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person:"Newbold, Paul"
subject:"Zeitreihenanalyse"
~isPartOf:"CAMA working paper series"
~isPartOf:"Contributions to financial econometrics : theoretical and practical issues"
~isPartOf:"Discussion paper / Center for Economic Research, Tilburg University"
~isPartOf:"Discussion papers / National Institute of Economic and Social Research"
~isPartOf:"Econometric reviews"
~isPartOf:"Econometric theory"
~isPartOf:"Economics letters"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Working papers in quantitative economics and econometrics"
~person:"Choi, In"
~person:"Ghose, Devajyoti"
~person:"Hassler, Uwe"
~person:"Kapetanios, George"
~person:"Krämer, Walter"
~person:"McAleer, Michael"
~subject:"Estimation theory"
~subject:"Financial market"
~subject:"Schätzung"
~subject:"Time varying parameters"
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Zeitreihenanalyse
Estimation theory
Financial market
Schätzung
Time varying parameters
Theorie
127
Theory
127
Time series analysis
43
Schätztheorie
32
Volatility
15
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Newbold, Paul
Choi, In
Ghose, Devajyoti
Hassler, Uwe
Kapetanios, George
Krämer, Walter
McAleer, Michael
Phillips, Peter C. B.
46
Steel, Mark F. J.
24
Franses, Philip Hans
21
Li, Qi
19
Chan, Joshua
18
Koop, Gary
18
Linton, Oliver
17
Lee, Lung-fei
16
Lütkepohl, Helmut
16
Pesaran, M. Hashem
16
Park, Joon Y.
15
Saikkonen, Pentti
15
Schmidt, Peter
15
Taylor, Robert
15
Werker, Bas J. M.
15
Ullah, Aman
14
Wooldridge, Jeffrey M.
14
Bierens, Herman J.
13
Gouriéroux, Christian
13
Jong, Robert M. de
13
Kuan, Chung-ming
13
Fan, Yanqin
12
Hong, Yongmiao
12
Nijman, Theodore E.
12
Xiao, Zhijie
12
Baltagi, Badi H.
11
Davidson, James E. H.
11
Drost, Feike C.
11
Osiewalski, Jacek
11
Shin, Yongcheol
11
Soest, Arthur van
11
Swanson, Norman R.
11
Chambers, Marcus J.
10
Chib, Siddhartha
10
Hallin, Marc
10
King, Maxwell L.
10
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CAMA working paper series
Contributions to financial econometrics : theoretical and practical issues
Discussion paper / Center for Economic Research, Tilburg University
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Econometric reviews
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8
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Oxford bulletin of economics and statistics
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Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
4
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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CESifo working papers
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3
Darmstadt discussion papers in economics : applied research in economics
3
Economic research paper / Loughborough University, Department of Economics
3
Economic research paper / Loughborough University, Department of Economics / Loughborough University, Department of Economics
3
Jahrbücher für Nationalökonomie und Statistik
3
The Japanese economic review : the journal of the Japanese Economic Association
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ECONIS (ZBW)
74
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1
Canonical correlation-based model selection for the multilevel factors
Choi, In
;
Lin, Rui
;
Shin, Yongcheol
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 22-44
Persistent link: https://www.econbiz.de/10014340924
Saved in:
2
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:
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
Time varying cointegration and the UK great ratios
Kapetanios, George
;
Millard, Stephen Patrick
;
Petrova, …
-
2018
Persistent link: https://www.econbiz.de/10012203995
Saved in:
5
Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure
Kapetanios, George
;
Serlenga, Laura
;
Shin, Yongcheol
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 504-531
Persistent link: https://www.econbiz.de/10012618527
Saved in:
6
Detection of units with pervasive effects in large panel data models
Kapetanios, George
;
Pesaran, M. Hashem
;
Reese, S.
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 510-541
Persistent link: https://www.econbiz.de/10012619248
Saved in:
7
Time-varying cointegration with an application to the UK Great Ratios
Kapetanios, George
;
Millard, Stephen Patrick
;
Petrova, …
- In:
Economics letters
193
(
2020
),
pp. 1-7
Persistent link: https://www.econbiz.de/10012509073
Saved in:
8
On the invertibility of EGARCH(p, q)
Martinet, Guillaume Gaetan
;
McAleer, Michael
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 824-849
Persistent link: https://www.econbiz.de/10012040413
Saved in:
9
A fractionally integrated Wishart stochastic volatility model
Asai, Manabu
;
McAleer, Michael
- In:
Econometric reviews
36
(
2017
)
1/3
,
pp. 42-59
Persistent link: https://www.econbiz.de/10011794625
Saved in:
10
The correct regularity condition and interpretation of asymmetry in EGARCH
Chang, Chia-Lin
;
McAleer, Michael
- In:
Economics letters
161
(
2017
),
pp. 52-55
Persistent link: https://www.econbiz.de/10011903867
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