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subject:"Probability theory"
subject:"Time series analysis"
~isPartOf:"Journal of econometrics"
~person:"Andersen, Torben"
~person:"Chen, Xiaohong"
~person:"Johansen, Søren"
~subject:"Autokorrelation"
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Search: subject_exact:"Estimation theory"
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Probability theory
Time series analysis
Autokorrelation
Estimation theory
24
Schätztheorie
24
Zeitreihenanalyse
13
Nichtparametrisches Verfahren
10
Nonparametric statistics
10
Volatility
6
Volatilität
6
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Estimation
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Andersen, Torben
Chen, Xiaohong
Johansen, Søren
Phillips, Peter C. B.
12
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9
Sun, Yixiao
9
Taylor, Robert
9
Linton, Oliver
8
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8
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6
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6
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6
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6
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5
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5
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5
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5
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5
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4
Francq, Christian
4
Harvey, David I.
4
Koopman, Siem Jan
4
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4
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4
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3
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Journal of econometrics
CREATES research paper
10
Discussion papers / Department of Economics, University of Copenhagen
7
Econometric theory
6
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4
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3
Econometrics : open access journal
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ECONIS (ZBW)
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1
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
Saved in:
2
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
Saved in:
3
Copula-based time series with filtered nonstationarity
Chen, Xiaohong
;
Xiao, Zhijie
;
Wang, Bo
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 127-155
Persistent link: https://www.econbiz.de/10013441732
Saved in:
4
Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
Chen, Xiaohong
;
Huang, Zhuo
;
Yi, Yanping
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 484-501
Persistent link: https://www.econbiz.de/10012619712
Saved in:
5
Consistent inference for predictive regressions in persistent economic systems
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 215-244
Persistent link: https://www.econbiz.de/10013275373
Saved in:
6
Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
Chen, Xiaohong
;
Christensen, Timothy M.
- In:
Journal of econometrics
188
(
2015
)
2
,
pp. 447-465
Persistent link: https://www.econbiz.de/10011503628
Saved in:
7
An asymptotic invariance property of the common trends under linear transformations of the data
Johansen, Søren
;
Jusélius, Katarina
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 310-315
Persistent link: https://www.econbiz.de/10010256144
Saved in:
8
Sieve inference on possibly misspecified semi-nonparametric time series models
Chen, Xiaohong
;
Liao, Zhipeng
;
Sun, Yixiao
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 639-658
Persistent link: https://www.econbiz.de/10010257367
Saved in:
9
Least squares estimation in a simple random coefficient autoregressive model
Johansen, Søren
;
Lange, Theis
- In:
Journal of econometrics
177
(
2013
)
2
,
pp. 285-288
Persistent link: https://www.econbiz.de/10010255147
Saved in:
10
Jump-robust volatility estimation using nearest neighbor truncation
Andersen, Torben
;
Dobrev, Dobrislav
;
Schaumburg, Ernst
- In:
Journal of econometrics
169
(
2012
)
1
,
pp. 75-93
Persistent link: https://www.econbiz.de/10009666722
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