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source:"econis"
~isPartOf:"CESifo working papers"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Journal of econometrics"
~isPartOf:"Risks : open access journal"
~isPartOf:"The econometrics journal"
~person:"Bai, Jushan"
~person:"Tauchen, George Eugene"
~subject:"Beta risk"
~subject:"Schätzung"
~subject:"Stochastischer Prozess"
~subject:"Theorie"
~subject:"Volatility"
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Search: subject_exact:"Time series analysis"
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Schätzung
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10
Estimation theory
6
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6
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5
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Bai, Jushan
Tauchen, George Eugene
Caporale, Guglielmo Maria
48
Gil-Alaña, Luis A.
42
Phillips, Peter C. B.
19
Pesaran, M. Hashem
16
Taylor, Robert
11
Koop, Gary
10
Lütkepohl, Helmut
8
Todorov, Viktor
8
Yu, Jun
8
McAleer, Michael
7
Swanson, Norman R.
7
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6
Barigozzi, Matteo
6
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6
Li, Jia
6
Linton, Oliver
6
Mariano, Roberto S.
6
Park, Joon Y.
6
Plastun, Alex
6
Teräsvirta, Timo
6
Xiao, Zhijie
6
Zakoïan, Jean-Michel
6
Chen, Xiaohong
5
Flaig, Gebhard
5
Francq, Christian
5
Gouriéroux, Christian
5
Horváth, Lajos
5
Kim, Donggyu
5
Koopman, Siem Jan
5
Li, Yingying
5
Ng, Serena
5
Patton, Andrew J.
5
Perron, Pierre
5
Pick, Andreas
5
Shephard, Neil G.
5
Timmermann, Allan
5
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4
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CESifo working papers
International journal of theoretical and applied finance
Journal of econometrics
Risks : open access journal
The econometrics journal
ERID working paper
6
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
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1
Computation and estimation in finance and economics
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Economic Research Initiatives at Duke (ERID) Working Paper
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Frontiers of economics in China : selected publications from Chinese universities
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Identification and inference for econometric models : essays in honor of Thomas Rothenberg
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Quantitative economics : QE ; journal of the Econometric Society
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ECONIS (ZBW)
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1
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
2
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
3
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
4
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
5
Identification theory for high dimensional static and dynamic factor models
Bai, Jushan
;
Wang, Peng
- In:
Journal of econometrics
178
(
2014
)
2
,
pp. 794-804
Persistent link: https://www.econbiz.de/10010257659
Saved in:
6
Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
164
(
2011
)
2
,
pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
Saved in:
7
Activity signature functions for high-frequency data analysis
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
154
(
2010
)
2
,
pp. 125-138
Persistent link: https://www.econbiz.de/10003940085
Saved in:
8
Forecasting economic time series using targeted predictors
Bai, Jushan
;
Ng, Serena
- In:
Journal of econometrics
146
(
2008
)
2
,
pp. 304-317
Persistent link: https://www.econbiz.de/10003782981
Saved in:
9
Estimating cross-section common stochastic trends in nonstationary panel data
Bai, Jushan
- In:
Journal of econometrics
122
(
2004
)
1
,
pp. 137-183
Persistent link: https://www.econbiz.de/10002136515
Saved in:
10
A consistent test for conditional symmetry in time series models
Bai, Jushan
;
Ng, Serena
- In:
Journal of econometrics
103
(
2001
)
1/2
,
pp. 225-258
Persistent link: https://www.econbiz.de/10001585362
Saved in:
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