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subject:"Volatility"
type_genre:"Article in journal"
~person:"Cai, Zongwu"
~person:"Demetrescu, Matei"
~subject:"Autokorrelation"
~subject:"Statistical test"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Volatility
Autokorrelation
Statistical test
Estimation theory
43
Schätztheorie
43
Regression analysis
18
Regressionsanalyse
18
Nichtparametrisches Verfahren
17
Nonparametric statistics
17
Statistischer Test
14
Forecasting model
13
Prognoseverfahren
13
Time series analysis
11
Zeitreihenanalyse
11
Estimation
10
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Endogeneity
5
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5
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5
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4
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4
Capital income
4
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4
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Autocorrelation
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Cai, Zongwu
Demetrescu, Matei
Lee, Lung-fei
29
Baltagi, Badi H.
16
Kumar, Dilip
16
Maheswaran, S.
14
Phillips, Peter C. B.
13
Bera, Anil K.
12
Jin, Fei
12
Sun, Yixiao
12
Todorov, Viktor
12
Francq, Christian
11
Li, Jia
11
Shi, Xiaoxia
10
Su, Liangjun
10
Tauchen, George Eugene
10
Teräsvirta, Timo
10
Doğan, Osman
9
Dufour, Jean-Marie
9
Zakoïan, Jean-Michel
9
Andrews, Donald W. K.
8
Cavaliere, Giuseppe
8
Chen, Yi-ting
8
Guggenberger, Patrik
8
Kristensen, Dennis
8
Perron, Pierre
8
Wang, Hansheng
8
White, Halbert
8
Andersen, Torben
7
Escanciano, Juan Carlos
7
Ghysels, Eric
7
Jin, Sainan
7
Kao, Chihwa
7
Kim, Donggyu
7
Kleibergen, Frank
7
Leybourne, Stephen James
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
Taylor, Robert
7
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Journal of econometrics
5
Econometric reviews
3
Economics letters
2
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
International journal of forecasting
1
Journal of applied econometrics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of time series econometrics
1
Oxford bulletin of economics and statistics
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ECONIS (ZBW)
17
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1
Robust inference under time-varying volatility : a real-time evaluation of professional forecasters
Demetrescu, Matei
;
Hanck, Christoph
;
Kruse-Becher, Robinson
- In:
Journal of applied econometrics
37
(
2022
)
5
,
pp. 1010-1030
Persistent link: https://www.econbiz.de/10013464645
Saved in:
2
Testing for episodic predictability in stock returns
Demetrescu, Matei
;
Georgiev, Iliyan
;
Rodrigues, Paulo M. M.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 85-113
Persistent link: https://www.econbiz.de/10013441625
Saved in:
3
Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence
Cai, Zongwu
;
Fang, Ying
;
Xu, Qiuhua
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 114-133
Persistent link: https://www.econbiz.de/10013441628
Saved in:
4
Testing heteroskedasticity for predictive regressions with nonstationary regressors
Hong, Shaoxin
;
Zhang, Zhengyi
;
Cai, Zongwu
- In:
Economics letters
201
(
2021
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012607071
Saved in:
5
Semiparametric inferences for panel data models with fixed effects via nearest neighbor difference transformation
Xu, Qiuhua
;
Cai, Zongwu
;
Fang, Ying
- In:
Econometric reviews
40
(
2021
)
10
,
pp. 919-943
Persistent link: https://www.econbiz.de/10012624566
Saved in:
6
Unified tests for a dynamic predictive regression
Yang, Bingduo
;
Liu, Xiaohui
;
Peng, Liang
;
Cai, Zongwu
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 684-699
Persistent link: https://www.econbiz.de/10012588007
Saved in:
7
An alternative test for conditional unconfoundedness using auxiliary variables
Fang, Ying
;
Tang, Shengfang
;
Cai, Zongwu
;
Lin, Ming
- In:
Economics letters
194
(
2020
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012509265
Saved in:
8
Bias corrections for exponentially transformed forecasts : are they worth the effort?
Demetrescu, Matei
;
Golosnoy, Vasyl
;
Titova, Anna
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 761-780
Persistent link: https://www.econbiz.de/10012496846
Saved in:
9
Testing for constant correlation of filtered series under structural change
Demetrescu, Matei
;
Wied, Dominik
- In:
The econometrics journal
22
(
2019
)
1
,
pp. 10-33
Persistent link: https://www.econbiz.de/10012166648
Saved in:
10
The estimation for Lévy processes in high frequency data
Zheng, Jing
;
Gu, Wentao
;
Xu, Baolin
;
Cai, Zongwu
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 1051-1066
Persistent link: https://www.econbiz.de/10012040536
Saved in:
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