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subject:"Volatility"
type_genre:"Article in journal"
~person:"Koopman, Siem Jan"
~person:"Perron, Pierre"
~subject:"Autoregressive conditional duration"
~subject:"Theory"
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Search: subject_exact:"Estimation theory"
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Volatility
Autoregressive conditional duration
Theory
Estimation theory
47
Schätztheorie
47
Time series analysis
21
Zeitreihenanalyse
21
Theorie
14
Structural break
9
Strukturbruch
9
Statistical test
8
Statistischer Test
8
Regression analysis
6
Regressionsanalyse
6
Volatilität
6
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4
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4
Maximum likelihood estimation
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2
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Article in journal
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Koopman, Siem Jan
Perron, Pierre
Phillips, Peter C. B.
31
Andrews, Donald W. K.
30
Newey, Whitney K.
27
Li, Qi
25
Baltagi, Badi H.
23
McAleer, Michael
23
Ohtani, Kazuhiro
21
Pesaran, M. Hashem
21
Giles, David E. A.
19
Krämer, Walter
19
Gouriéroux, Christian
18
Horowitz, Joel
18
King, Maxwell L.
18
Ullah, Aman
18
Lee, Lung-fei
17
Tauchen, George Eugene
17
Granger, C. W. J.
16
Kumar, Dilip
16
Robinson, Peter M.
16
Srivastava, Virendra K.
16
Wooldridge, Jeffrey M.
16
Ghysels, Eric
15
Hahn, Jinyong
15
Linton, Oliver
15
Schmidt, Peter
15
Kelejian, Harry H.
14
Maheswaran, S.
14
Zakoïan, Jean-Michel
14
Bai, Jushan
13
Bera, Anil K.
13
Godfrey, L. G.
13
Lütkepohl, Helmut
13
Rilstone, Paul
13
Smith, Richard J.
13
Teräsvirta, Timo
13
Dufour, Jean-Marie
12
Franses, Philip Hans
12
Hendry, David F.
12
Hill, Rufus Carter
12
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Journal of econometrics
4
Econometric theory
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
The econometrics journal
2
Advances in econometrics
1
Econometric reviews
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
International journal of forecasting
1
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1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of risk and financial management : JRFM
1
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ECONIS (ZBW)
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11
Estimating and testing linear models with multiple structural changes
Bai, Jushan
- In:
Econometrica : journal of the Econometric Society, an …
66
(
1998
)
1
,
pp. 47-78
Persistent link: https://www.econbiz.de/10001233472
Saved in:
12
Estimation of stochastic volatility models via Monte Carlo maximum likelihood
Sandmann, Gleb
- In:
Journal of econometrics
87
(
1998
)
2
,
pp. 271-301
Persistent link: https://www.econbiz.de/10001246644
Saved in:
13
Messy time series : a unified approach
Harvey, Andrew C.
;
Koopman, Siem Jan
;
Penzer, Jeremy
-
1998
Persistent link: https://www.econbiz.de/10001362820
Saved in:
14
An autoregressive spectral density estimator at frequency zero for nonstationarity tests
Perron, Pierre
;
Ng, Serena
- In:
Econometric theory
14
(
1998
)
5
,
pp. 560-603
Persistent link: https://www.econbiz.de/10001381121
Saved in:
15
Estimation and inference in nearly unbalanced nearly cointegrated systems
Ng, Serena
- In:
Journal of econometrics
79
(
1997
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10001220088
Saved in:
16
The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors
Perron, Pierre
- In:
Journal of econometrics
70
(
1996
)
2
,
pp. 317-350
Persistent link: https://www.econbiz.de/10001192345
Saved in:
17
The HUMP-shaped behavior of macroeconomic fluctuations
Perron, Pierre
- In:
Empirical economics : a journal of the Institute for …
18
(
1993
)
4
,
pp. 707-727
Persistent link: https://www.econbiz.de/10001331524
Saved in:
18
A continuous time approximation to the unstable first-order autoregressive process : the case without an intercept
Perron, Pierre
- In:
Econometrica : journal of the Econometric Society, an …
59
(
1991
)
1
,
pp. 211-236
Persistent link: https://www.econbiz.de/10001102743
Saved in:
19
A continuous time approximation to the stationary first-order autoregressive model
Perron, Pierre
- In:
Econometric theory
7
(
1991
)
2
,
pp. 236-252
Persistent link: https://www.econbiz.de/10001118076
Saved in:
20
The calculation of the limiting distribution of the least-squares estimator in a near-integrated model
Perron, Pierre
- In:
Econometric theory
5
(
1989
)
2
,
pp. 241-255
Persistent link: https://www.econbiz.de/10001069079
Saved in:
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