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subject:"Volatility"
type_genre:"Article in journal"
~person:"Kapetanios, George"
~person:"Xiao, Zhijie"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Volatility
Zeitreihenanalyse
Estimation theory
49
Schätztheorie
49
Time series analysis
21
Regression analysis
16
Regressionsanalyse
16
Nichtparametrisches Verfahren
14
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Kapetanios, George
Xiao, Zhijie
Phillips, Peter C. B.
29
Leybourne, Stephen James
18
Linton, Oliver
18
Harvey, Andrew C.
16
Kumar, Dilip
16
Lütkepohl, Helmut
16
Taylor, Robert
16
Teräsvirta, Timo
16
Johansen, Søren
14
Maheswaran, S.
14
Chambers, Marcus J.
13
Gao, Jiti
13
Hassler, Uwe
13
Li, Jia
13
Perron, Pierre
13
Tauchen, George Eugene
13
Ghysels, Eric
12
Todorov, Viktor
12
Koopman, Siem Jan
11
McAleer, Michael
11
Zhu, Ke
11
Baillie, Richard
10
Bauwens, Luc
10
Francq, Christian
10
Koop, Gary
10
Lucas, André
10
Robinson, Peter M.
10
Zakoïan, Jean-Michel
10
Fan, Jianqing
9
Franses, Philip Hans
9
Hafner, Christian M.
9
Harvey, David I.
9
Hendry, David F.
9
Nelson, Daniel B.
9
Nielsen, Morten Ørregaard
9
Westerlund, Joakim
9
Andersen, Torben
8
Baltagi, Badi H.
8
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Journal of econometrics
6
The econometrics journal
3
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Journal of the American Statistical Association : JASA
2
Cambridge working papers in economics
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Econometric theory
1
Economics letters
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International journal of forecasting
1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
22
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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
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:
7
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
Saved in:
8
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:
9
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:
10
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:
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