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subject:"United States"
subject:"Volatility"
~isPartOf:"Econometric theory"
~subject:"ARCH model"
~subject:"Unit root test"
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Search: subject_exact:"Estimation theory"
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United States
Volatility
ARCH model
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Estimation theory
724
Schätztheorie
724
Theorie
285
Theory
285
Time series analysis
159
Zeitreihenanalyse
159
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Linton, Oliver
6
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3
Chan, Ngai Hang
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3
Horváth, Lajos
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Kokoszka, Piotr
3
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3
Berkes, István
2
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2
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2
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2
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2
Leybourne, Stephen James
2
Li, Jia
2
Park, Joon Y.
2
Phillips, Peter C. B.
2
Saikkonen, Pentti
2
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2
Zaffaroni, Paolo
2
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2
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2
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1
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1
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1
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Econometric theory
Journal of econometrics
193
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
149
Economics letters
71
The review of economics and statistics
46
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45
Econometric reviews
45
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40
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30
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29
International journal of forecasting
28
Journal of financial econometrics : official journal of the Society for Financial Econometrics
26
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24
Economic modelling
23
Journal of banking & finance
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Finance research letters
22
American journal of agricultural economics
20
Journal of time series econometrics
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NBER working paper series
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18
Econometrics : open access journal
18
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18
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16
Journal of risk and financial management : JRFM
15
The review of financial studies
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International journal of theoretical and applied finance
14
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Oxford bulletin of economics and statistics
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ECONIS (ZBW)
71
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1
Estimation and inference with near unit roots
Phillips, Peter C. B.
- In:
Econometric theory
39
(
2023
)
2
,
pp. 221-263
Persistent link: https://www.econbiz.de/10014306253
Saved in:
2
Least squares and IVX limit theory in systems of predictive regressions with GARCH innovations
In:
Econometric theory
38
(
2022
)
5
,
pp. 875-912
Persistent link: https://www.econbiz.de/10013469682
Saved in:
3
Nonstationary linear processes with infinite variance GARCH errors
Zhang, Rongmao
;
Chan, Ngai Hang
- In:
Econometric theory
37
(
2021
)
5
,
pp. 892-925
Persistent link: https://www.econbiz.de/10012656388
Saved in:
4
Estimation of volatility functions in jump diffusions using truncated bipower increments
Kim, Jihyun
;
Park, Joon Y.
;
Wang, Bin
- In:
Econometric theory
37
(
2021
)
5
,
pp. 926-958
Persistent link: https://www.econbiz.de/10012656389
Saved in:
5
Efficient estimation of integrated volatility functionals under general volatility dynamics
Li, Jia
;
Liu, Yunxiao
- In:
Econometric theory
37
(
2021
)
4
,
pp. 664-707
Persistent link: https://www.econbiz.de/10012618196
Saved in:
6
Asymptotic theory for kernel estimators under moderate deviations from a unit root, with an application to the asymptotic size of nonparametric tests
Duffy, James A.
- In:
Econometric theory
36
(
2020
)
4
,
pp. 559-582
Persistent link: https://www.econbiz.de/10012258405
Saved in:
7
QML inference for volatility models with covariates
Francq, Christian
;
Le Quyen Thieu
- In:
Econometric theory
35
(
2019
)
1
,
pp. 37-72
Persistent link: https://www.econbiz.de/10012146117
Saved in:
8
Characterizations of multinormality and corresponding tests of fit, including for GARCH models
Henze, Norbert
;
Jiménez-Gamero, M. Dolores
;
Meintanis, …
- In:
Econometric theory
35
(
2019
)
3
,
pp. 510-546
Persistent link: https://www.econbiz.de/10012146149
Saved in:
9
Dynamic panel Anderson-Hsiao estimation with roots near unity
Phillips, Peter C. B.
- In:
Econometric theory
34
(
2018
)
2
,
pp. 253-276
Persistent link: https://www.econbiz.de/10011950953
Saved in:
10
Unit root inference for non-stationary linear processes driven by infinite variance innovations
Cavaliere, Giuseppe
;
Georgiev, Iliyan
;
Taylor, Robert
- In:
Econometric theory
34
(
2018
)
2
,
pp. 302-348
Persistent link: https://www.econbiz.de/10011950958
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