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~isPartOf:"CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute"
~isPartOf:"Cambridge working papers in economics"
~isPartOf:"Cambridge-INET working papers"
~isPartOf:"Cowles Foundation discussion paper"
~isPartOf:"International economic review"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"The review of economic studies"
~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~isPartOf:"Working paper"
~person:"Dalla, Violetta"
~person:"Giraitis, Liudas"
~person:"Linton, Oliver"
~person:"Pesaran, M. Hashem"
~person:"Phillips, Peter C. B."
~person:"Poskitt, Donald Stephen"
~subject:"Heteroskedastizität"
~subject:"Prognoseverfahren"
~subject:"Schätztheorie"
~subject:"Time series analysis"
~subject:"USA"
~subject:"United States"
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Heteroskedastizität
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Dalla, Violetta
Giraitis, Liudas
Linton, Oliver
Pesaran, M. Hashem
Phillips, Peter C. B.
Poskitt, Donald Stephen
Gao, Jiti
60
Hyndman, Rob J.
58
Harvey, Andrew C.
25
Athanasopoulos, George
23
Snyder, Ralph D.
23
Martin, Gael M.
22
McAleer, Michael
22
Kapetanios, George
18
Peng, Bin
18
Dong, Chaohua
16
Koehler, Anne B.
12
Yu, Jun
11
Forbes, Catherine Scipione
10
Li, Degui
10
McCabe, Brendan Peter Martin
10
Ord, John Keith
10
Timmermann, Allan
10
Vahid, Farshid
10
Chen, Xiaohong
9
Blazsek, Szabolcs
8
Escribano, Álvaro
8
Franses, Philip Hans
8
Ghysels, Eric
8
Taylor, Robert
8
Andrews, Donald W. K.
7
Koop, Gary
7
Pan, Guangming
7
Panagiotelis, Anastasios
7
Caporin, Massimiliano
6
Engsted, Tom
6
Kim, Chang-jin
6
King, Maxwell L.
6
Lieberman, Offer
6
Marcellino, Massimiliano
6
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CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute
Cambridge working papers in economics
Cambridge-INET working papers
Cowles Foundation discussion paper
International economic review
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
The review of economic studies
Working paper / Department of Econometrics and Business Statistics, Monash University
Working paper
Journal of econometrics
48
Cowles Foundation Discussion Paper
31
Econometric theory
29
CESifo working papers
16
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
13
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Handbook of financial time series
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ECONIS (ZBW)
148
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1
Weak identification of long memory with implications for inference
Li, Jia
;
Phillips, Peter C. B.
;
Shi, Shuping
;
Yu, Jun
-
2022
Persistent link: https://www.econbiz.de/10013326614
Saved in:
2
A general limit theory for nonlinear functionals of nonstationary time series
Wang, Qiying
;
Phillips, Peter C. B.
-
2022
Persistent link: https://www.econbiz.de/10013326692
Saved in:
3
Do consumption-based asset pricing models explain own-history predictability in stock market returns?
Ashby, Michael F.
;
Linton, Oliver
-
2022
Persistent link: https://www.econbiz.de/10013486082
Saved in:
4
Boosting the HP filter for trending time series with long range dependence
Biswas, Eva
;
Sabzikar, Farzad
;
Phillips, Peter C. B.
-
2022
Persistent link: https://www.econbiz.de/10013464252
Saved in:
5
Robust testing for explosive behavior with strongly dependent errors
Lui, Yiu Lim
;
Phillips, Peter C. B.
;
Yu, Jun
-
2022
Persistent link: https://www.econbiz.de/10013464259
Saved in:
6
Unified factor model estimation and inference under short and long memory
Ke, Shuyao
;
Phillips, Peter C. B.
;
Su, Liangjun
-
2022
Persistent link: https://www.econbiz.de/10013464260
Saved in:
7
Dynamic autoregressive liquidity (DArLiQ)
Hafner, Christian M.
;
Linton, Oliver
;
Wang, Linqi
-
2022
Persistent link: https://www.econbiz.de/10013263369
Saved in:
8
Revisiting the great ratios hypothesis
Chudik, Alexander
;
Pesaran, M. Hashem
;
Smith, Ron
-
2022
Persistent link: https://www.econbiz.de/10013263388
Saved in:
9
Nonparametric estimation of large spot volatility matrices for high-frequency financial data
Bu, Ruijun
;
Li, Degui
;
Linton, Oliver
;
Wang, Hanchao
-
2022
-
This version: March 16, 2022
Persistent link: https://www.econbiz.de/10013263439
Saved in:
10
Weak identification of long memory with implications for inference
Li, Jia
;
Phillips, Peter C. B.
;
Shi, Shuping
;
Yu, Jun
-
2022
Persistent link: https://www.econbiz.de/10013542193
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