M. Hashem
6
Racine, Jeffrey
6
Sun, Yiguo
6
Wang, Yazhen
6
Westerlund, Joakim
6
White, Halbert
6
Yu, Jihai
6
Zakoïan, Jean-Michel
6
Baillie, Richard
5
Bollerslev, Tim
5
Caporale, Guglielmo Maria
5
Cheung, Yin-Wong
5
Escanciano, Juan Carlos
5
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Journal of applied econometrics
2
Journal of econometrics
2
International journal of forecasting
1
Journal of banking & finance
1
Journal of financial econometrics
1
L' Actualité économique : revue trimest.
1
L' économétrie appliquée
1
The review of economic studies : RES
1
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ECONIS (ZBW)
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1
Maximum-Likelihood estimation using the zig-zag algorithm
Hautsch, Nikolaus
;
Okhrin, Ostap
;
Ristig, Alexander
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1346-1375
Persistent link: https://www.econbiz.de/10014391462
Saved in:
2
Inducing sparsity and shrinkage in time-varying parameter models
Huber, Florian
;
Koop, Gary
;
Onorante, Luca
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 669-683
Persistent link: https://www.econbiz.de/10012588006
Saved in:
3
Identification and estimation in non-fundamental structural VARMA models
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
- In:
The review of economic studies : RES
87
(
2020
)
4
,
pp. 1915-1953
Persistent link: https://www.econbiz.de/10012259682
Saved in:
4
Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
; …
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
3
,
pp. 419-435
Persistent link: https://www.econbiz.de/10012178185
Saved in:
5
Least impulse response estimator for stress test exercises
Gouriéroux, Christian
;
Lu, Yang
- In:
Journal of banking & finance
103
(
2019
),
pp. 62-77
Persistent link: https://www.econbiz.de/10012163773
Saved in:
6
Threshold cointegration in international exchange rates : a Bayesian approach
Huber, Florian
;
Zörner, Thomas
- In:
International journal of forecasting
35
(
2019
)
2
,
pp. 458-473
Persistent link: https://www.econbiz.de/10012300684
Saved in:
7
Statistical inference for independent component analysis : application to structural VAR models
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
- In:
Journal of econometrics
196
(
2017
)
1
,
pp. 111-126
Persistent link: https://www.econbiz.de/10011743785
Saved in:
8
Noncausal vector autoregressive process: representation, identification and semi-parametric estimation
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 118-134
Persistent link: https://www.econbiz.de/10011897706
Saved in:
9
Exponent of cross-sectional dependence : estimation and inference
Bailey, Natalia
;
Kapetanios, George
;
Pesaran, M. Hashem
- In:
Journal of applied econometrics
31
(
2016
)
6
,
pp. 929-960
Persistent link: https://www.econbiz.de/10011686163
Saved in:
10
Preaveraging-based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
Hautsch, Nikolaus
;
Podolskij, Mark
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
2
,
pp. 165-183
Persistent link: https://www.econbiz.de/10009754008
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