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subject:"Time series analysis"
subject:"United States"
~isPartOf:"Journal of econometrics"
~person:"Hautsch, Nikolaus"
~person:"Kim, Donggyu"
~person:"Neumark, David"
~person:"Pesaran, M. Hashem"
~subject:"Nichtlineare Regression"
~subject:"United Kingdom"
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Time series analysis
United States
Nichtlineare Regression
United Kingdom
Estimation
9
Schätzung
9
Estimation theory
6
Schätztheorie
6
Zeitreihenanalyse
6
Volatility
5
Volatilität
5
Börsenkurs
4
Forecasting model
4
Prognoseverfahren
4
Share price
4
ARCH model
3
ARCH-Modell
3
Sparsity
3
Theorie
3
Theory
3
VAR model
3
VAR-Modell
3
Aggregation
2
Analysis
2
Factor analysis
2
Factor model
2
Faktorenanalyse
2
Financial market
2
Finanzmarkt
2
GARCH
2
Großbritannien
2
Mathematical analysis
2
Maximum likelihood estimation
2
Maximum-Likelihood-Schätzung
2
POET
2
Quasi-maximum likelihood estimator
2
Stochastic differential equation
2
Stochastic process
2
Stochastischer Prozess
2
1972-1987
1
Adaptive thresholding
1
Cointegration
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English
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Hautsch, Nikolaus
Kim, Donggyu
Neumark, David
Pesaran, M. Hashem
Todorov, Viktor
7
Tauchen, George Eugene
6
Bollerslev, Tim
5
Koop, Gary
5
Li, Jia
5
Andersen, Torben
3
Baltagi, Badi H.
3
Fan, Jianqing
3
Patton, Andrew J.
3
Phillips, Peter C. B.
3
Taylor, Robert
3
Wang, Yazhen
3
Aruoba, S. Borağan
2
Aït-Sahalia, Yacine
2
Barigozzi, Matteo
2
Christensen, Kim
2
Diebold, Francis X.
2
Dijk, Dick van
2
Ergemen, Yunus Emre
2
Fulop, Andras
2
Gouriéroux, Christian
2
Hallin, Marc
2
Han, Xu
2
Hounyo, Ulrich
2
Inoue, Atsushi
2
Kao, Chihwa
2
Kong, Xin-Bing
2
Koopman, Siem Jan
2
La Vecchia, Davide
2
Li, Kunpeng
2
Li, Yingying
2
Linton, Oliver
2
McAleer, Michael
2
Medeiros, Marcelo C.
2
Mroz, Thomas A.
2
Quaedvlieg, Rogier
2
Robinson, Peter M.
2
Ryu, Hang-keun
2
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Journal of econometrics
CESifo working papers
13
Working paper / National Bureau of Economic Research, Inc.
13
SFB 649 discussion paper
10
CFS working paper series
7
Cambridge working papers in economics
6
DAE working paper
6
Discussion paper series / IZA
5
Journal of applied econometrics
5
Applied quantitative finance
3
CESifo Working Paper Series
3
IZA Discussion Paper
3
Industrial relations : a journal of economy & society
3
CESifo Working Paper
2
DNB working paper
2
Econometrics : open access journal
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of empirical finance
2
Birkbeck working papers in economics and finance : BWPEF
1
CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute
1
CREATES research paper
1
CoFE discussion papers
1
Discussion paper
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
Discussion paper in financial economics : FE
1
Discussion paper series / LSE Financial Markets Group
1
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
1
Discussion papers in economics
1
Document de treball de l'IEB
1
Econometric reviews
1
European finance review : the official journal of the European Finance Association
1
Globalization Institute Working Paper
1
Handbook of economic forecasting ; 1
1
Health economics
1
IEPR Working Paper
1
ILR review : the journal of work and policy
1
IMF working paper
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IZA journal of labor policy
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ECONIS (ZBW)
8
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1
Volatility analysis with realized GARCH-Itô models
Song, Xinyu
;
Kim, Donggyu
;
Yuan, Huiling
;
Cui, Xiangyu
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
Saved in:
2
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:
3
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:
4
Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
Kim, Donggyu
;
Kong, Xin-Bing
;
Li, Cui-Xia
;
Wang, Yazhen
- In:
Journal of econometrics
203
(
2018
)
1
,
pp. 69-79
Persistent link: https://www.econbiz.de/10011974617
Saved in:
5
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu
;
Wang, Yazhen
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 220-230
Persistent link: https://www.econbiz.de/10011705111
Saved in:
6
Cross-sectional aggregation of non-linear models
VanGarderen, Kees Jan
;
Lee, Kevin C.
;
Pesaran, M. Hashem
- In:
Journal of econometrics
95
(
2000
)
2
,
pp. 285-331
Persistent link: https://www.econbiz.de/10001435991
Saved in:
7
Structural analysis of vector error correction models with exogenous I (1) variables
Pesaran, M. Hashem
;
Shin, Yongcheol
;
Smith, Richard J.
- In:
Journal of econometrics
97
(
2000
)
2
,
pp. 293-343
Persistent link: https://www.econbiz.de/10001496593
Saved in:
8
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:
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