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subject:"Volatility"
type_genre:"Article in journal"
~person:"Harvey, Andrew C."
~person:"Lucas, André"
~person:"Lütkepohl, Helmut"
~subject:"Statistische Verteilung"
~subject:"Stochastic process"
~subject:"Zeitreihenanalyse"
~type_genre:"Einführung"
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Search: subject_exact:"Estimation theory"
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Volatility
Statistische Verteilung
Stochastic process
Zeitreihenanalyse
Estimation theory
65
Schätztheorie
65
Time series analysis
39
Theorie
27
Theory
27
VAR model
13
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13
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10
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Harvey, Andrew C.
Lucas, André
Lütkepohl, Helmut
Phillips, Peter C. B.
35
Linton, Oliver
23
Leybourne, Stephen James
18
Kumar, Dilip
16
Taylor, Robert
16
Teräsvirta, Timo
16
Xiao, Zhijie
15
Gao, Jiti
14
Johansen, Søren
14
Maheswaran, S.
14
Chambers, Marcus J.
13
Ghysels, Eric
13
Hassler, Uwe
13
Li, Jia
13
Perron, Pierre
13
Tauchen, George Eugene
13
Koopman, Siem Jan
12
Todorov, Viktor
12
Zhu, Ke
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Koop, Gary
11
Ling, Shiqing
11
McAleer, Michael
11
Zakoïan, Jean-Michel
11
Baillie, Richard
10
Bauwens, Luc
10
Fan, Jianqing
10
Francq, Christian
10
Robinson, Peter M.
10
Sun, Yixiao
10
Wu, Ximing
10
Chan, Ngai Hang
9
Chen, Xiaohong
9
Franses, Philip Hans
9
Hafner, Christian M.
9
Harvey, David I.
9
Hendry, David F.
9
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Journal of econometrics
9
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6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Cambridge working papers in economics
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ECONIS (ZBW)
44
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1
An alternative bootstrap for proxy vector autoregressions
Bruns, Martin
;
Lütkepohl, Helmut
- In:
Computational economics
62
(
2023
)
4
,
pp. 1857-1882
Persistent link: https://www.econbiz.de/10014442568
Saved in:
2
Heteroskedastic proxy vector autoregressions : an identification-robust test for time-varying impulse responses in the presence of multiple proxies
Bruns, Martin
;
Lütkepohl, Helmut
- In:
Journal of economic dynamics & control
161
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10015050043
Saved in:
3
A farewell to R : time series models for tracking and forecasting epidemics
Harvey, Andrew C.
;
Kattuman, Paul A.
- In:
Covid economics : vetted and real-time papers
(
2020
)
51
,
pp. 36-73
Persistent link: https://www.econbiz.de/10012311883
Saved in:
4
Maximum likelihood estimation for score-driven models
Blasques, Francisco
;
Brummelen, Janneke van
;
Koopman, …
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 325-346
Persistent link: https://www.econbiz.de/10013442028
Saved in:
5
Heteroscedastic proxy vector autoregressions
Lütkepohl, Helmut
;
Schlaak, Thore
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
3
,
pp. 1268-1281
Persistent link: https://www.econbiz.de/10013539510
Saved in:
6
Dynamic Tobit models
Harvey, Andrew C.
;
Liao, Yin
-
2019
Persistent link: https://www.econbiz.de/10012692647
Saved in:
7
Modeling directional (circular) time series
Harvey, Andrew C.
;
Hurn, Stan
;
Thiele, Stephen
-
2019
Persistent link: https://www.econbiz.de/10012703269
Saved in:
8
Testing identification via heteroskedasticity in structural vector autoregressive models
Lütkepohl, Helmut
;
Meitz, Mika
;
Netšunajev, Aleksei
; …
- In:
The econometrics journal
24
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012504441
Saved in:
9
Modeling time series when some observations are zero
Harvey, Andrew C.
;
Ito, Ryoko
- In:
Journal of econometrics
214
(
2020
)
1
,
pp. 33-45
Persistent link: https://www.econbiz.de/10012438084
Saved in:
10
Nonlinear autoregressive models with optimality properties
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
- In:
Econometric reviews
39
(
2020
)
6
,
pp. 559-578
Persistent link: https://www.econbiz.de/10012195421
Saved in:
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