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~isPartOf:"Econometric theory"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Kapitaleinkommen"
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Search: subject:"Time series analysis"
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Kapitaleinkommen
Time series analysis
625
Zeitreihenanalyse
625
Theorie
336
Theory
336
Estimation theory
234
Schätztheorie
234
Estimation
109
Schätzung
109
Volatility
94
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47
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36
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Gupta, Rangan
2
Kim, Chang-Jin
2
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2
Nelson, Charles R.
2
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1
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1
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1
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Cuñado Eizaguirre, Juncal
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De Angelis, Luca
1
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Econometric theory
Journal of empirical finance
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
38
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
37
Finance research letters
31
International journal of forecasting
28
Economic modelling
25
International review of financial analysis
25
International review of economics & finance : IREF
24
Journal of forecasting
22
Applied economics
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Discussion paper / Tinbergen Institute
20
The North American journal of economics and finance : a journal of financial economics studies
19
Journal of banking & finance
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Economics letters
17
Journal of financial economics
15
Applied economics letters
14
Journal of financial econometrics
14
Journal of international financial markets, institutions & money
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Research in international business and finance
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The journal of finance : the journal of the American Finance Association
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Applied financial economics
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Energy economics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
12
Journal of risk and financial management : JRFM
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NBER working paper series
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Quantitative finance
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CREATES research paper
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Pacific-Basin finance journal
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Working paper / National Bureau of Economic Research, Inc.
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CESifo working papers
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Working paper
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Computational economics
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Review of quantitative finance and accounting
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The European journal of finance
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Cambridge working papers in economics
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International journal of theoretical and applied finance
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ECONIS (ZBW)
54
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11
A Markov-switching regression model with non-Gaussian innovations : estimation and testing
De Angelis, Luca
;
Viroli, Cinzia
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011705723
Saved in:
12
Forecasting stock returns : a predictor-constrained approach
Pan, Zhiyuan
;
Pettenuzzo, Davide
;
Wang, Yudong
- In:
Journal of empirical finance
55
(
2020
),
pp. 200-217
Persistent link: https://www.econbiz.de/10012175754
Saved in:
13
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Song, Yuping
;
Hou, Weijie
;
Zhou, Shengyi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012198377
Saved in:
14
On the robustness of the principal volatility components
Trucíos, Carlos
;
Hotta, Luiz K.
;
Pereira, Pedro L. Valls
- In:
Journal of empirical finance
52
(
2019
),
pp. 201-219
Persistent link: https://www.econbiz.de/10012171112
Saved in:
15
Think again : volatility asymmetry and volatility persistence
Baur, Dirk G.
;
Dimpfl, Thomas
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012054865
Saved in:
16
A nonlinear model of asset returns with multiple shocks
Kahra, Hannu
;
Martin, Vance
;
Sarkar, Saikat
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
1
,
pp. 1-45
Persistent link: https://www.econbiz.de/10012054867
Saved in:
17
Forecasting stock market returns by summing the frequency-decomposed parts
Faria, Gonçalo
;
Verona, Fabio
- In:
Journal of empirical finance
45
(
2018
),
pp. 228-242
Persistent link: https://www.econbiz.de/10012102423
Saved in:
18
New evidence on asymmetric return-volume dependence and extreme movements
Wang, Yi-Chiuan
;
Wu, Jyh-lin
;
Lai, Yi-Hao
- In:
Journal of empirical finance
45
(
2018
),
pp. 212-227
Persistent link: https://www.econbiz.de/10012102448
Saved in:
19
The decomposition of jump risks in individual stock returns
Xiao, Xiao
;
Chen Zhou
- In:
Journal of empirical finance
47
(
2018
),
pp. 207-228
Persistent link: https://www.econbiz.de/10012103499
Saved in:
20
Time-varying volatility and the power law distribution of stock returns
Warusawitharana, Missaka
- In:
Journal of empirical finance
49
(
2018
),
pp. 123-141
Persistent link: https://www.econbiz.de/10012117726
Saved in:
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