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subject:"Volatility"
~isPartOf:"CREATES research paper"
~subject:"Autocorrelation"
~subject:"Estimation"
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Search: subject_exact:"Estimation theory"
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Volatility
Autocorrelation
Estimation
Germany
Estimation theory
137
Schätztheorie
137
Time series analysis
59
Zeitreihenanalyse
59
Nichtparametrisches Verfahren
19
Nonparametric statistics
19
Schätzung
18
Theorie
18
Theory
18
Stochastic process
15
Stochastischer Prozess
15
Volatilität
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32
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English
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Teräsvirta, Timo
7
Kristensen, Dennis
3
Nielsen, Morten Ørregaard
3
Silvennoinen, Annastiina
3
Andersen, Torben
2
Casas, Isabel
2
Cavaliere, Giuseppe
2
Kang, Jian
2
Kruse, Robinson
2
Taylor, Robert
2
Varneskov, Rasmus Tangsgaard
2
Amado, Cristina
1
Barndorff-Nielsen, Ole E.
1
Bu, Ruijun
1
Carlini, Federico
1
Cho, Jin Seo
1
Christensen, Bent Jesper
1
Creel, Michael D.
1
Demetrescu, Matei
1
Demetrescum, Matei
1
Ergemen, Yunus Emre
1
Ferreira, Eva
1
Floor Brix, Anne
1
Gijbels, Irène
1
Grassi, Stefano
1
Hadri, Kaddour
1
Hall, Anthony D.
1
Hanck, Christoph
1
He, Changli
1
Hillebrand, Eric
1
Hounyo, Ulrich
1
Jakobsen, Johan Stax
1
Kanaya, Shin
1
Kristensen, Johannes Tang
1
Kruse-Becher, Robinson
1
Lunde, Asger
1
MacKinnon, James G.
1
Mikkelsen, Jakob Guldbæk
1
Mirone, Giorgio
1
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CREATES research paper
Journal of econometrics
359
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
171
Economics letters
156
Econometric reviews
98
Discussion paper / Tinbergen Institute
66
Econometric theory
66
Economic modelling
66
Applied economics letters
65
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
64
Discussion paper series / IZA
63
NBER Working Paper
57
CEMMAP working papers / Centre for Microdata Methods and Practice
52
NBER working paper series
51
The econometrics journal
49
Applied economics
47
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
47
Journal of applied econometrics
44
Working paper / Department of Econometrics and Business Statistics, Monash University
43
CESifo working papers
40
Journal of empirical finance
40
Discussion paper
38
Journal of banking & finance
38
Working paper / National Bureau of Economic Research, Inc.
38
International journal of forecasting
37
Working paper
37
IZA Discussion Paper
35
Econometrics : open access journal
34
Quantitative economics : QE ; journal of the Econometric Society
33
Discussion papers / CEPR
31
Journal of the American Statistical Association : JASA
30
Journal of forecasting
28
Computational economics
26
Empirical economics : a quarterly journal of the Institute for Advanced Studies
26
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
26
European journal of operational research : EJOR
25
International journal of economics and financial issues : IJEFI
25
Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
The review of economics and statistics
25
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
24
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ECONIS (ZBW)
32
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1
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
3
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
4
Is U.S. real output growth really non-normal? : testing distributional assumptions in time-varying location-scale models
Demetrescu, Matei
;
Kruse-Becher, Robinson
-
2021
Persistent link: https://www.econbiz.de/10012620758
Saved in:
5
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
6
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
7
Comprehensive testing of linearity against the smooth transition autoregressive model
Seong, Dakyung
;
Cho, Jin Seo
;
Teräsvirta, Timo
-
2019
-
This version: August 2019
Persistent link: https://www.econbiz.de/10012316842
Saved in:
8
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli
;
Kang, Jian
;
Teräsvirta, Timo
;
Zhang, Shuhua
-
2019
Persistent link: https://www.econbiz.de/10012316885
Saved in:
9
Consistent inference for predictive regressions in persistent VAR economies
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
-
2018
Persistent link: https://www.econbiz.de/10011797682
Saved in:
10
Cross-sectional noise reduction and more efficient estimation of integrated variance
Mirone, Giorgio
-
2018
Persistent link: https://www.econbiz.de/10011864983
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