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~isPartOf:"Econometric reviews"
~source:"econis"
~subject:"Prognoseverfahren"
~subject:"Time series analysis"
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Prognoseverfahren
Time series analysis
Volatility
89
Volatilität
89
Theorie
53
Theory
53
Stochastic process
44
Stochastischer Prozess
44
Zeitreihenanalyse
33
Estimation
28
Schätzung
28
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25
Schätztheorie
25
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22
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22
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19
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19
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18
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18
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United States
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15
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15
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12
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12
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12
Nichtparametrisches Verfahren
11
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9
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9
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9
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McAleer, Michael
4
Cavaliere, Giuseppe
3
Taylor, Robert
3
Teräsvirta, Timo
3
Anatolyev, Stanislav
2
Asai, Manabu
2
Jawadi, Fredj
2
Maasoumi, Esfandiar
2
Phillips, Peter C. B.
2
Amado, Cristina
1
Audrino, Francesco
1
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1
Bermudez, P. de Zea
1
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1
Boswijk, Herman Peter
1
Brechmann, E. C.
1
Bu, Ruijun
1
Cai, Yuzhi
1
Cai, Zongwu
1
Cartea, Álvaro
1
Catani, Paul
1
Chan, Joshua
1
Christodoulakis, George A.
1
Corsi, Fulvio
1
De Angelis, Luca
1
Dimitrakopoulos, Stefanos
1
Dufays, Arnaud
1
Ftiti, Zied
1
Galbraith, John W.
1
Gospodinov, Nikolaj
1
Gu, Wentao
1
Han, Ai
1
Harvey, David I.
1
He, Yanan
1
Heiden, M.
1
Hillebrand, Eric
1
Hong, Yongmiao
1
Hoti, Suhejla
1
Hsiao, Cheng
1
Karyampas, Dimitrios
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Econometric reviews
Energy economics
146
Journal of econometrics
132
International journal of forecasting
126
Finance research letters
120
Journal of forecasting
119
Discussion paper / Tinbergen Institute
94
Economic modelling
94
International review of financial analysis
86
Journal of empirical finance
83
Applied economics
74
International review of economics & finance : IREF
71
The North American journal of economics and finance : a journal of financial economics studies
71
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
70
Journal of banking & finance
68
Economics letters
51
Working paper
50
Quantitative finance
46
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
43
Applied economics letters
40
Journal of risk and financial management : JRFM
40
Applied financial economics
39
Journal of financial econometrics
39
Journal of financial econometrics : official journal of the Society for Financial Econometrics
39
The journal of futures markets
39
CREATES research paper
38
Journal of international financial markets, institutions & money
37
Research in international business and finance
37
Computational economics
32
Department of Economics working paper series
32
International journal of finance & economics : IJFE
32
The European journal of finance
32
Journal of applied econometrics
29
Journal of financial economics
29
NBER working paper series
26
Pacific-Basin finance journal
26
SFB 649 discussion paper
25
Econometrics : open access journal
24
Journal of economic dynamics & control
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Risks : open access journal
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ECONIS (ZBW)
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41
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1
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
De Angelis, Luca
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 725-757
Persistent link: https://www.econbiz.de/10014420355
Saved in:
2
Large dimensional portfolio allocation based on a mixed frequency dynamic factor model
Peng, Siyang
;
Shaojun, Guo
;
Long, Yonghong
- In:
Econometric reviews
41
(
2022
)
5
,
pp. 539-563
Persistent link: https://www.econbiz.de/10013364893
Saved in:
3
Forecasting crude oil price intervals and return
volatility
via autoregressive conditional interval models
He, Yanan
;
Han, Ai
;
Hong, Yongmiao
;
Sun, Yuying
;
Wang, …
- In:
Econometric reviews
40
(
2021
)
6
,
pp. 584-606
Persistent link: https://www.econbiz.de/10012624525
Saved in:
4
Bayesian analysis of moving average stochastic
volatility
models : modeling in-mean effects and leverage for financial time series
Dimitrakopoulos, Stefanos
;
Kolossiatis, Michalis
- In:
Econometric reviews
39
(
2020
)
4
,
pp. 319-343
Persistent link: https://www.econbiz.de/10012181420
Saved in:
5
A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, Ruijun
;
Jawadi, Fredj
;
Li, Yuyi
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 27-53
Persistent link: https://www.econbiz.de/10012181537
Saved in:
6
Forecasting energy futures
volatility
with threshold augmented heterogeneous autoregressive jump models
Jawadi, Fredj
;
Ftiti, Zied
;
Louhichi, Waël
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 54-70
Persistent link: https://www.econbiz.de/10012181540
Saved in:
7
Data cloning estimation for asymmetric stochastic
volatility
models
Bermudez, P. de Zea
;
Marín, J. Miguel
;
Veiga, Helena
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 1057-1074
Persistent link: https://www.econbiz.de/10012406209
Saved in:
8
Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
Bennedsen, Mikkel
- In:
Econometric reviews
39
(
2020
)
9
,
pp. 875-903
Persistent link: https://www.econbiz.de/10012295586
Saved in:
9
Multivariate return decomposition : theory and implications
Anatolyev, Stanislav
;
Gospodinov, Nikolaj
- In:
Econometric reviews
38
(
2019
)
5
,
pp. 487-508
Persistent link: https://www.econbiz.de/10012181325
Saved in:
10
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary
volatility
Cavaliere, Giuseppe
;
Skrobotov, Anton
;
Taylor, Robert
- In:
Econometric reviews
38
(
2019
)
5
,
pp. 509-532
Persistent link: https://www.econbiz.de/10012181330
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