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subject:"Volatility"
type_genre:"Article in journal"
~person:"Fan, Jianqing"
~person:"Kapetanios, George"
~person:"Stock, James H."
~subject:"IV-Schätzung"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Volatility
IV-Schätzung
Zeitreihenanalyse
Estimation theory
66
Schätztheorie
66
Time series analysis
22
Nichtparametrisches Verfahren
13
Nonparametric statistics
13
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13
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13
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12
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Fan, Jianqing
Kapetanios, George
Stock, James H.
Phillips, Peter C. B.
31
Linton, Oliver
19
Leybourne, Stephen James
18
Harvey, Andrew C.
16
Kumar, Dilip
16
Taylor, Robert
16
Teräsvirta, Timo
16
Lütkepohl, Helmut
15
Johansen, Søren
14
Maheswaran, S.
14
Swanson, Norman R.
14
Chambers, Marcus J.
13
Gao, Jiti
13
Hassler, Uwe
13
Perron, Pierre
13
Tauchen, George Eugene
13
Li, Jia
12
Todorov, Viktor
12
Xiao, Zhijie
12
Ghysels, Eric
11
Koop, Gary
11
Koopman, Siem Jan
11
McAleer, Michael
11
Zhu, Ke
11
Baillie, Richard
10
Bauwens, Luc
10
Francq, Christian
10
Hendry, David F.
10
Lucas, André
10
Newey, Whitney K.
10
Robinson, Peter M.
10
Zakoïan, Jean-Michel
10
Baltagi, Badi H.
9
Franses, Philip Hans
9
Hafner, Christian M.
9
Harvey, David I.
9
Nelson, Daniel B.
9
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Journal of econometrics
7
Journal of the American Statistical Association : JASA
4
Econometric reviews
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
The econometrics journal
2
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1
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1
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1
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1
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1
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1
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1
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1
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1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The economic journal : the journal of the Royal Economic Society
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ECONIS (ZBW)
30
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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
Time-varying instrumental variable estimation
Giraitis, Liudas
;
Kapetanios, George
;
Marcellino, …
- In:
Journal of econometrics
224
(
2021
)
2
,
pp. 394-415
Persistent link: https://www.econbiz.de/10013275394
Saved in:
3
Inference in structural Vector Autoregressions identified with an external instrument
Olea, José Luis Montiel
;
Stock, James H.
;
Watson, Mark W.
- In:
Journal of econometrics
225
(
2021
)
1
,
pp. 74-87
Persistent link: https://www.econbiz.de/10013279009
Saved in:
4
Factor-adjusted regularized model selection
Fan, Jianqing
;
Ke, Yuan
;
Wang, Kaizheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 71-85
Persistent link: https://www.econbiz.de/10012439637
Saved in:
5
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu
;
Fan, Jianqing
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
Saved in:
6
Weak instruments in instrumental variables regression : theory and practice
Andrews, Isaiah
;
Stock, James H.
;
Sun, Liyang
- In:
Annual review of economics
11
(
2019
),
pp. 727-753
Persistent link: https://www.econbiz.de/10012623831
Saved in:
7
Structured volatility matrix estimation for non-synchronized high-frequency financial data
Fan, Jianqing
;
Kim, Donggyu
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 61-78
Persistent link: https://www.econbiz.de/10012302521
Saved in:
8
Identification and estimation of dynamic causal effects in macroeconomics using external instruments
Stock, James H.
;
Watson, Mark W.
- In:
The economic journal : the journal of the Royal …
128
(
2018
)
610
,
pp. 917-948
Persistent link: https://www.econbiz.de/10011951117
Saved in:
9
Estimation and forecasting in vector autoregressive moving average models for rich datasets
Dias, Gustavo Fruet
;
Kapetanios, George
- In:
Journal of econometrics
202
(
2018
)
1
,
pp. 75-91
Persistent link: https://www.econbiz.de/10011974554
Saved in:
10
HAR inference : recommendations for practice
Lazarus, Eben
;
Lewis, Daniel J.
;
Stock, James H.
; …
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
4
,
pp. 541-559
Persistent link: https://www.econbiz.de/10012249208
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