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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:"Leybourne, Stephen James"
~person:"Li, Jia"
~person:"McAleer, Michael"
~person:"Robinson, Peter M."
~person:"Xiao, Zhijie"
~subject:"Autocorrelation"
~subject:"Autokorrelation"
~subject:"Einheitswurzeltest"
~subject:"Estimation theory"
~subject:"Frühindikator"
~subject:"Schätztheorie"
~subject:"Theory"
~subject:"USA"
~subject:"Volatilität"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Festschrift"
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Search: subject_exact:"Time series analysis"
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Autocorrelation
Autokorrelation
Einheitswurzeltest
Estimation theory
Frühindikator
Schätztheorie
Theory
USA
Volatilität
Time series analysis
78
Zeitreihenanalyse
78
Theorie
39
Volatility
15
Estimation
11
Nichtparametrisches Verfahren
11
Nonparametric statistics
11
Schätzung
10
Unit root test
10
Forecasting model
9
Prognoseverfahren
9
Börsenkurs
8
Cointegration
8
Kointegration
8
Share price
8
Stochastic process
7
Stochastischer Prozess
7
Structural break
7
Strukturbruch
7
Saisonale Schwankungen
5
Seasonal variations
5
Stochastic volatility
5
VAR model
5
VAR-Modell
5
ARCH model
4
ARCH-Modell
4
Bootstrap approach
4
Bootstrap-Verfahren
4
Capital income
4
High-frequency data
4
Kapitaleinkommen
4
Nichtlineare Regression
4
Nonlinear regression
4
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Article
65
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4
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Aufsatz in Zeitschrift
Festschrift
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68
Collection of articles of several authors
3
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3
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2
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English
69
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Kapetanios, George
Franses, Philip Hans
Kilian, Lutz
Leybourne, Stephen James
Li, Jia
McAleer, Michael
Robinson, Peter M.
Xiao, Zhijie
Phillips, Peter C. B.
33
Taylor, Robert
23
Teräsvirta, Timo
14
Linton, Oliver
12
Chen, Xiaohong
10
Koop, Gary
10
Harvey, David I.
9
Cavaliere, Giuseppe
8
Koopman, Siem Jan
8
Park, Joon Y.
8
Perron, Pierre
8
Swanson, Norman R.
8
Todorov, Viktor
8
Yu, Jun
8
Andersen, Torben
7
Chan, Joshua
7
Gao, Jiti
7
Hendry, David F.
7
Johansen, Søren
7
Maasoumi, Esfandiar
7
Medeiros, Marcelo C.
7
Pesaran, M. Hashem
7
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
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Association of Asia-Pacific Business School's Academic Conference <2018, Hongkong>
1
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Econometric reviews
Journal of econometrics
Journal of economic surveys
Econometric theory
16
Economics letters
16
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
13
Applied economics
8
International journal of forecasting
8
Oxford bulletin of economics and statistics
8
Journal of forecasting
6
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
5
The econometrics journal
5
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
Journal of applied econometrics
4
Journal of empirical finance
4
Journal of time series econometrics
4
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
4
The review of economic studies
4
Journal of macroeconomics
3
Computational economics
2
Econometrics : open access journal
2
International review of economics & finance : IREF
2
Journal of economic dynamics & control
2
Journal of the American Statistical Association : JASA
2
Quantitative economics : QE ; journal of the Econometric Society
2
Risks : open access journal
2
The review of economics and statistics
2
Applied economics letters
1
Athens Conference on Applied Probability and Time Series Analysis
1
Cambridge working papers in economics
1
Economia : revista da ANPEC
1
Economic modelling
1
Energy economics
1
Journal of economics & business
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of quantitative economics
1
Journal of risk and financial management : JRFM
1
Journal of the Royal Statistical Society
1
Lecture notes in statistics
1
Macroeconomic dynamics
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ECONIS (ZBW)
69
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1
Annals issue: Time series analysis of higher moments and distributions of financial data
Andersen, Torben
(
ed.
);
Chang, Chia-Lin
(
ed.
); …
-
Association of Asia-Pacific Business School's Academic …
-
2022
Persistent link: https://www.econbiz.de/10013440599
Saved in:
2
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:
3
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
4
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:
5
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:
6
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:
7
Asymptotic theory for time series with changing mean and variance
Dalla, Violetta
;
Giraitis, Liudas
;
Robinson, Peter M.
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 281-313
Persistent link: https://www.econbiz.de/10012483387
Saved in:
8
Testing explosive bubbles with time-varying volatility
Harvey, David I.
;
Leybourne, Stephen James
;
Zu, Yang
- In:
Econometric reviews
38
(
2019
)
10
,
pp. 1131-1151
Persistent link: https://www.econbiz.de/10012181398
Saved in:
9
Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity
Linton, Oliver
;
Xiao, Zhijie
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 608-631
Persistent link: https://www.econbiz.de/10012304598
Saved in:
10
Estimation and forecasting in vector autoregressive moving average models for rich datasets
Dias, Gustavo Fruet
;
Kapetanios, George
- In:
Journal of econometrics
202
(
2018
)
1
,
pp. 75-91
Persistent link: https://www.econbiz.de/10011974554
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