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subject:"Volatility"
~isPartOf:"Journal of time series econometrics"
~subject:"Prognoseverfahren"
~subject:"Statistischer Test"
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Search: subject_exact:"Estimation theory"
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Volatility
Prognoseverfahren
Statistischer Test
Estimation theory
59
Schätztheorie
59
Time series analysis
39
Zeitreihenanalyse
39
ARCH model
10
ARCH-Modell
10
Statistical test
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cointegration
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Kurozumi, Eiji
2
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1
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1
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1
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1
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Journal of time series econometrics
Journal of econometrics
314
International journal of forecasting
118
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
116
Econometric reviews
85
Economics letters
84
Journal of forecasting
75
Econometric theory
66
The econometrics journal
55
Discussion paper / Tinbergen Institute
54
CEMMAP working papers / Centre for Microdata Methods and Practice
49
Cowles Foundation discussion paper
37
Economic modelling
37
Journal of empirical finance
37
CREATES research paper
35
Working paper / Department of Econometrics and Business Statistics, Monash University
35
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
34
Econometrics : open access journal
31
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Cowles Foundation Discussion Paper
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Journal of the American Statistical Association : JASA
26
Journal of financial econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
Applied economics letters
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
22
Finance research letters
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Quantitative economics : QE ; journal of the Econometric Society
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21
European journal of operational research : EJOR
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Journal of banking & finance
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Discussion paper / Center for Economic Research, Tilburg University
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Applied economics
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Cambridge working papers in economics
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1
Small sample adjustment for hypotheses testing on cointegrating vectors
Canepa, Alessandra
- In:
Journal of time series econometrics
14
(
2022
)
1
,
pp. 51-85
Persistent link: https://www.econbiz.de/10013260145
Saved in:
2
Improving the estimation and predictions of small time series models
Liu-Evans, Gareth
- In:
Journal of time series econometrics
15
(
2023
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014288356
Saved in:
3
In-fill asymptotic distribution of the change point estimator when estimating breaks one at a time
Tayanagi, Toshikazu
;
Kurozumi, Eiji
- In:
Journal of time series econometrics
15
(
2023
)
2
,
pp. 111-149
Persistent link: https://www.econbiz.de/10014465604
Saved in:
4
Goodness-of-fit tests for SPARMA models with dependent error terms
Maïnassara, Yacouba Boubacar
;
Amir, Abdoulkarim Ilmi
- In:
Journal of time series econometrics
14
(
2022
)
2
,
pp. 107-140
Persistent link: https://www.econbiz.de/10013260167
Saved in:
5
Consumption, aggregate wealth and expected stock returns : an FCVAR approach
Quineche, Ricardo
- In:
Journal of time series econometrics
13
(
2021
)
1
,
pp. 21-42
Persistent link: https://www.econbiz.de/10012437824
Saved in:
6
Time-varying NoVaS versus GARCH : point prediction, volatility estimation and prediction intervals
Chen, Jie
;
Politis, Dimitris N.
- In:
Journal of time series econometrics
12
(
2020
)
2
,
pp. 1-36
Persistent link: https://www.econbiz.de/10012300649
Saved in:
7
Local lagged adapted generalized method of moments : an innovative estimation and forecasting approach and its applications
Otunuga, Olusegun M.
;
Ladde, Gangaram S.
;
Ladde, Nathan G.
- In:
Journal of time series econometrics
11
(
2019
)
1
,
pp. 1-72
Persistent link: https://www.econbiz.de/10012022811
Saved in:
8
A generalized ARFIMA model with smooth transition fractional integration parameter
Boubaker, Heni
- In:
Journal of time series econometrics
10
(
2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011817682
Saved in:
9
Methods for computing numerical standard errors : review and application to value-at-risk estimation
Ardia, David
;
Bluteau, Keven
;
Hoogerheide, Lennart
- In:
Journal of time series econometrics
10
(
2018
)
2
,
pp. 1-9
Persistent link: https://www.econbiz.de/10011898020
Saved in:
10
Testing for nonlinearity in conditional covariances
Sanhaji, Bilel
- In:
Journal of time series econometrics
9
(
2017
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011701865
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