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subject:"Deutschland"
subject:"Forecasting model"
~person:"Demetrescu, Matei"
~subject:"ARCH-Modell"
~subject:"Estimation"
~type_genre:"Article in journal"
~type_genre:"Forschungsbericht"
~type_genre:"Konferenzschrift"
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Deutschland
Forecasting model
ARCH-Modell
Estimation
Estimation theory
14
Schätztheorie
14
Time series analysis
7
Zeitreihenanalyse
7
Prognoseverfahren
6
Statistical test
6
Statistischer Test
6
Regression analysis
5
Regressionsanalyse
5
Capital income
4
Kapitaleinkommen
4
Schätzung
4
Bootstrap approach
3
Bootstrap-Verfahren
3
Cointegration
3
Einheitswurzeltest
3
Endogeneity
3
Kointegration
3
Persistence
3
Unit root test
3
(Un)conditional heteroskedasticity
2
Autocorrelation
2
Autokorrelation
2
Heteroscedasticity
2
Heteroskedastizität
2
IV estimation
2
IVX estimation
2
Predictive regression
2
Structural break
2
Strukturbruch
2
Unknown regressor persistence
2
VAR model
2
VAR-Modell
2
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2
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Demetrescu, Matei
Francq, Christian
18
Linton, Oliver
16
Kumbhakar, Subal
15
Zakoïan, Jean-Michel
14
Baltagi, Badi H.
13
Cai, Zongwu
13
Gao, Jiti
13
Kumar, Dilip
13
Lütkepohl, Helmut
13
Su, Liangjun
13
Tauchen, George Eugene
13
Teräsvirta, Timo
13
Phillips, Peter C. B.
12
Kapetanios, George
11
Tsionas, Efthymios G.
11
Koop, Gary
10
Todorov, Viktor
10
Baillie, Richard
9
Lesage, James P.
9
Li, Jia
9
Rahbek, Anders
9
Bauwens, Luc
8
Bollerslev, Tim
8
Hsiao, Cheng
8
Hsu, Yu-Chin
8
Lee, Lung-fei
8
Li, Qi
8
Maheswaran, S.
8
Pesaran, M. Hashem
8
Ramírez, Miguel D.
8
Tsay, Ruey S.
8
Wang, Shouyang
8
Westerlund, Joakim
8
Hafner, Christian M.
7
Jochmans, Koen
7
Kim, Donggyu
7
Li, Guodong
7
Ling, Shiqing
7
McAleer, Michael
7
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Journal of econometrics
3
Economic modelling
1
Economics letters
1
International journal of forecasting
1
Journal of applied econometrics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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ECONIS (ZBW)
8
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1
Robust inference under time-varying volatility : a real-time evaluation of professional forecasters
Demetrescu, Matei
;
Hanck, Christoph
;
Kruse-Becher, Robinson
- In:
Journal of applied econometrics
37
(
2022
)
5
,
pp. 1010-1030
Persistent link: https://www.econbiz.de/10013464645
Saved in:
2
Extensions to IVX methods of inference for return predictability
Demetrescu, Matei
;
Georgiev, Iliyan
;
Rodrigues, Paulo M. M.
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014471800
Saved in:
3
Transformed regression-based long-horizon predictability tests
Demetrescu, Matei
;
Rodrigues, Paulo M. M.
;
Taylor, Robert
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10014471812
Saved in:
4
Testing for no cointegration in vector autoregressions with estimated degree of fractional integration
Demetrescu, Matei
;
Kusin, Vladimir
;
Salish, Nazarii
- In:
Economic modelling
108
(
2022
),
pp. 1-32
Persistent link: https://www.econbiz.de/10013347934
Saved in:
5
Testing for episodic predictability in stock returns
Demetrescu, Matei
;
Georgiev, Iliyan
;
Rodrigues, Paulo M. M.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 85-113
Persistent link: https://www.econbiz.de/10013441625
Saved in:
6
Bias corrections for exponentially transformed forecasts : are they worth the effort?
Demetrescu, Matei
;
Golosnoy, Vasyl
;
Titova, Anna
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 761-780
Persistent link: https://www.econbiz.de/10012496846
Saved in:
7
Enhancing the local power of IVX-based tests in predictive regressions
Demetrescu, Matei
- In:
Economics letters
124
(
2014
)
2
,
pp. 269-273
Persistent link: https://www.econbiz.de/10010493640
Saved in:
8
Unit root testing in heteroscedastic panels using the Cauchy estimator
Demetrescu, Matei
;
Hanck, Christoph
- In:
Journal of business & economic statistics : JBES ; a …
30
(
2012
)
2
,
pp. 256-264
Persistent link: https://www.econbiz.de/10009657345
Saved in:
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