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subject:"Time series analysis"
subject:"United States"
~isPartOf:"International journal of forecasting"
~isPartOf:"Journal of econometrics"
~isPartOf:"Working papers in economics and econometrics"
~person:"Pesaran, M. Hashem"
~person:"Tauchen, George Eugene"
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Time series analysis
United States
Estimation
15
Schätzung
15
Estimation theory
8
Schätztheorie
8
Volatility
7
Volatilität
7
Stochastic process
6
Stochastischer Prozess
6
Theorie
6
Theory
6
Zeitreihenanalyse
6
Börsenkurs
5
High-frequency data
5
Share price
5
Stochastic volatility
5
Capital income
3
Kapitaleinkommen
3
VAR model
3
VAR-Modell
3
Adaptive estimation
2
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2
Beta
2
Beta risk
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Großbritannien
2
Martingal
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Martingale
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Nichtlineare Regression
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Nichtparametrisches Verfahren
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Option pricing theory
2
Optionspreistheorie
2
Prognoseverfahren
2
Semimartingale
2
Semiparametric efficiency
2
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2
USA
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8
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Pesaran, M. Hashem
Tauchen, George Eugene
Todorov, Viktor
7
Koopman, Siem Jan
6
Bollerslev, Tim
5
Kim, Donggyu
5
Koop, Gary
5
Li, Jia
5
Andersen, Torben
3
Baltagi, Badi H.
3
Blasques, Francisco
3
Dijk, Dick van
3
Ergemen, Yunus Emre
3
Fan, Jianqing
3
Lucas, André
3
Patton, Andrew J.
3
Phillips, Peter C. B.
3
Taylor, Robert
3
Wang, Yazhen
3
Aruoba, S. Borağan
2
Athanasopoulos, George
2
Aït-Sahalia, Yacine
2
Barigozzi, Matteo
2
Bauwens, Luc
2
Catania, Leopoldo
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Chauvet, Marcelle
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2
Hounyo, Ulrich
2
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2
Kao, Chihwa
2
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2
La Vecchia, Davide
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International journal of forecasting
Journal of econometrics
Working papers in economics and econometrics
CESifo working papers
11
Cambridge working papers in economics
6
DAE working paper
5
Journal of applied econometrics
4
CESifo Working Paper
2
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2
DNB working paper
2
Discussion paper series / IZA
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ERID working paper
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IZA Discussion Paper
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of empirical finance
2
Advances in economics and econometrics: theory and applications ; Vol. 3
1
Computation and estimation in finance and economics
1
Discussion paper / Centre for Economic Policy Research
1
Discussion paper / Department of Economics, University of California San Diego
1
Discussion paper / Deutsche Bundesbank
1
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1
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1
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1
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1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Econometrics : open access journal
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
Finance and economics discussion series
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Globalization Institute Working Paper
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Handbook of economic forecasting ; 1
1
IEPR Working Paper
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IMF working paper
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Journal of financial economics
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Kiel working paper
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Macroeconomic dynamics
1
Panel data econometrics : future directions : papers in honour of professor Pietro Balestra
1
Quantitative economics : QE ; journal of the Econometric Society
1
SFB 649 discussion paper
1
The experiment in applied econometrics
1
The review of financial studies
1
USC-INET Research Paper
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ECONIS (ZBW)
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1
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:
2
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:
3
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
4
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
5
Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
164
(
2011
)
2
,
pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
Saved in:
6
Impulse response analysis in nonlinear multivariate models
Koop, Gary
;
Pesaran, M. Hashem
;
Potter, Simon M.
- In:
Journal of econometrics
74
(
1996
)
1
,
pp. 119-147
Persistent link: https://www.econbiz.de/10001755367
Saved in:
7
Forecasting ultimate resource recovery
Pesaran, M. Hashem
- In:
International journal of forecasting
11
(
1995
)
4
,
pp. 543-555
Persistent link: https://www.econbiz.de/10001203022
Saved in:
8
Small sample adjustments for the J-test
Godfrey, L. G.
;
Godfrey, L.G.
;
Pesaran, M.H.
-
1983
Persistent link: https://www.econbiz.de/10000012596
Saved in:
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