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person:"Zimmermann, Klaus F."
subject:"Zeitreihenanalyse"
~person:"Lucas, André"
~person:"Pesaran, M. Hashem"
~subject:"Börsenkurs"
~subject:"USA"
~type_genre:"Aufsatz in Zeitschrift"
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Zimmermann, Klaus F.
Lucas, André
Pesaran, M. Hashem
Gupta, Rangan
108
Gil-Alaña, Luis A.
102
Caporale, Guglielmo Maria
60
Wohar, Mark E.
48
Bahmani-Oskooee, Mohsen
46
Tiwari, Aviral Kumar
44
Chang, Tsangyao
33
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33
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31
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30
Balcilar, Mehmet
27
Moosa, Imad A.
26
Pierdzioch, Christian
26
Bollerslev, Tim
24
Salisu, Afees A.
23
McAleer, Michael
21
Ma, Feng
20
Apergēs, Nikolaos
19
Brooks, Robert
19
Hsing, Yu
19
Jawadi, Fredj
19
Lee, Chien-chiang
19
Chiang, Thomas C.
18
Koopman, Siem Jan
17
Payne, James E.
17
Serletis, Apostolos
17
Miller, Stephen M.
16
Todorov, Viktor
16
Bali, Turan G.
15
Bouri, Elie
15
Belke, Ansgar
14
Bohl, Martin T.
14
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14
Demirer, Rıza
14
Heckman, James J.
14
Tauchen, George Eugene
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Österholm, Pär
14
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13
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Journal of applied econometrics
4
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3
Journal of empirical finance
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
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2
Applied economics quarterly
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1
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ECONIS (ZBW)
21
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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
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:
8
Observation-driven mixed-measurement dynamic factor models with an application to credit risk
Creal, Drew
;
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, …
- In:
The review of economics and statistics
96
(
2014
)
5
,
pp. 898-915
Persistent link: https://www.econbiz.de/10010470540
Saved in:
9
Dynamic factor models with macro, frailty, and industry effects for US default counts : the credit crisis of 2008
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
- In:
Journal of business & economic statistics : JBES ; a …
30
(
2012
)
4
,
pp. 521-532
Persistent link: https://www.econbiz.de/10009667047
Saved in:
10
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
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