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subject:"Volatility"
type_genre:"Article in journal"
~person:"Fan, Jianqing"
~person:"Kapetanios, George"
~person:"Xiao, Zhijie"
~subject:"Statistischer Test"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Volatility
Statistischer Test
Zeitreihenanalyse
Estimation theory
72
Schätztheorie
72
Time series analysis
27
Nichtparametrisches Verfahren
22
Nonparametric statistics
22
Regression analysis
21
Regressionsanalyse
21
Correlation
11
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Estimation
10
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Statistical test
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Factor analysis
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Fan, Jianqing
Kapetanios, George
Xiao, Zhijie
Phillips, Peter C. B.
36
Linton, Oliver
22
Leybourne, Stephen James
20
Perron, Pierre
17
Taylor, Robert
17
Baltagi, Badi H.
16
Harvey, Andrew C.
16
Kumar, Dilip
16
Lütkepohl, Helmut
16
Teräsvirta, Timo
16
Bera, Anil K.
15
Gao, Jiti
14
Hassler, Uwe
14
Johansen, Søren
14
Maheswaran, S.
14
Robinson, Peter M.
14
Su, Liangjun
14
Sun, Yixiao
14
Cai, Zongwu
13
Chambers, Marcus J.
13
Ghysels, Eric
13
Li, Jia
13
Tauchen, George Eugene
13
Francq, Christian
12
Li, Qi
12
McAleer, Michael
12
Todorov, Viktor
12
Westerlund, Joakim
12
White, Halbert
12
Zhu, Ke
12
Harvey, David I.
11
Hsiao, Cheng
11
Koopman, Siem Jan
11
Lucas, André
11
Pesaran, M. Hashem
11
Zakoïan, Jean-Michel
11
Andrews, Donald W. K.
10
Baillie, Richard
10
Bauwens, Luc
10
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Journal of econometrics
9
Journal of the American Statistical Association : JASA
6
The econometrics journal
5
Econometric reviews
2
Econometric theory
2
Cambridge working papers in economics
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Economics letters
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International journal of forecasting
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1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of empirical finance
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of time series econometrics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
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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
A new test for unit roots with a partial quadratic trend
Li, Yanglin
;
Wang, Shaoping
;
Jin, Sainan
;
Xiao, Zhijie
- In:
The econometrics journal
27
(
2024
)
2
,
pp. 258-277
Persistent link: https://www.econbiz.de/10015046376
Saved in:
3
Testing for trend specifications in panel data models
Wu, Jilin
;
Song, Xiaojun
;
Xiao, Zhijie
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 453-466
Persistent link: https://www.econbiz.de/10014448241
Saved in:
4
Copula-based time series with filtered nonstationarity
Chen, Xiaohong
;
Xiao, Zhijie
;
Wang, Bo
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 127-155
Persistent link: https://www.econbiz.de/10013441732
Saved in:
5
Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity
Linton, Oliver
;
Xiao, Zhijie
-
2019
Persistent link: https://www.econbiz.de/10012692312
Saved in:
6
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:
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
Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity
Linton, Oliver
;
Xiao, Zhijie
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 608-631
Persistent link: https://www.econbiz.de/10012304598
Saved in:
9
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:
10
Testing for changing volatility
Wu, Jilin
;
Xiao, Zhijie
- In:
The econometrics journal
21
(
2018
)
2
,
pp. 192-217
Persistent link: https://www.econbiz.de/10012166609
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