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person:"Kapetanios, George"
~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:"Pesaran, M. Hashem"
~subject:"Autocorrelation"
~subject:"Einheitswurzeltest"
~subject:"Estimation theory"
~subject:"Frühindikator"
~subject:"Schätztheorie"
~subject:"USA"
~type_genre:"Aufsatz in Zeitschrift"
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Kapetanios, George
Franses, Philip Hans
Kilian, Lutz
Koopman, Siem Jan
Leybourne, Stephen James
Li, Jia
Pesaran, M. Hashem
Phillips, Peter C. B.
16
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12
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9
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7
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3
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3
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3
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Journal of econometrics
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12
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8
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8
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7
Oxford bulletin of economics and statistics
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5
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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
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:
4
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:
5
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:
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
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:
8
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
Saved in:
9
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
10
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
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