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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:"Journal of banking & finance"
~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
2,094
Schätztheorie
2,094
Theorie
629
Theory
629
Zeitreihenanalyse
374
Time series analysis
373
Nichtparametrisches Verfahren
371
Nonparametric statistics
371
Regression analysis
299
Regressionsanalyse
299
Estimation
276
Schätzung
271
Panel study
185
Statistical test
177
Statistischer Test
177
Volatilität
142
Method of moments
114
Momentenmethode
113
Induktive Statistik
99
Statistical inference
99
Forecasting model
90
Prognoseverfahren
90
Maximum likelihood estimation
85
Maximum-Likelihood-Schätzung
85
Autocorrelation
84
Autokorrelation
84
Bootstrap approach
82
Bootstrap-Verfahren
82
Instrumental variables
80
Correlation
77
Korrelation
77
Statistical distribution
77
Statistical theory
77
Statistische Methodenlehre
77
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77
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73
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331
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338
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Pesaran, M. Hashem
11
Todorov, Viktor
11
Su, Liangjun
10
Bai, Jushan
8
Li, Jia
8
Linton, Oliver
8
Tauchen, George Eugene
8
Baltagi, Badi H.
7
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
Feng, Guohua
4
Hayakawa, Kazuhiko
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
Fernández-Val, Iván
3
Jin, Sainan
3
Kao, Chihwa
3
Li, Dong
3
Meddahi, Nour
3
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University of Cambridge / Department of Applied Economics
2
University of Cambridge / Faculty of Economics
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
Journal of banking & finance
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
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31
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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
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
19
International journal of forecasting
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Journal of risk and financial management : JRFM
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NBER working paper series
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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 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)
352
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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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