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~accessRights:"restricted"
~person:"Chen, Jia"
~person:"Dalla, Violetta"
~person:"Kheifets, Igor"
~person:"Linton, Oliver"
~person:"Moon, Hyungsik R."
~person:"Pesaran, M. Hashem"
~person:"Phillips, Peter C. B."
~person:"Taylor, Robert"
~subject:"Bayesian inference"
~subject:"Heteroskedastizität"
~subject:"Kointegration"
~subject:"Metal market"
~subject:"Prognoseverfahren"
~subject:"Regression analysis"
~subject:"Time series analysis"
~subject:"USA"
~subject:"Volatility"
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Bayesian inference
Heteroskedastizität
Kointegration
Metal market
Prognoseverfahren
Regression analysis
Time series analysis
USA
Volatility
Zeitreihenanalyse
53
Theorie
27
Theory
27
Estimation theory
26
Schätztheorie
26
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18
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18
Estimation
12
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Stochastischer Prozess
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Nonparametric statistics
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Bootstrap-Verfahren
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Cointegration
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Regressionsanalyse
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Statistical test
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Statistischer Test
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Bubbles
5
Börsenkurs
5
Share price
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Spekulationsblase
5
Volatilität
5
Fractional integration
4
Heteroscedasticity
4
Nonparametric regression
4
Autoregression
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Endogeneity
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Financial market
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Chen, Jia
Dalla, Violetta
Kheifets, Igor
Linton, Oliver
Moon, Hyungsik R.
Pesaran, M. Hashem
Phillips, Peter C. B.
Taylor, Robert
Gil-Alaña, Luis A.
65
Gupta, Rangan
56
Marcellino, Massimiliano
29
Chang, Tsangyao
23
Koopman, Siem Jan
22
Tiwari, Aviral Kumar
21
Camacho, Maximo
18
Chan, Joshua
18
Petropoulos, Fotios
18
Ghysels, Eric
17
Spiliotis, Evangelos
17
Hendry, David F.
16
Hyndman, Rob J.
16
Assimakopoulos, V.
15
Caporale, Guglielmo Maria
15
Gao, Jiti
15
Ranjbar, Omid
15
Wang, Shouyang
15
Kapetanios, George
14
Lütkepohl, Helmut
14
Ma, Feng
14
Forni, Mario
13
Koop, Gary
13
Makridakis, Spyros G.
13
McAleer, Michael
13
McElroy, Tucker
13
Miller, Stephen M.
13
Nonejad, Nima
13
Omay, Tolga
13
Perron, Pierre
13
Wohar, Mark E.
13
Balcilar, Mehmet
12
Jawadi, Fredj
12
Kang, Yanfei
12
Li, Jia
12
Moosa, Imad A.
12
Shang, Han Lin
12
Sibbertsen, Philipp
12
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Journal of econometrics
26
Econometric theory
6
Econometric reviews
4
Journal of empirical finance
3
Discussion paper / Centre for Economic Policy Research
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
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1
Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics
1
Economics letters
1
Essays in honor of Joon Y. Park : econometric theory
1
Handbook of economic forecasting ; 1
1
Journal of applied econometrics
1
Journal of financial econometrics
1
Journal of quantitative economics
1
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1
The econometrics journal
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ECONIS (ZBW)
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1
Discrete fourier transforms of fractional processes with econometric applications
Phillips, Peter C. B.
- In:
Essays in honor of Joon Y. Park : econometric theory
,
(pp. 3-71)
.
2023
Persistent link: https://www.econbiz.de/10014313196
Saved in:
2
Fully modified least squares cointegrating parameter estimation in multicointegrated systems
Kheifets, Igor L.
;
Phillips, Peter C. B.
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 300-319
Persistent link: https://www.econbiz.de/10014339925
Saved in:
3
Using covariates to improve the efficacy of univariate bubble detection methods
Astill, Sam
;
Taylor, Robert
;
Kellard, Neil
;
Korkos, Ioannis
- In:
Journal of empirical finance
70
(
2023
),
pp. 342-366
Persistent link: https://www.econbiz.de/10014423733
Saved in:
4
A ReMeDI for microstructure noise
Li, Z. Merrick
;
Linton, Oliver
- In:
Econometrica : journal of the Econometric Society, an …
90
(
2022
)
1
,
pp. 367-389
Persistent link: https://www.econbiz.de/10012821689
Saved in:
5
Adaptive inference in heteroscedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 50-65
Persistent link: https://www.econbiz.de/10012804084
Saved in:
6
Understanding temporal aggregation effects on kurtosis in financial indices
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 25-46
Persistent link: https://www.econbiz.de/10013441621
Saved in:
7
Testing for episodic predictability in stock returns
Demetrescu, Matei
;
Georgiev, Iliyan
;
Rodrigues, Paulo M. M.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 85-113
Persistent link: https://www.econbiz.de/10013441625
Saved in:
8
A score statistic for testing the presence of a stochastic trend in conditional variances
Hong, Yongmiao
;
Linton, Oliver
;
McCabe, Brendan Peter Martin
- In:
Economics letters
213
(
2022
),
pp. 1-6
Persistent link: https://www.econbiz.de/10013442141
Saved in:
9
Forecasting with panel data : estimation uncertainty versus parameter heterogeneity
Pesaran, M. Hashem
;
Pick, Andreas
;
Timmermann, Allan
-
2022
Persistent link: https://www.econbiz.de/10013165978
Saved in:
10
Estimation of a nonparametric model for bond prices from cross-section and time series information
Koo, Bonsoo
;
La Vecchia, Davide
;
Linton, Oliver
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 562-588
Persistent link: https://www.econbiz.de/10012618568
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