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subject:"Panel"
subject:"Stochastic process"
~isPartOf:"Cambridge working papers in economics"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~isPartOf:"Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria"
~isPartOf:"Journal of econometrics"
~subject:"Volatility"
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Search: subject_exact:"Estimation theory"
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Panel
Stochastic process
Volatility
Estimation theory
2,206
Schätztheorie
2,206
Theorie
678
Theory
678
Zeitreihenanalyse
396
Time series analysis
395
Nichtparametrisches Verfahren
388
Nonparametric statistics
388
Regression analysis
318
Regressionsanalyse
318
Estimation
296
Schätzung
292
Panel study
197
Statistical test
181
Statistischer Test
181
Volatilität
133
Method of moments
114
Momentenmethode
113
Induktive Statistik
99
Statistical inference
99
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92
Prognoseverfahren
92
Autocorrelation
88
Autokorrelation
88
Maximum likelihood estimation
87
Maximum-Likelihood-Schätzung
87
Bootstrap approach
85
Bootstrap-Verfahren
85
Instrumental variables
83
Cointegration
82
Kointegration
81
Statistical theory
81
Statistische Methodenlehre
81
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74
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74
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71
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71
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21
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333
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Pesaran, M. Hashem
11
Su, Liangjun
11
Todorov, Viktor
11
Baltagi, Badi H.
9
Bai, Jushan
8
Li, Jia
8
Linton, Oliver
8
Tauchen, George Eugene
8
Phillips, Peter C. B.
7
Andersen, Torben
6
Jochmans, Koen
6
Li, Kunpeng
6
Li, Yingying
6
Zakoïan, Jean-Michel
6
Francq, Christian
5
Gao, Jiti
5
Hsiao, Cheng
5
Kim, Donggyu
5
Lee, Lung-fei
5
Mykland, Per A.
5
Peng, Bin
5
Sarafidis, Vasilis
5
Chudik, Alexander
4
Hayakawa, Kazuhiko
4
Jin, Sainan
4
Li, Guodong
4
Park, Joon Y.
4
Robinson, Peter M.
4
Weidner, Martin
4
Westerlund, Joakim
4
Yu, Jihai
4
Zhang, Lan
4
Arellano, Manuel
3
Aït-Sahalia, Yacine
3
Bollerslev, Tim
3
Feng, Guohua
3
Fernández-Val, Iván
3
Kao, Chihwa
3
Li, Dong
3
Meddahi, Nour
3
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University of Cambridge / Department of Applied Economics
2
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1
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Cambridge working papers in economics
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
Journal of econometrics
Economics letters
127
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
89
Econometric reviews
87
Discussion paper / Tinbergen Institute
54
The econometrics journal
53
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46
CEMMAP working papers / Centre for Microdata Methods and Practice
40
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39
Discussion paper series / IZA
31
CREATES research paper
30
Working paper / Department of Econometrics and Business Statistics, Monash University
29
CESifo working papers
28
Applied economics letters
27
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
25
Econometrics : open access journal
23
Cowles Foundation discussion paper
22
Journal of empirical finance
22
Empirical economics : a quarterly journal of the Institute for Advanced Studies
21
NBER Working Paper
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
20
International journal of forecasting
19
Journal of risk and financial management : JRFM
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Working paper
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Applied economics
18
Computational economics
18
NBER working paper series
18
European journal of operational research : EJOR
17
Oxford bulletin of economics and statistics
17
Quantitative economics : QE ; journal of the Econometric Society
17
Quantitative finance
17
Discussion paper
16
Finance research letters
16
Journal of banking & finance
16
Journal of financial econometrics
16
CESifo Working Paper Series
15
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
15
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ECONIS (ZBW)
355
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1
CCE estimation of high-dimensional panel data models with interactive fixed effects
Vogt, Michael
;
Walsh, Christopher
;
Linton, Oliver
-
2022
Persistent link: https://www.econbiz.de/10013485021
Saved in:
2
Nonparametric estimation of large spot volatility matrices for high-frequency financial data
Bu, Ruijun
;
Li, Degui
;
Linton, Oliver
;
Wang, Hanchao
-
2022
-
This version: March 16, 2022
Persistent link: https://www.econbiz.de/10013263439
Saved in:
3
Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Li, Yu-Ning
;
Chen, Jia
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013259517
Saved in:
4
Robust estimation of integrated volatility
Li, Zhen
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013206057
Saved in:
5
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
Saved in:
6
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:
7
Binary response models for heterogeneous panel data with interactive fixed effects
Gao, Jiti
;
Liu, Fei
;
Peng, Bin
;
Yan, Yayi
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1654-1679
Persistent link: https://www.econbiz.de/10014471421
Saved in:
8
Jackknife estimation of a cluster-sample IV regression model with many weak instruments
Chao, John C.
;
Swanson, Norman R.
;
Woutersen, Tiemen
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1747-1769
Persistent link: https://www.econbiz.de/10014471426
Saved in:
9
A new generalized exponentially weighted moving average quantile model and its statistical inference
Zhu, Ke
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471471
Saved in:
10
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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