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~isPartOf:"CREATES research paper"
~isPartOf:"Discussion paper / Centre for Economic Policy Research"
~isPartOf:"Discussion papers of interdisciplinary research project 373"
~isPartOf:"International journal of forecasting"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of economic dynamics & control"
~subject:"Autocorrelation"
~subject:"Einheitswurzeltest"
~subject:"Estimation theory"
~subject:"Frühindikator"
~subject:"State space model"
~subject:"Theory"
~subject:"USA"
~subject:"Volatility"
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Autocorrelation
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Phillips, Peter C. B.
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20
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18
Johansen, Søren
17
Koopman, Siem Jan
17
Marcellino, Massimiliano
16
Nielsen, Morten Ørregaard
16
Linton, Oliver
14
Proietti, Tommaso
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Breitung, Jörg
13
Gil-Alaña, Luis A.
13
Hyndman, Rob J.
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Koop, Gary
12
Podolskij, Mark
12
Grassi, Stefano
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Saikkonen, Pentti
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Chen, Xiaohong
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Härdle, Wolfgang
10
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Xiao, Zhijie
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9
Chan, Joshua
9
Dijk, Dick van
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9
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9
Kruse, Robinson
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Lanne, Markku
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9
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9
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
64
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CREATES research paper
Discussion paper / Centre for Economic Policy Research
Discussion papers of interdisciplinary research project 373
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392
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Oxford bulletin of economics and statistics
76
Journal of time series econometrics
69
SFB 649 discussion paper
68
Finance research letters
67
Journal of the American Statistical Association : JASA
64
The North American journal of economics and finance : a journal of financial economics studies
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1
Accelerating peak dating in a dynamic factor Markov-switching model
Os, Bram van
;
Dijk, Dick van
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 313-323
Persistent link: https://www.econbiz.de/10014450273
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2
Estimation of continuous-time linear DSGE models from discrete-time measurements
Christensen, Bent Jesper
;
Neri, Luca
;
Parra-Alvarez, …
-
2023
Persistent link: https://www.econbiz.de/10014280884
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3
Stochastic properties of nonlinear locally-nonstationary filters
Blasques, Francisco
;
Nientker, Marc
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2082-2095
Persistent link: https://www.econbiz.de/10014471445
Saved in:
4
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:
5
Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard
;
Seo, Wonk-ki
;
Seong, Dakyung
-
2022
Persistent link: https://www.econbiz.de/10012816384
Saved in:
6
Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
Hualde, Javier
;
Nielsen, Morten Ørregaard
-
2022
Persistent link: https://www.econbiz.de/10013189455
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7
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
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8
Forecasting the equity premium with frequency-decomposed technical indicators
Stein, Tobias
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 6-28
Persistent link: https://www.econbiz.de/10014450132
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9
Forecasting in factor augmented regressions under structural change
Massacci, Daniele
;
Kapetanios, George
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 62-76
Persistent link: https://www.econbiz.de/10014450259
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10
Empirical probabilistic forecasting : an approach solely based on deterministic explanatory variables for the selection of past forecast errors
Romanus, Eduardo E.
;
Silva, Eugênio
;
Goldschmidt, …
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 184-201
Persistent link: https://www.econbiz.de/10014450266
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