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subject:"Regressionsanalyse"
type_genre:"Collection of articles written by one author"
~isPartOf:"Journal of empirical finance"
~subject:"VAR model"
~type:"article"
~type_genre:"Article in journal"
~type_genre:"Bibliography included"
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Search: subject_exact:"Estimation theory"
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Regressionsanalyse
VAR model
Estimation theory
73
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Collection of articles written by one author
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Allen, David
1
Amihud, Yakov
1
Baillie, Richard
1
Berens, Tobias
1
Cheng, Wan-hsiu
1
Cho, Dooyeon
1
Hung, Jui-cheng
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Hurvich, Clifford M.
1
Jayetileke, Harshanie L.
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Kinnunen, Jyri
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Ren, Yu
1
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Sizova, Natalia
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1
Wang, Yi
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Weiß, Gregor
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Journal of empirical finance
Journal of econometrics
300
Economics letters
114
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
107
Econometric theory
99
Journal of the American Statistical Association : JASA
90
Econometric reviews
75
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Econometrics : open access journal
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European journal of operational research : EJOR
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Quantitative economics : QE ; journal of the Econometric Society
28
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
27
International journal of forecasting
26
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
24
Applied economics letters
22
Computational economics
22
Journal of forecasting
22
Insurance / Mathematics & economics
20
Journal of applied econometrics
19
Journal of risk and financial management : JRFM
19
Empirical economics : a quarterly journal of the Institute for Advanced Studies
18
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
16
Journal of econometric methods
14
Applied economics
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Journal of quantitative economics
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Statistics in transition : an international journal of the Polish Statistical Association
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Oxford bulletin of economics and statistics
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Organizational research methods : ORM
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The empirical economics letters : a monthly international journal of economics
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Risks : open access journal
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1
Predictive regression with p-lags and order-q autoregressive predictors
Jayetileke, Harshanie L.
;
Wang, You-Gan
;
Zhu, Min
- In:
Journal of empirical finance
62
(
2021
),
pp. 282-293
Persistent link: https://www.econbiz.de/10012693434
Saved in:
2
A comparison of non-Gaussian VaR estimation and portfolio construction techniques
Allen, David
;
Lizieri, Colin
;
Satchell, Stephen
- In:
Journal of empirical finance
58
(
2020
),
pp. 356-368
Persistent link: https://www.econbiz.de/10012430709
Saved in:
3
Balanced predictive regressions
Ren, Yu
;
Tu, Yundong
;
Yi, Yanping
- In:
Journal of empirical finance
54
(
2019
),
pp. 118-142
Persistent link: https://www.econbiz.de/10012174812
Saved in:
4
Dynamic cross-autocorrelation in stock returns
Kinnunen, Jyri
- In:
Journal of empirical finance
40
(
2017
),
pp. 162-173
Persistent link: https://www.econbiz.de/10011744473
Saved in:
5
Testing for structural breaks in correlations : does it improve Value-at-Risk forecasting?
Berens, Tobias
;
Weiß, Gregor
;
Wied, Dominik
- In:
Journal of empirical finance
32
(
2015
),
pp. 135-152
Persistent link: https://www.econbiz.de/10011556809
Saved in:
6
Time variation in the standard forward premium regression : some new models and tests
Baillie, Richard
;
Cho, Dooyeon
- In:
Journal of empirical finance
29
(
2014
),
pp. 52-63
Persistent link: https://www.econbiz.de/10011300505
Saved in:
7
A frequency-domain alternative to long-horizon regressions with application to return predictability
Sizova, Natalia
- In:
Journal of empirical finance
28
(
2014
),
pp. 261-272
Persistent link: https://www.econbiz.de/10011285632
Saved in:
8
Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns
Cheng, Wan-hsiu
;
Hung, Jui-cheng
- In:
Journal of empirical finance
18
(
2011
)
1
,
pp. 160-173
Persistent link: https://www.econbiz.de/10009301140
Saved in:
9
Predictive regression with order-p autoregressive predictors
Amihud, Yakov
;
Hurvich, Clifford M.
;
Wang, Yi
- In:
Journal of empirical finance
17
(
2010
)
3
,
pp. 513-525
Persistent link: https://www.econbiz.de/10009267284
Saved in:
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