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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~isPartOf:"The econometrics journal"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Volatility
Time series analysis
Estimation theory
682
Schätztheorie
682
Theorie
273
Theory
273
Zeitreihenanalyse
125
Nichtparametrisches Verfahren
104
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104
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Article
142
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Article in journal
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142
Conference paper
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English
142
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Phillips, Peter C. B.
5
Nelson, Daniel B.
4
Abadir, Karim Maher
3
Hadri, Kaddour
3
Tauchen, George Eugene
3
Andrews, Donald W. K.
2
Baillie, Richard
2
Dufour, Jean-Marie
2
Foster, Dean P.
2
Kapetanios, George
2
Li, Jia
2
Li, Jing
2
Perron, Pierre
2
Sims, Christopher A.
2
Stock, James H.
2
Teräsvirta, Timo
2
Tzavalis, Elias
2
Uhlig, Harald
2
Velasco, Carlos
2
Watson, Mark W.
2
White, Halbert
2
Abbara, Omar
1
Alvarez, Javier
1
Anatolyev, Stanislav
1
Arellano, Manuel
1
Bai, Jushan
1
Banerjee, Anurag Narayan
1
Baruník, Jozef
1
Bekiros, Stelios
1
Bierens, Herman J.
1
Blazsek, Szabolcs
1
Bu, Ruijun
1
Carnero, M. Angeles
1
Chambers, Marcus J.
1
Chan, Jennifer So Kuen
1
Chen, Jia
1
Chen, Xiaohong
1
Cheng, Jie
1
Chevallier, Julien
1
Chuffart, Thomas
1
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
The econometrics journal
Journal of econometrics
364
Econometric theory
167
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
161
Economics letters
151
Econometric reviews
97
International journal of forecasting
70
Journal of forecasting
61
Applied economics letters
54
Econometrics : open access journal
51
Economic modelling
44
Journal of time series econometrics
40
Journal of empirical finance
38
Applied economics
37
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
37
Journal of the American Statistical Association : JASA
37
Computational economics
35
Journal of applied econometrics
33
Journal of financial econometrics : official journal of the Society for Financial Econometrics
30
Oxford bulletin of economics and statistics
23
Finance research letters
22
Journal of banking & finance
21
Journal of risk and financial management : JRFM
21
Journal of financial econometrics
18
Quantitative finance
18
International journal of economics and financial issues : IJEFI
16
The North American journal of economics and finance : a journal of financial economics studies
16
Journal of macroeconomics
15
The review of economics and statistics
15
International journal of theoretical and applied finance
14
Journal of economic dynamics & control
14
Quantitative economics : QE ; journal of the Econometric Society
14
The review of economic studies
13
Journal of quantitative economics
12
Empirical economics : a quarterly journal of the Institute for Advanced Studies
11
Energy economics
11
Central European journal of economic modelling and econometrics
10
European journal of operational research : EJOR
10
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ECONIS (ZBW)
142
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51
Common time variation of parameters in reduced-form macroeconomic models
Stevanovic, Dalibor
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
2
,
pp. 159-183
Persistent link: https://www.econbiz.de/10011507469
Saved in:
52
On the estimation of short memory components in long memory time series models
Baillie, Richard
;
Kapetanios, George
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
4
,
pp. 365-375
Persistent link: https://www.econbiz.de/10011649095
Saved in:
53
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
Saved in:
54
Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector
Ericsson, Neil R.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
4
,
pp. 377-398
Persistent link: https://www.econbiz.de/10011649116
Saved in:
55
A non-linear forecast combination procedure for binary outcomes
Lahiri, Kajal
;
Yang, Liu
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
4
,
pp. 421-440
Persistent link: https://www.econbiz.de/10011649134
Saved in:
56
Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
Jensen, Mark J.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
4
,
pp. 455-475
Persistent link: https://www.econbiz.de/10011649139
Saved in:
57
Effects of filtering data on testing asymmetry in threshold autoregressive models
Li, Jing
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
5
,
pp. 549-565
Persistent link: https://www.econbiz.de/10011649160
Saved in:
58
Testing for structural change under non-stationary variances
Xu, Ke-Li
- In:
The econometrics journal
18
(
2015
)
2
,
pp. 274-305
Persistent link: https://www.econbiz.de/10011378499
Saved in:
59
Non-parametric estimation of copula parameters : testing for time-varying correlation
Gong, Jinguo
;
Wu, Weiou
;
McMillan, David G.
;
Shi, Daimin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
1
,
pp. 93-106
Persistent link: https://www.econbiz.de/10011311193
Saved in:
60
Testing for co-nonlinearity
Hungnes, Håvard
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
3
,
pp. 339-353
Persistent link: https://www.econbiz.de/10011339430
Saved in:
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