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person:"Kapetanios, George"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of economic surveys"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~isPartOf:"Journal of financial econometrics"
~person:"Franses, Philip Hans"
~person:"Kilian, Lutz"
~person:"Koopman, Siem Jan"
~person:"Leybourne, Stephen James"
~person:"Li, Jia"
~person:"Pesaran, M. Hashem"
~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
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Estimation theory
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USA
Time series analysis
57
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57
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10
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Kapetanios, George
Franses, Philip Hans
Kilian, Lutz
Koopman, Siem Jan
Leybourne, Stephen James
Li, Jia
Pesaran, M. Hashem
Xiao, Zhijie
Phillips, Peter C. B.
27
Taylor, Robert
15
Linton, Oliver
12
Chen, Xiaohong
10
Koop, Gary
10
Teräsvirta, Timo
8
Todorov, Viktor
8
Harvey, David I.
7
McAleer, Michael
7
Park, Joon Y.
7
Robinson, Peter M.
7
Swanson, Norman R.
7
Yu, Jun
7
Andersen, Torben
6
Chen, Rong
6
Francq, Christian
6
Hallin, Marc
6
Marcellino, Massimiliano
6
Mariano, Roberto S.
6
Perron, Pierre
6
Tauchen, George Eugene
6
Velasco, Carlos
6
Zakoïan, Jean-Michel
6
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5
Bauwens, Luc
5
Breitung, Jörg
5
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5
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5
Fan, Jianqing
5
Fan, Yanqin
5
Ghysels, Eric
5
Gonzalo, Jesús
5
Hong, Yongmiao
5
Johansen, Søren
5
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Journal of econometrics
Journal of economic surveys
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of financial econometrics
Economics letters
18
Econometric reviews
17
International journal of forecasting
16
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Oxford bulletin of economics and statistics
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3
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Journal of time series econometrics
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Journal of the American Statistical Association : JASA
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Practical issues in cointegration analysis
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Applied economics letters
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Journal of economic growth
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Macroeconomic dynamics
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Marketing science : the marketing journal of the Institute for Operations Research and the Management Sciences
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Review of development economics : an essential resource for any development economist
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The Korean economic review
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ECONIS (ZBW)
52
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1
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:
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
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:
4
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:
5
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:
6
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:
7
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:
8
Accelerating score-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 359-376
Persistent link: https://www.econbiz.de/10012304023
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
Realized Wishart-GARCH : a score-driven multi-asset volatility model
Gorgi, P.
;
Hansen, Peter Reinhard
;
Janus, Paweł
; …
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012054424
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