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person:"Newbold, Paul"
subject:"Zeitreihenanalyse"
~person:"Ashley, Richard A."
~person:"Buncic, Daniel"
~person:"Cavaliere, Giuseppe"
~person:"Ghose, Devajyoti"
~person:"Jawadi, Fredj"
~person:"Kapetanios, George"
~person:"Leybourne, Stephen James"
~person:"Yu, Jun"
~subject:"ARCH-Modell"
~subject:"Financial frictions"
~subject:"Financial market"
~subject:"Kapitaleinkommen"
~subject:"Panel"
~subject:"Stochastischer Prozess"
~subject:"Time varying parameters"
~type:"article"
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Zeitreihenanalyse
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Time varying parameters
Theorie
216
Theory
216
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88
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41
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32
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128
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Newbold, Paul
Ashley, Richard A.
Buncic, Daniel
Cavaliere, Giuseppe
Ghose, Devajyoti
Jawadi, Fredj
Kapetanios, George
Leybourne, Stephen James
Yu, Jun
Phillips, Peter C. B.
74
Franses, Philip Hans
61
Gil-Alaña, Luis A.
46
McAleer, Michael
40
Pesaran, M. Hashem
40
Gupta, Rangan
36
Baltagi, Badi H.
35
Escudero, Laureano F.
35
Ghysels, Eric
33
Taylor, Robert
33
Koopman, Siem Jan
32
Lütkepohl, Helmut
30
Perron, Pierre
30
Engle, Robert F.
29
Granger, C. W. J.
29
Herwartz, Helmut
29
Timmermann, Allan
29
Caporale, Guglielmo Maria
28
Koop, Gary
28
Fabozzi, Frank J.
27
Harvey, Andrew C.
26
Mills, Terence C.
26
Teräsvirta, Timo
26
Hong, Yongmiao
25
Diebold, Francis X.
24
Hecq, Alain W. J.
24
Hendry, David F.
24
Satchell, Stephen
23
Schmidt, Peter
23
Bollerslev, Tim
22
Campbell, John Y.
22
Hassler, Uwe
22
Linton, Oliver
22
Westerlund, Joakim
22
Gendreau, Michel
21
Wong, Wing Keung
21
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9
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7
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7
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4
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International journal of finance & economics : IJFE
1
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International review of economics & finance : IREF
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International statistical review : a journal of the International Statistical Institute and its associations
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Journal of financial econometrics
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1
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ECONIS (ZBW)
128
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1
Improved tests for stock return predictability
Harvey, David I.
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 834-861
Persistent link: https://www.econbiz.de/10014420348
Saved in:
2
A latent-factor-driven endogenous regime-switching non-Gaussian model : evidence from simulation and application
Bu, Ruijun
;
Cheng, Jie
;
Jawadi, Fredj
- In:
International journal of finance & economics : IJFE
27
(
2022
)
4
,
pp. 3881-3896
Persistent link: https://www.econbiz.de/10013461280
Saved in:
3
Volatility puzzle : long memory or antipersistency
Shi, Shuping
;
Yu, Jun
- In:
Management science : journal of the Institute for …
69
(
2023
)
7
,
pp. 3861-3883
Persistent link: https://www.econbiz.de/10014338293
Saved in:
4
Bootstrap inference for Hawkes and general point processes
Cavaliere, Giuseppe
;
Lu, Ye
;
Rahbek, Anders
; …
- In:
Journal of econometrics
235
(
2023
)
1
,
pp. 133-165
Persistent link: https://www.econbiz.de/10014434387
Saved in:
5
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
6
Latent local-to-unity models
Wang, Xiaohu
;
Yu, Jun
- In:
Econometric reviews
42
(
2023
)
7
,
pp. 586-611
Persistent link: https://www.econbiz.de/10014321656
Saved in:
7
Forecasting equity index volatility by measuring the linkage among component stocks
Qiu, Yue
;
Xie, Tian
;
Yu, Jun
;
Zhou, Qiankun
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 160-186
Persistent link: https://www.econbiz.de/10012878191
Saved in:
8
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:
9
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:
10
Bootstrapping non-stationary stochastic volatility
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
Georgiev, Iliyan
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 161-180
Persistent link: https://www.econbiz.de/10013275368
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