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subject:"Volatility"
type_genre:"Article in journal"
~person:"Cavaliere, Giuseppe"
~person:"Francq, Christian"
~subject:"Cointegration"
~subject:"Time series analysis"
~subject:"USA"
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Search: subject_exact:"Estimation theory"
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Volatility
Cointegration
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USA
Estimation theory
38
Schätztheorie
38
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20
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20
Zeitreihenanalyse
12
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10
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9
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Cavaliere, Giuseppe
Francq, Christian
Phillips, Peter C. B.
39
Leybourne, Stephen James
18
Linton, Oliver
18
Lütkepohl, Helmut
18
Taylor, Robert
18
Johansen, Søren
17
Harvey, Andrew C.
16
Kumar, Dilip
16
Teräsvirta, Timo
16
Chambers, Marcus J.
15
Perron, Pierre
15
Gao, Jiti
14
Hassler, Uwe
14
Maheswaran, S.
14
Ghysels, Eric
13
Li, Jia
13
Tauchen, George Eugene
13
Xiao, Zhijie
13
Baltagi, Badi H.
12
Koop, Gary
12
Robinson, Peter M.
12
Todorov, Viktor
12
Baillie, Richard
11
Koopman, Siem Jan
11
Li, Qi
11
McAleer, Michael
11
Nielsen, Morten Ørregaard
11
Zhu, Ke
11
Bauwens, Luc
10
Franses, Philip Hans
10
Granger, C. W. J.
10
Hendry, David F.
10
Lucas, André
10
Paruolo, Paolo
10
Pesaran, M. Hashem
10
Westerlund, Joakim
10
Zakoïan, Jean-Michel
10
Boswijk, Herman Peter
9
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Journal of econometrics
8
Econometric theory
5
Econometric reviews
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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1
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
De Angelis, Luca
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 725-757
Persistent link: https://www.econbiz.de/10014420355
Saved in:
2
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
3
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
4
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
39
(
2023
)
5
,
pp. 1067-1092
Persistent link: https://www.econbiz.de/10014436596
Saved in:
5
Adaptive inference in heteroscedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 50-65
Persistent link: https://www.econbiz.de/10012804084
Saved in:
6
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
7
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
Cavaliere, Giuseppe
;
Bohn Nielsen, Heino
;
Pedersen, …
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 241-263
Persistent link: https://www.econbiz.de/10013441653
Saved in:
8
A primer on bootstrap testing of hypotheses in time series models : with an application to double autoregressive models
Cavaliere, Giuseppe
;
Rahbek, Anders
- In:
Econometric theory
37
(
2021
)
1
,
pp. 1-48
Persistent link: https://www.econbiz.de/10012437042
Saved in:
9
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
10
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
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