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~isPartOf:"ECARES working paper"
~isPartOf:"Economics letters"
~person:"Abeysinghe, Tilak"
~person:"Barigozzi, Matteo"
~person:"Camacho, Maximo"
~person:"Chen, Zhanshou"
~person:"Linton, Oliver"
~person:"Newbold, Paul"
~person:"Robinson, Peter M."
~person:"Wang, Shaoping"
~person:"Zaffaroni, Paolo"
~subject:"Heteroskedastizität"
~subject:"Prognoseverfahren"
~subject:"Theorie"
~subject:"Time series analysis"
~subject:"USA"
~subject:"locally stationary process"
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Heteroskedastizität
Prognoseverfahren
Theorie
Time series analysis
USA
locally stationary process
Zeitreihenanalyse
22
Theory
19
Factor analysis
7
Faktorenanalyse
7
Estimation
6
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6
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6
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Dynamic Factor Models
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Statistical method
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panel data
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Abeysinghe, Tilak
Barigozzi, Matteo
Camacho, Maximo
Chen, Zhanshou
Linton, Oliver
Newbold, Paul
Robinson, Peter M.
Wang, Shaoping
Zaffaroni, Paolo
Hallin, Marc
23
Mélard, Guy
10
Franses, Philip Hans
9
Hassler, Uwe
8
Azrak, Rajae
6
Hecq, Alain W. J.
6
Dette, Holger
5
Kley, Tobias
5
Lee, Junsoo
5
Leybourne, Stephen James
5
Peel, David
5
Schmidt, Peter
5
Sibbertsen, Philipp
5
Volgushev, Stanislav
5
Alj, Abdelkamel
4
Lütkepohl, Helmut
4
Vander Elst, Harry
4
Caraiani, Petre
3
Choi, In
3
Gonzalo, Jesús
3
Harvey, David I.
3
Kruse, Robinson
3
Kurozumi, Eiji
3
Lee, Hahn-shik
3
Lee, Oesook
3
Lippi, Marco
3
Ruiz, Esther
3
Shin, Dong-wan
3
Shin, Yongcheol
3
Su, Jen-je
3
Weber, Enzo
3
Wright, Jonathan H.
3
Yang, Minxian
3
Österholm, Pär
3
Ōgaki, Masao
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ECARES working paper
Economics letters
Journal of econometrics
35
Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines
23
Econometric theory
13
Econometrics papers
11
Cambridge working papers in economics
10
CEMMAP working papers / Centre for Microdata Methods and Practice
9
Documentos de trabajo / Banco de España
9
Suntory and Toyota International Centres for Economics and Related Disciplines
9
Banco de Espana Working Paper
7
Discussion paper / Centre for Economic Policy Research
7
Working paper / Department of Econometrics and Business Statistics, Monash University
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
5
Applied economics
4
International journal of forecasting
4
Janeway Institute working paper series
4
An Elgar reference collection
3
Cowles Foundation discussion paper
3
Discussion paper series / LSE Financial Markets Group
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Economic research paper / Loughborough University, Department of Economics
3
Economic research paper / Loughborough University, Department of Economics / Loughborough University, Department of Economics
3
FEDS Working Paper
3
Finance and economics discussion series
3
Journal of applied econometrics
3
LSE STICERD Research Paper
3
The econometrics journal
3
The review of economic studies
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Cambridge-INET working papers
2
Documentos de trabajo / Banco de España, Servicio de Estudios
2
Economic modelling
2
Journal of forecasting
2
Office of Research working paper / University of Illinois at Urbana-Champaign, College of Commerce and Business Administration
2
Oxford bulletin of economics and statistics
2
Review of quantitative finance and accounting
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
The international library of critical writings in econometrics
2
A companion to economic forecasting
1
Advanced texts in econometrics
1
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ECONIS (ZBW)
22
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1
Dynamic factor models: a genealogy
Barigozzi, Matteo
;
Hallin, Marc
-
2023
Persistent link: https://www.econbiz.de/10014391458
Saved in:
2
Inferential theory for generalized dynamic factor models
Barigozzi, Matteo
;
Hallin, Marc
;
Luciani, Matteo
; …
-
2021
Persistent link: https://www.econbiz.de/10012614627
Saved in:
3
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:
4
Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo
;
Hallin, Marc
;
Soccorsi, Stefano
-
2019
Persistent link: https://www.econbiz.de/10012064799
Saved in:
5
Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo
;
Hallin, Marc
-
2018
Persistent link: https://www.econbiz.de/10012064840
Saved in:
6
Recursive adjusted unit root tests under non-stationary volatility
Wang, Shaoping
;
Li, Yanglin
;
Wen, Kuangyu
- In:
Economics letters
205
(
2021
),
pp. 1-5
Persistent link: https://www.econbiz.de/10013202963
Saved in:
7
Dynamic factor models with infinite-dimensional factor space : asymptotic analysis
Forni, Mario
;
Hallin, Marc
;
Lippi, Marco
;
Zaffaroni, Paolo
-
2015
Persistent link: https://www.econbiz.de/10011289217
Saved in:
8
Generalized dynamic factor models and volatilities : estimation and forecasting
Barigozzi, Matteo
;
Hallin, Marc
-
2015
Persistent link: https://www.econbiz.de/10011289224
Saved in:
9
Networks, dynamic factors, and the volatility analysis of high-dimensional financial series
Barigozzi, Matteo
;
Hallin, Marc
-
2015
Persistent link: https://www.econbiz.de/10011622692
Saved in:
10
Inference for multiple change points in heavy-tailed time series via rank likelihood ratio scan statistics
Chen, Zhanshou
;
Xu, Qiongyao
;
Li, Huini
- In:
Economics letters
179
(
2019
),
pp. 53-56
Persistent link: https://www.econbiz.de/10012121700
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