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source:"econis"
subject:"Volatility"
~isPartOf:"Journal of econometrics"
~subject:"Panel study"
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Volatility
Panel study
Estimation
465
Schätzung
460
Estimation theory
216
Schätztheorie
216
Theorie
166
Theory
166
Time series analysis
115
Zeitreihenanalyse
115
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106
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Todorov, Viktor
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Tauchen, George Eugene
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Su, Liangjun
6
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2
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2
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Journal of econometrics
Applied economics
231
Economic modelling
223
Energy economics
200
Applied economics letters
166
International review of economics & finance : IREF
144
Economics letters
139
Finance research letters
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CESifo working papers
136
Discussion paper series / IZA
132
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
125
International review of financial analysis
112
The North American journal of economics and finance : a journal of financial economics studies
110
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107
NBER working paper series
100
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Journal of banking & finance
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NBER Working Paper
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Journal of international money and finance
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Journal of empirical finance
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Research in international business and finance
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The empirical economics letters : a monthly international journal of economics
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Discussion paper / Tinbergen Institute
80
Journal of international financial markets, institutions & money
79
International Journal of Energy Economics and Policy : IJEEP
70
Journal of risk and financial management : JRFM
70
International journal of finance & economics : IJFE
68
The journal of futures markets
61
IZA Discussion Paper
60
International journal of economics and financial issues : IJEFI
60
Discussion paper / Centre for Economic Policy Research
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The European journal of finance
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Cogent economics & finance
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International journal of economics and finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Discussion paper
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International journal of forecasting
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ECONIS (ZBW)
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1
Time-varying unobserved heterogeneity in earnings shocks
Botosaru, Irene
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1378-1393
Persistent link: https://www.econbiz.de/10014471381
Saved in:
2
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
3
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
4
Wild bootstrap inference for penalized quantile regression for longitudinal data
Lamarche, Carlos
;
Parker, Thomas
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1799-1826
Persistent link: https://www.econbiz.de/10014471428
Saved in:
5
Identifying latent group structures in spatial dynamic panels
Su, Liangjun
;
Wang, Wuyi
;
Xu, Xingbai
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1955-1980
Persistent link: https://www.econbiz.de/10014471439
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6
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
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7
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
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8
Machine learning panel data regressions with heavy-tailed dependent data : theory and application
Babii, Andrii
;
Ball, Ryan T.
;
Ghysels, Eric
;
Striaukas, …
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471811
Saved in:
9
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
10
Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik
;
Dijk, Dick van
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
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