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person:"Kapetanios, George"
~isPartOf:"Econometric reviews"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of economic surveys"
~person:"Franses, Philip Hans"
~person:"Kilian, Lutz"
~person:"Koopman, Siem Jan"
~person:"Leybourne, Stephen James"
~person:"Li, Jia"
~person:"Todorov, Viktor"
~person:"Xiao, Zhijie"
~subject:"Autocorrelation"
~subject:"Einheitswurzeltest"
~subject:"Estimation theory"
~subject:"Frühindikator"
~subject:"Schätztheorie"
~subject:"Theory"
~subject:"USA"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Time series analysis"
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Autocorrelation
Einheitswurzeltest
Estimation theory
Frühindikator
Schätztheorie
Theory
USA
Time series analysis
68
Zeitreihenanalyse
68
Theorie
31
Volatility
13
Volatilität
13
Estimation
12
Schätzung
12
Forecasting model
10
Prognoseverfahren
10
Börsenkurs
9
Nichtparametrisches Verfahren
9
Nonparametric statistics
9
Share price
9
Unit root test
9
Autokorrelation
7
Stochastic process
7
Stochastischer Prozess
7
Structural break
7
Strukturbruch
7
High-frequency data
6
Capital income
5
Kapitaleinkommen
5
Saisonale Schwankungen
5
Seasonal variations
5
VAR model
5
VAR-Modell
5
Bootstrap approach
4
Bootstrap-Verfahren
4
Cointegration
4
Factor analysis
4
Faktorenanalyse
4
Induktive Statistik
4
Kointegration
4
Nichtlineare Regression
4
Nonlinear regression
4
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61
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Aufsatz in Zeitschrift
Article in journal
63
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2
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English
63
Author
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Kapetanios, George
Franses, Philip Hans
Kilian, Lutz
Koopman, Siem Jan
Leybourne, Stephen James
Li, Jia
Todorov, Viktor
Xiao, Zhijie
Phillips, Peter C. B.
32
Taylor, Robert
22
Teräsvirta, Timo
14
Linton, Oliver
12
McAleer, Michael
11
Chen, Xiaohong
10
Koop, Gary
10
Harvey, David I.
9
Park, Joon Y.
8
Perron, Pierre
8
Swanson, Norman R.
8
Yu, Jun
8
Cavaliere, Giuseppe
7
Chan, Joshua
7
Gao, Jiti
7
Hendry, David F.
7
Johansen, Søren
7
Maasoumi, Esfandiar
7
Pesaran, M. Hashem
7
Robinson, Peter M.
7
Andersen, Torben
6
Baltagi, Badi H.
6
Blasques, Francisco
6
Chen, Rong
6
Francq, Christian
6
Hallin, Marc
6
Hong, Yongmiao
6
Li, Qi
6
Lucas, André
6
Marcellino, Massimiliano
6
Mariano, Roberto S.
6
McElroy, Tucker
6
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Econometric reviews
Journal of econometrics
Journal of economic surveys
Economics letters
16
International journal of forecasting
15
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
15
Econometric theory
10
Oxford bulletin of economics and statistics
10
Journal of forecasting
7
Applied economics
6
Journal of applied econometrics
6
The econometrics journal
6
Journal of empirical finance
5
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Journal of macroeconomics
3
Journal of time series econometrics
3
The review of economics and statistics
3
Journal of economic dynamics & control
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of the American Statistical Association : JASA
2
Quantitative economics : QE ; journal of the Econometric Society
2
Advances in econometrics
1
Applied economics letters
1
Cambridge working papers in economics
1
Computational economics
1
Economic modelling
1
Energy economics
1
Journal of economics & business
1
Journal of financial econometrics
1
Journal of quantitative economics
1
Journal of the Royal Statistical Society
1
Macroeconomic dynamics
1
Marketing science : the marketing journal of the Institute for Operations Research and the Management Sciences
1
Practical issues in cointegration analysis
1
Review of development economics : an essential resource for any development economist
1
Statistical papers
1
The Korean economic review
1
The Manchester School
1
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ECONIS (ZBW)
63
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1
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
2
Beta observation-driven models with exogenous regressors : a joint analysis of realized correlation and leverage effects
Gorgi, Paolo
;
Koopman, Siem Jan
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471518
Saved in:
3
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
4
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
5
Copula-based time series with filtered nonstationarity
Chen, Xiaohong
;
Xiao, Zhijie
;
Wang, Bo
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 127-155
Persistent link: https://www.econbiz.de/10013441732
Saved in:
6
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
7
Maximum likelihood estimation for score-driven models
Blasques, Francisco
;
Brummelen, Janneke van
;
Koopman, …
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 325-346
Persistent link: https://www.econbiz.de/10013442028
Saved in:
8
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
9
Uniform nonparametric inference for time series
Li, Jia
;
Liao, Zhipeng
- In:
Journal of econometrics
219
(
2020
)
1
,
pp. 38-51
Persistent link: https://www.econbiz.de/10012483186
Saved in:
10
Nonlinear autoregressive models with optimality properties
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
- In:
Econometric reviews
39
(
2020
)
6
,
pp. 559-578
Persistent link: https://www.econbiz.de/10012195421
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