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subject:"Volatility"
type_genre:"Article in journal"
~person:"Fan, Jianqing"
~person:"Kapetanios, George"
~subject:"Börsenkurs"
~subject:"Statistical test"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Volatility
Börsenkurs
Statistical test
Zeitreihenanalyse
Estimation theory
48
Schätztheorie
48
Time series analysis
15
Nichtparametrisches Verfahren
13
Nonparametric statistics
13
Regression analysis
12
Regressionsanalyse
12
Correlation
11
Korrelation
11
Estimation
10
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8
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5
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ARMA-Modell
4
Factor analysis
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Fan, Jianqing
Kapetanios, George
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
Teräsvirta, Timo
16
Bera, Anil K.
15
Lütkepohl, Helmut
15
Maheswaran, S.
15
Gao, Jiti
14
Hassler, Uwe
14
Johansen, Søren
14
Robinson, Peter M.
14
Sun, Yixiao
14
Cai, Zongwu
13
Chambers, Marcus J.
13
Ghysels, Eric
13
Su, Liangjun
13
Tauchen, George Eugene
13
Xiao, Zhijie
13
Zakoïan, Jean-Michel
13
Francq, Christian
12
Koopman, Siem Jan
12
Li, Jia
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
Lucas, André
11
Pesaran, M. Hashem
11
Andrews, Donald W. K.
10
Baillie, Richard
10
Bauwens, Luc
10
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Journal of econometrics
4
Journal of the American Statistical Association : JASA
4
Econometric reviews
2
The econometrics journal
2
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economics letters
1
International journal of forecasting
1
Journal of applied econometrics
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
20
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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
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:
3
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:
4
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:
5
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:
6
Inference for impulse response coefficients from multivariate fractionally integrated processes
Baillie, Richard
;
Kapetanios, George
;
Papailias, Fotis
- In:
Econometric reviews
36
(
2017
)
1/3
,
pp. 60-84
Persistent link: https://www.econbiz.de/10011794639
Saved in:
7
An overview of the estimation of large covariance and precision matrices
Fan, Jianqing
;
Liao, Yuan
;
Liu, Han
- In:
The econometrics journal
19
(
2016
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011487485
Saved in:
8
Exponent of cross-sectional dependence : estimation and inference
Bailey, Natalia
;
Kapetanios, George
;
Pesaran, M. Hashem
- In:
Journal of applied econometrics
31
(
2016
)
6
,
pp. 929-960
Persistent link: https://www.econbiz.de/10011686163
Saved in:
9
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:
10
Power enhancement in high-dimensional cross-sectional tests
Fan, Jianqing
;
Liao, Yuan
;
Yao, Jiawei
- In:
Econometrica : journal of the Econometric Society, an …
83
(
2015
)
4
,
pp. 1497-1541
Persistent link: https://www.econbiz.de/10011405086
Saved in:
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