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subject:"Prognoseverfahren"
subject:"Regression analysis"
~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 econometrics"
~person:"Fan, Jianqing"
~person:"Lee, Ji Hyung"
~subject:"Volatility"
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Search: subject_exact:"Estimation theory"
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Prognoseverfahren
Regression analysis
Volatility
Estimation theory
14
Schätztheorie
14
Regressionsanalyse
8
Forecasting model
7
Correlation
4
Factor model
4
Korrelation
4
Predictive regression
4
Time series analysis
4
Zeitreihenanalyse
4
Quantile regression
3
Robust statistics
3
Robustes Verfahren
3
ARCH model
2
ARCH-Modell
2
Cointegration
2
Estimation
2
Factor analysis
2
Faktorenanalyse
2
IVX methods
2
Instrumentation
2
Kointegration
2
Local to unity
2
Matrix completion
2
Mild integration
2
POET
2
Robustness
2
Schätzung
2
Sparsity
2
Volatilität
2
Adaptive lasso
1
Approximate factor model
1
Artificial intelligence
1
Asymptotic theory
1
Balanced regression
1
Bayes-Statistik
1
Bayesian inference
1
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10
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English
10
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Fan, Jianqing
Lee, Ji Hyung
Todorov, Viktor
11
Phillips, Peter C. B.
9
Chen, Songnian
8
Li, Jia
8
Linton, Oliver
8
Tauchen, George Eugene
8
Andersen, Torben
6
Li, Yingying
6
Su, Liangjun
6
Sun, Yiguo
6
Taylor, Robert
6
Tu, Yundong
6
Cai, Zongwu
5
Kim, Donggyu
5
Li, Degui
5
Li, Qi
5
Mykland, Per A.
5
Park, Joon Y.
5
Robinson, Peter M.
5
Breunig, Christoph
4
Corradi, Valentina
4
Demetrescu, Matei
4
Fan, Yanqin
4
Florens, Jean-Pierre
4
Francq, Christian
4
Hansen, Christian Bailey
4
Koopman, Siem Jan
4
Sasaki, Yuya
4
Simoni, Anna
4
Swanson, Norman R.
4
White, Halbert
4
Xu, Ke-Li
4
Yu, Ping
4
Zakoïan, Jean-Michel
4
Zhang, Lan
4
Aït-Sahalia, Yacine
3
Bertanha, Marinho
3
Bollerslev, Tim
3
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
Journal of econometrics
Journal of the American Statistical Association : JASA
5
Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
1
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ECONIS (ZBW)
10
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1
Predictive quantile regression with mixed roots and increasing dimensions : the ALQR approach
Fan, Rui
;
Lee, Ji Hyung
;
Shin, Youngki
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-19
Persistent link: https://www.econbiz.de/10014471819
Saved in:
2
On LASSO for predictive regression
Lee, Ji Hyung
;
Shi, Zhentao
;
Gao, Zhan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 322-349
Persistent link: https://www.econbiz.de/10013441886
Saved in:
3
Bayesian factor-adjusted sparse regression
Fan, Jianqing
;
Jiang, Bai
;
Sun, Qiang
- In:
Journal of econometrics
230
(
2022
)
1
,
pp. 3-19
Persistent link: https://www.econbiz.de/10013441909
Saved in:
4
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu
;
Fan, Jianqing
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
Saved in:
5
Structured volatility matrix estimation for non-synchronized high-frequency financial data
Fan, Jianqing
;
Kim, Donggyu
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 61-78
Persistent link: https://www.econbiz.de/10012302521
Saved in:
6
Generalized high-dimensional trace regression via nuclear norm regularization
Fan, Jianqing
;
Gong, Wenyan
;
Zhu, Ziwei
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 177-202
Persistent link: https://www.econbiz.de/10012303917
Saved in:
7
Predictive quantile regressions under persistence and conditional heteroskedasticity
Fan, Rui
;
Lee, Ji Hyung
- In:
Journal of econometrics
213
(
2019
)
1
,
pp. 261-280
Persistent link: https://www.econbiz.de/10012304551
Saved in:
8
Predictive quantile regression with persistent covariates : IVX-QR approach
Lee, Ji Hyung
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 105-118
Persistent link: https://www.econbiz.de/10011616003
Saved in:
9
Robust econometric inference with mixed integrated and mildly explosive regressors
Phillips, Peter C. B.
;
Lee, Ji Hyung
- In:
Journal of econometrics
192
(
2016
)
2
,
pp. 433-450
Persistent link: https://www.econbiz.de/10011704727
Saved in:
10
Predictive regression under various degrees of persistence and robust long-horizon regression
Phillips, Peter C. B.
;
Lee, Ji Hyung
- In:
Journal of econometrics
177
(
2013
)
2
,
pp. 250-264
Persistent link: https://www.econbiz.de/10010255189
Saved in:
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