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person:"Zimmermann, Klaus F."
subject:"Zeitreihenanalyse"
~person:"Lucas, André"
~person:"Pesaran, M. Hashem"
~subject:"Börsenkurs"
~subject:"Großbritannien"
~type_genre:"Aufsatz in Zeitschrift"
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Zeitreihenanalyse
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Estimation
56
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56
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20
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20
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13
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Zimmermann, Klaus F.
Lucas, André
Pesaran, M. Hashem
Gil-Alaña, Luis A.
98
Gupta, Rangan
84
Caporale, Guglielmo Maria
55
Tiwari, Aviral Kumar
41
Wohar, Mark E.
35
McMillan, David G.
31
Narayan, Paresh Kumar
30
Zaremba, Adam
30
Chang, Tsangyao
27
Moosa, Imad A.
24
Pierdzioch, Christian
23
Balcilar, Mehmet
22
Ma, Feng
20
Salisu, Afees A.
19
Bahmani-Oskooee, Mohsen
18
Bollerslev, Tim
18
Chiang, Thomas C.
18
Lee, Chien-chiang
18
Jawadi, Fredj
17
McAleer, Michael
16
Brooks, Robert
15
Todorov, Viktor
15
Bohl, Martin T.
14
Koopman, Siem Jan
14
Tauchen, George Eugene
14
Ramírez, Miguel D.
13
Sehgal, Sanjay
13
Apergēs, Nikolaos
12
Blundell, Richard W.
12
Cakici, Nusret
12
Caporin, Massimiliano
12
Demirer, Rıza
12
Herwartz, Helmut
12
Li, Jia
12
Ranjbar, Omid
12
Shi, Yanlin
12
Wang, Yudong
12
Westerlund, Joakim
12
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12
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11
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Journal of econometrics
4
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2
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2
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1
DIW-Wochenbericht : Wirtschaft, Politik, Wissenschaft
1
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1
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1
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1
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ECONIS (ZBW)
17
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1
Time-varying variance and skewness in realized volatility measures
Opschoor, Anne
;
Lucas, André
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 827-840
Persistent link: https://www.econbiz.de/10014465151
Saved in:
2
Fractional integration and fat tails for realized covariance kernels
Opschoor, Anne
;
Lucas, André
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 66-90
Persistent link: https://www.econbiz.de/10012054426
Saved in:
3
Testing for parameter instability across different modeling frameworks
Calvori, Francesco
;
Creal, Drew
;
Koopman, Siem Jan
; …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 223-246
Persistent link: https://www.econbiz.de/10011987424
Saved in:
4
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 875-887
Persistent link: https://www.econbiz.de/10011621857
Saved in:
5
Exponent of cross-sectional dependence : estimation and inference
Bailey, Natalia
;
Kapetanios, George
;
Pesaran, M. Hashem
- In:
Journal of applied econometrics
31
(
2016
)
6
,
pp. 929-960
Persistent link: https://www.econbiz.de/10011686163
Saved in:
6
Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
; …
- In:
Journal of econometrics
195
(
2016
)
2
,
pp. 211-223
Persistent link: https://www.econbiz.de/10011705251
Saved in:
7
Counterfactual analysis in macroeconometrics : an empirical investigation into the effects of quantitative easing
Pesaran, M. Hashem
;
Smith, Ron
- In:
Research in economics : an international review of economics
70
(
2016
)
2
,
pp. 262-280
Persistent link: https://www.econbiz.de/10011631138
Saved in:
8
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
9
Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram
;
Pesaran, M. Hashem
- In:
Economic modelling
27
(
2010
)
6
,
pp. 1398-1416
Persistent link: https://www.econbiz.de/10008825760
Saved in:
10
Google econometrics and unemployment forecasting
Askitas, Nikolaos
;
Zimmermann, Klaus F.
- In:
Applied economics quarterly
55
(
2009
)
2
,
pp. 107-120
Persistent link: https://www.econbiz.de/10003846974
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