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~isPartOf:"Cambridge working papers in economics"
~isPartOf:"Handbook of financial time series"
~isPartOf:"International economic review"
~isPartOf:"Journal of econometrics"
~isPartOf:"The review of economic studies"
~person:"Andrews, Donald W. K."
~person:"Chen, Rong"
~person:"Francq, Christian"
~person:"Linton, Oliver"
~person:"Phillips, Peter C. B."
~subject:"Heteroskedastizität"
~subject:"Regressionsanalyse"
~subject:"Time series analysis"
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Heteroskedastizität
Regressionsanalyse
Time series analysis
Zeitreihenanalyse
65
Estimation theory
34
Schätztheorie
34
Theorie
29
Theory
29
Nichtparametrisches Verfahren
22
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Andrews, Donald W. K.
Chen, Rong
Francq, Christian
Linton, Oliver
Phillips, Peter C. B.
Harvey, Andrew C.
24
Pesaran, M. Hashem
18
Taylor, Robert
18
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13
Xiao, Zhijie
11
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9
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9
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9
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9
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8
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8
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6
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6
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6
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Cambridge working papers in economics
Handbook of financial time series
International economic review
Journal of econometrics
The review of economic studies
Cowles Foundation discussion paper
88
Cowles Foundation Discussion Paper
32
Econometric theory
27
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
15
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Celebrating Irving Fisher : the legacy of a great economist
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Discussion papers in economics
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Econometric analysis of financial and economic time series ; part B
1
Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics
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Economic time series with random walk and other nonstationary components
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ECONIS (ZBW)
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1
Dynamic autoregressive liquidity (DArLiQ)
Hafner, Christian M.
;
Linton, Oliver
;
Wang, Linqi
-
2022
Persistent link: https://www.econbiz.de/10013263369
Saved in:
2
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:
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
Estimating time-varying networks for high-dimensional time series
Chen, Jia
;
Li, Degui
;
Li, Yuning
;
Linton, Oliver
-
2022
-
Version: December 13, 2022
Persistent link: https://www.econbiz.de/10013503856
Saved in:
5
Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Li, Yu-Ning
;
Chen, Jia
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013259517
Saved in:
6
Quasi score-driven models
Blasques, F.
;
Francq, Christian
;
Laurent, Sébastien
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 251-275
Persistent link: https://www.econbiz.de/10014364807
Saved in:
7
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:
8
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
9
On time trend of COVID-19 : a panel data study
Dong, Chaohua
;
Gao, Jiti
;
Linton, Oliver
;
Peng, Bin
-
2020
Persistent link: https://www.econbiz.de/10013205300
Saved in:
10
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
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