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subject:"Volatility"
type_genre:"Article in journal"
~accessRights:"restricted"
~person:"Kapetanios, George"
~person:"Zhu, Ke"
~subject:"Regression analysis"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Volatility
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Estimation theory
20
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13
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4
ARCH-Modell
4
Estimation
4
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Kapetanios, George
Zhu, Ke
Phillips, Peter C. B.
18
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13
Cai, Zongwu
12
Linton, Oliver
12
Li, Degui
11
Su, Liangjun
11
Tu, Yundong
11
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10
Taylor, Robert
10
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10
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9
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9
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9
Tsionas, Efthymios G.
9
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9
Chen, Songnian
8
Francq, Christian
8
Li, Qi
8
Peng, Liang
8
Wang, Shouyang
8
Xiao, Zhijie
8
Koopman, Siem Jan
7
Lee, Ji Hyung
7
Lütkepohl, Helmut
7
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7
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7
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7
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6
Baltagi, Badi H.
6
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6
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6
Hong, Yongmiao
6
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6
Li, Yingying
6
Ling, Shiqing
6
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6
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6
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Journal of econometrics
7
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2
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2
Economics letters
1
International journal of forecasting
1
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1
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ECONIS (ZBW)
16
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1
Forecasting in factor augmented regressions under structural change
Massacci, Daniele
;
Kapetanios, George
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 62-76
Persistent link: https://www.econbiz.de/10014450259
Saved in:
2
A new generalized exponentially weighted moving average quantile model and its statistical inference
Zhu, Ke
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471471
Saved in:
3
A new test for market efficiency and uncovered interest parity
Baillie, Richard
;
Diebold, Francis X.
;
Kapetanios, George
; …
- In:
Journal of international money and finance
130
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014248790
Saved in:
4
Testing error distribution by kernelized Stein discrepancy in multivariate time series models
Luo, Donghang
;
Zhu, Ke
;
Gong, Huan
;
Li, Dong
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 111-125
Persistent link: https://www.econbiz.de/10013540650
Saved in:
5
Multifrequency-band tests for white noise under heteroscedasticity
Liu, Mengya
;
Zhu, Fukang
;
Zhu, Ke
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 799-814
Persistent link: https://www.econbiz.de/10013534533
Saved in:
6
Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang
;
Zhu, Ke
;
Li, Guodong
;
Li, Wai Keung
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
Saved in:
7
Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
Jiang, Feiyu
;
Li, Dong
;
Zhu, Ke
- In:
Journal of econometrics
224
(
2021
)
2
,
pp. 306-329
Persistent link: https://www.econbiz.de/10013275393
Saved in:
8
Non-standard inference for augmented double autoregressive models with null volatility coefficients
Jiang, Feiyu
;
Li, Dong
;
Zhu, Ke
- In:
Journal of econometrics
215
(
2020
)
1
,
pp. 165-183
Persistent link: https://www.econbiz.de/10012439437
Saved in:
9
Double AR model without intercept : an alternative to modeling nonstationarity and heteroscedasticity
Li, Dong
;
Shaojun, Guo
;
Zhu, Ke
- In:
Econometric reviews
38
(
2019
)
3
,
pp. 319-331
Persistent link: https://www.econbiz.de/10012181294
Saved in:
10
Time-varying Lasso
Kapetanios, George
;
Zikes, Filip
- In:
Economics letters
169
(
2018
),
pp. 1-6
Persistent link: https://www.econbiz.de/10012019554
Saved in:
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