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subject:"Prognoseverfahren"
subject:"USA"
~isPartOf:"Journal of econometrics"
~isPartOf:"Technical working paper / National Bureau of Economic Research"
~person:"Li, Jia"
~person:"Taylor, Robert"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Prognoseverfahren
USA
Time series analysis
Estimation theory
19
Schätztheorie
19
Zeitreihenanalyse
15
Estimation
7
Schätzung
7
Volatility
7
Volatilität
7
Börsenkurs
6
Regression analysis
6
Regressionsanalyse
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Share price
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Structural break
6
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6
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5
Kapitaleinkommen
5
Bootstrap approach
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Bootstrap-Verfahren
4
Einheitswurzeltest
4
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4
High-frequency data
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Stochastic process
4
Stochastischer Prozess
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Unit root test
4
Adaptive estimation
3
Endogeneity
3
Nichtparametrisches Verfahren
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Nonparametric statistics
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Predictive regression
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Specification test
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Statistical test
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Statistischer Test
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Stochastic volatility
3
(Un)conditional heteroskedasticity
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2
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2
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2
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2
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Li, Jia
Taylor, Robert
Phillips, Peter C. B.
12
Leybourne, Stephen James
8
Linton, Oliver
8
Elliott, Graham
6
Stock, James H.
6
Todorov, Viktor
6
Andersen, Torben
5
Chen, Xiaohong
5
Davis, Richard A.
5
Francq, Christian
5
Harvey, David I.
5
Kim, Donggyu
5
Koopman, Siem Jan
5
Lee, Ji Hyung
5
Li, Qi
5
Li, Yingying
5
Nelson, Daniel B.
5
Robinson, Peter M.
5
Tauchen, George Eugene
5
Xiao, Zhijie
5
Zhu, Ke
5
Abadie, Alberto
4
Angrist, Joshua D.
4
Baltagi, Badi H.
4
Bollerslev, Tim
4
Cai, Zongwu
4
Chambers, Marcus J.
4
Demetrescu, Matei
4
Georgiev, Iliyan
4
McCracken, Michael W.
4
Müller, Ulrich K.
4
Ng, Serena
4
Pesaran, M. Hashem
4
Shephard, Neil G.
4
Sun, Yixiao
4
Tu, Yundong
4
Watson, Mark W.
4
Zakoïan, Jean-Michel
4
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Journal of econometrics
Technical working paper / National Bureau of Economic Research
CREATES research paper
4
Econometric theory
4
Queen's Economics Department working paper
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Cowles Foundation discussion paper
1
ERID working paper
1
Econometric reviews
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
Journal of empirical finance
1
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Working paper / Department of Econometrics and Business Statistics, Monash University
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ECONIS (ZBW)
18
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1
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:
2
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:
3
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:
4
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
5
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
6
Uniform nonparametric inference for time series
Li, Jia
;
Liao, Zhipeng
- In:
Journal of econometrics
219
(
2020
)
1
,
pp. 38-51
Persistent link: https://www.econbiz.de/10012483186
Saved in:
7
Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
Harris, David
;
Kew, Hsein
;
Taylor, Robert
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 354-388
Persistent link: https://www.econbiz.de/10012483394
Saved in:
8
Testing for parameter instability in predictive regression models
Georgiev, Iliyan
;
Harvey, David I.
;
Leybourne, Stephen James
- In:
Journal of econometrics
204
(
2018
)
1
,
pp. 101-118
Persistent link: https://www.econbiz.de/10011974719
Saved in:
9
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
10
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
198
(
2017
)
1
,
pp. 165-188
Persistent link: https://www.econbiz.de/10011818374
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