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person:"Kapetanios, George"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of economic surveys"
~isPartOf:"Journal of empirical finance"
~person:"Chen, Rong"
~person:"Francq, Christian"
~person:"Franses, Philip Hans"
~person:"Kilian, Lutz"
~person:"Koopman, Siem Jan"
~person:"Leybourne, Stephen James"
~person:"Li, Jia"
~person:"Xiao, Zhijie"
~subject:"Autocorrelation"
~subject:"Einheitswurzeltest"
~subject:"Estimation theory"
~subject:"Frühindikator"
~subject:"Schätztheorie"
~subject:"Theory"
~subject:"USA"
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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
65
Zeitreihenanalyse
65
Theorie
26
Volatility
14
Volatilität
14
Estimation
10
Schätzung
10
Stochastic process
10
Stochastischer Prozess
10
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9
Nichtparametrisches Verfahren
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Nonparametric statistics
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Share price
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Structural break
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Unit root test
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Autokorrelation
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Capital income
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Cointegration
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4
High-frequency data
4
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4
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4
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60
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Kapetanios, George
Chen, Rong
Francq, Christian
Franses, Philip Hans
Kilian, Lutz
Koopman, Siem Jan
Leybourne, Stephen James
Li, Jia
Xiao, Zhijie
Phillips, Peter C. B.
28
Taylor, Robert
18
Linton, Oliver
13
Koop, Gary
11
Chen, Xiaohong
10
Harvey, David I.
8
McAleer, Michael
8
Swanson, Norman R.
8
Teräsvirta, Timo
8
Todorov, Viktor
8
Andersen, Torben
7
Park, Joon Y.
7
Robinson, Peter M.
7
Yu, Jun
7
Zakoïan, Jean-Michel
7
Hallin, Marc
6
Marcellino, Massimiliano
6
Mariano, Roberto S.
6
Perron, Pierre
6
Pesaran, M. Hashem
6
Tauchen, George Eugene
6
Velasco, Carlos
6
Zhang, Xinyu
6
Baillie, Richard
5
Barigozzi, Matteo
5
Breitung, Jörg
5
Chambers, Marcus J.
5
Chan, Joshua
5
Davis, Richard A.
5
Fan, Jianqing
5
Fan, Yanqin
5
Hong, Yongmiao
5
Johansen, Søren
5
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Journal of econometrics
Journal of economic surveys
Journal of empirical finance
Discussion paper / Tinbergen Institute
103
Report / Econometric Institute, Erasmus University Rotterdam
24
Econometric Institute research papers
20
Report / Econometric Institute, Erasmus University Rotterdam / Econometric Institute, Erasmus University Rotterdam
19
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
18
Econometric reviews
17
Economics letters
16
International journal of forecasting
15
Econometric theory
13
Working paper
12
Oxford bulletin of economics and statistics
10
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8
Discussion paper / Tinbergen Institute / Tinbergen Institute
7
Research memorandum series / Tinbergen Instituut
7
Applied economics
6
Journal of applied econometrics
6
The econometrics journal
6
Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines
5
Report / Erasmus Center for Financial Research, Erasmus University
5
Série des documents de travail / Centre de Recherche en Économie et Statistique
5
Working paper series / European Central Bank ; Eurosystem
5
Bank of England Working Paper
4
Cowles Foundation discussion paper
4
DNB working paper
4
Discussion paper / Center for Economic Research, Tilburg University
4
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
Working papers / University of Michigan, Department of Economics
4
An Elgar reference collection
3
Discussion paper / Centre for Economic Policy Research
3
Discussion paper / Department of Economics, University of California San Diego
3
Journal of macroeconomics
3
Journal of the American Statistical Association : JASA
3
Journal of time series econometrics
3
The review of economics and statistics
3
Tinbergen Institute Discussion Paper
3
Advanced texts in econometrics
2
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ECONIS (ZBW)
60
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1
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60
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1
Quasi score-driven models
Blasques, F.
;
Francq, Christian
;
Laurent, Sébastien
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 251-275
Persistent link: https://www.econbiz.de/10014364807
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
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
4
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
5
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:
6
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:
7
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:
8
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:
9
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:
10
Autoregressive models for matrix-valued time series
Chen, Rong
;
Xiao, Han
;
Yang, Dan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 539-560
Persistent link: https://www.econbiz.de/10012619734
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