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subject:"Volatility"
type_genre:"Article in journal"
~accessRights:"restricted"
~person:"Su, Liangjun"
~person:"Teräsvirta, Timo"
~subject:"Statistical test"
~subject:"Statistischer Test"
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Search: subject_exact:"Estimation theory"
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Volatility
Statistical test
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Estimation theory
28
Schätztheorie
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10
Panel
9
Panel study
9
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Article in journal
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Su, Liangjun
Teräsvirta, Timo
Todorov, Viktor
10
Bera, Anil K.
9
Kumar, Dilip
9
Li, Jia
9
Francq, Christian
7
Cai, Zongwu
6
Demetrescu, Matei
6
Doğan, Osman
6
Dufour, Jean-Marie
6
Kim, Donggyu
6
Li, Yingying
6
Mykland, Per A.
6
Tauchen, George Eugene
6
Taṣpınar, Süleyman
6
Andersen, Torben
5
Liu, Zhi
5
Maheswaran, S.
5
Sun, Yixiao
5
Zhu, Ke
5
Andrews, Donald W. K.
4
Baltagi, Badi H.
4
Bollerslev, Tim
4
Hill, Jonathan B.
4
Khalaf, Lynda
4
Mancino, Maria Elvira
4
Shaikh, Azeem M.
4
Shi, Xiaoxia
4
Sucarrat, Genaro
4
Varneskov, Rasmus Tangsgaard
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Wang, Yazhen
4
Wu, Xinyu
4
Zakoïan, Jean-Michel
4
Zhang, Lan
4
Anatolyev, Stanislav
3
Andrews, Isaiah
3
Bauwens, Luc
3
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Econometric reviews
3
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2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
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1
Comprehensively testing linearity hypothesis using the smooth transition autoregressive model
Seong, Dakyung
;
Cho, Jin Seo
;
Teräsvirta, Timo
- In:
Econometric reviews
41
(
2022
)
8
,
pp. 966-984
Persistent link: https://www.econbiz.de/10013364922
Saved in:
2
Testing alphas in conditional time-varying factor models with high-dimensional assets
Ma, Shujie
;
Lan, Wei
;
Su, Liangjun
;
Tsai, Chih-Ling
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
1
,
pp. 214-227
Persistent link: https://www.econbiz.de/10012179549
Saved in:
3
Specification and testing of multiplicative time-varying GARCH models with applications
Amado, Cristina
;
Teräsvirta, Timo
- In:
Econometric reviews
36
(
2017
)
4
,
pp. 421-446
Persistent link: https://www.econbiz.de/10011795239
Saved in:
4
A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
Catani, Paul
;
Teräsvirta, Timo
;
Yin, Meiqun
- In:
Econometric reviews
36
(
2017
)
6/9
,
pp. 599-621
Persistent link: https://www.econbiz.de/10011795292
Saved in:
5
A martingale-difference-divergence-based test for specification
Su, Liangjun
;
Zheng, Xin
- In:
Economics letters
156
(
2017
),
pp. 162-167
Persistent link: https://www.econbiz.de/10011822395
Saved in:
6
A practical test for strict exogeneity in linear panel data models with fixed effects
Su, Liangjun
;
Zhang, Yonghui
;
Wei, Jie
- In:
Economics letters
147
(
2016
),
pp. 27-31
Persistent link: https://www.econbiz.de/10011619338
Saved in:
7
Testing for monotonicity in unobservables under unconfoundedness
Hoderlein, Stefan
;
Su, Liangjun
;
White, Halbert
;
Yang, …
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 183-202
Persistent link: https://www.econbiz.de/10011704789
Saved in:
8
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
4
,
pp. 347-364
Persistent link: https://www.econbiz.de/10011649097
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