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source:"econis"
subject:"Schätztheorie"
~isPartOf:"Handbook of economic forecasting ; 1"
~isPartOf:"Journal of applied econometrics"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of economic psychology : research in economic psychology and behavioral economics"
~isPartOf:"Report / Econometric Institute, Erasmus University Rotterdam"
~person:"Aït-Sahalia, Yacine"
~person:"Dijk, Herman K. van"
~person:"Franses, Philip Hans"
~person:"Lucas, André"
~person:"Smith, Richard J."
~subject:"1960-1997"
~subject:"ARCH-Modell"
~subject:"Estimation theory"
~subject:"Konjunktur"
~subject:"Monte-Carlo-Simulation"
~subject:"Theorie"
~subject:"USA"
~subject:"United States"
~type:"article"
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Schätztheorie
1960-1997
ARCH-Modell
Estimation theory
Konjunktur
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Theorie
USA
United States
Theory
52
Time series analysis
16
Zeitreihenanalyse
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Estimation
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Aït-Sahalia, Yacine
Dijk, Herman K. van
Franses, Philip Hans
Lucas, André
Smith, Richard J.
Phillips, Peter C. B.
39
Koop, Gary
22
Pesaran, M. Hashem
22
Lee, Lung-fei
17
Linton, Oliver
17
Ghysels, Eric
16
Swanson, Norman R.
16
Gouriéroux, Christian
14
Yu, Jun
14
Diebold, Francis X.
13
Schmidt, Peter
13
Steel, Mark F. J.
13
Baltagi, Badi H.
12
Chib, Siddhartha
12
Granger, C. W. J.
12
McAleer, Michael
12
Koopman, Siem Jan
11
Lütkepohl, Helmut
11
Timmermann, Allan
11
Bai, Jushan
10
Bollerslev, Tim
10
Corradi, Valentina
10
Dufour, Jean-Marie
10
Kapetanios, George
10
Ng, Serena
10
Renault, Eric
10
Robinson, Peter M.
10
Tsionas, Efthymios G.
10
Whang, Yoon-jae
10
Clark, Todd E.
9
Clements, Michael P.
9
Khalaf, Lynda
9
Kirchler, Erich
9
Kohn, Robert
9
Lewbel, Arthur
9
Li, Qi
9
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(EC)2 Conference <1, 1990; 2, 1991>
1
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Handbook of economic forecasting ; 1
Journal of applied econometrics
Journal of econometrics
Journal of economic psychology : research in economic psychology and behavioral economics
Report / Econometric Institute, Erasmus University Rotterdam
International journal of forecasting
15
Econometric reviews
14
Economics letters
12
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
12
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Journal of forecasting
8
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6
Oxford bulletin of economics and statistics
5
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5
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4
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
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Journal of economic surveys
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of financial economics
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De economist : Netherlands economic review ; quarterly review of the Royal Netherlands Economic Association
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Macroeconomic dynamics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Technological forecasting & social change : an international journal
2
The econometrics journal
2
A companion to economic forecasting
1
Annales d'économie et de statistique
1
Annals of financial economics
1
Annual review of economics
1
Applications of differential geometry to econometrics
1
Applied economics and public policy
1
Applied financial economics
1
Applying Kernel and nonparametric estimation to economic topics
1
Bank strategies and challenges in the new Europe
1
Central European journal of economic modelling and econometrics
1
Computational economics
1
Computer-aided econometrics
1
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ECONIS (ZBW)
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1
Heterogeneity and dynamics in network models
D'Innocenzo, Enzo
;
Lucas, André
;
Opschoor, Anne
; …
- In:
Journal of applied econometrics
39
(
2024
)
1
,
pp. 150-173
Persistent link: https://www.econbiz.de/10014474448
Saved in:
2
A flexible predictive density combination for large financial data sets in regular and crisis periods
Casarin, Roberto
;
Grassi, Stefano
;
Ravazzolo, Francesco
; …
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-12
Persistent link: https://www.econbiz.de/10014471818
Saved in:
3
High frequency traders and the price process
Aït-Sahalia, Yacine
;
Brunetti, Celso
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
Saved in:
4
High-frequency factor models and regressions
Aït-Sahalia, Yacine
;
Kalnina, Ilze
;
Xiu, Dacheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
Saved in:
5
The term structure of equity and variance risk premia
Aït-Sahalia, Yacine
;
Karamann, Mustafa
;
Mancini, Loriano
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
Saved in:
6
Modeling financial sector joint tail risk in the Euro Area
Lucas, André
;
Schwaab, Bernd
;
Zhang, Xin
- In:
Journal of applied econometrics
32
(
2017
)
1
,
pp. 171-191
Persistent link: https://www.econbiz.de/10011688510
Saved in:
7
Global credit risk : world, country and industry factors
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of applied econometrics
32
(
2017
)
2
,
pp. 296-317
Persistent link: https://www.econbiz.de/10011689783
Saved in:
8
Joint Bayesian analysis of oarameters and states in nonlinear non‐Gaussian state space models
Barra, István
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
; …
- In:
Journal of applied econometrics
32
(
2017
)
5
,
pp. 1003-1026
Persistent link: https://www.econbiz.de/10011862307
Saved in:
9
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 384-399
Persistent link: https://www.econbiz.de/10011920525
Saved in:
10
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
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