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person:"Kapetanios, George"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of economic surveys"
~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
54
Zeitreihenanalyse
54
Theorie
20
Volatility
10
Volatilität
10
ARCH model
8
ARCH-Modell
8
Estimation
8
Schätzung
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Bootstrap approach
3
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3
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Kapetanios, George
Francq, Christian
Franses, Philip Hans
Kilian, Lutz
Koopman, Siem Jan
Leybourne, Stephen James
Li, Jia
Xiao, Zhijie
Phillips, Peter C. B.
26
Taylor, Robert
15
Linton, Oliver
13
Chen, Xiaohong
10
Koop, Gary
10
McAleer, Michael
8
Todorov, Viktor
8
Andersen, Torben
7
Park, Joon Y.
7
Robinson, Peter M.
7
Swanson, Norman R.
7
Teräsvirta, Timo
7
Yu, Jun
7
Chen, Rong
6
Hallin, Marc
6
Harvey, David I.
6
Marcellino, Massimiliano
6
Mariano, Roberto S.
6
Perron, Pierre
6
Pesaran, M. Hashem
6
Tauchen, George Eugene
6
Velasco, Carlos
6
Zakoïan, Jean-Michel
6
Barigozzi, Matteo
5
Breitung, Jörg
5
Chan, Joshua
5
Davis, Richard A.
5
Fan, Jianqing
5
Fan, Yanqin
5
Hong, Yongmiao
5
Johansen, Søren
5
Kim, Donggyu
5
Li, Yingying
5
Lütkepohl, Helmut
5
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Journal of econometrics
Journal of economic surveys
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
Econometric reviews
17
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
17
Economics letters
16
International journal of forecasting
15
Econometric theory
13
Working paper
12
Oxford bulletin of economics and statistics
10
Discussion paper / Tinbergen Institute / Tinbergen Institute
7
Journal of forecasting
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
Journal of empirical finance
5
Report / Erasmus Center for Financial Research, Erasmus University
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
Série des documents de travail / Centre de Recherche en Économie et Statistique
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
EUI working paper / ECO
3
Journal of macroeconomics
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)
49
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1
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49
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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
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:
3
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:
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
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
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