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~isPartOf:"Journal of econometrics"
~language:"eng"
~language:"ita"
~language:"lit"
~language:"sqi"
~language:"und"
~person:"Boswijk, Herman Peter"
~person:"Renault, Eric"
~subject:"Geldpolitik"
~subject:"Großbritannien"
~subject:"Statistischer Test"
~subject:"Volatility"
~type_genre:"Arbeitspapier"
~type_genre:"Article in journal"
~type_genre:"Aufsatz im Buch"
~type_genre:"Fallstudie"
~type_genre:"Statistik"
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Geldpolitik
Großbritannien
Statistischer Test
Volatility
Theorie
16
Theory
16
Estimation theory
12
Schätztheorie
12
Volatilität
8
Econometrics
6
Ökonometrie
6
Cointegration
5
Financial market
5
Finanzmarkt
5
Kointegration
5
Stochastic process
5
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5
Time series analysis
5
Zeitreihenanalyse
5
Causality analysis
4
Kausalanalyse
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Method of moments
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4
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3
Capital income
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Nichtparametrisches Verfahren
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Induktive Statistik
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Statistical distribution
2
Statistical inference
2
Statistische Verteilung
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Boswijk, Herman Peter
Renault, Eric
Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Aït-Sahalia, Yacine
12
Andersen, Torben
11
Ghysels, Eric
10
McAleer, Michael
10
Taylor, Robert
10
Andrews, Donald W. K.
8
Dufour, Jean-Marie
8
Linton, Oliver
8
Meddahi, Nour
8
Sun, Yixiao
8
Xiu, Dacheng
8
Yu, Jun
8
Delgado, Miguel A.
7
Hallin, Marc
7
Li, Jia
7
Mykland, Per A.
7
Park, Joon Y.
7
Patton, Andrew J.
7
Phillips, Peter C. B.
7
Cavaliere, Giuseppe
6
Clark, Todd E.
6
Francq, Christian
6
Hsiao, Cheng
6
Khalaf, Lynda
6
Kim, Donggyu
6
Moreira, Marcelo J.
6
Rahbek, Anders
6
Shephard, Neil G.
6
Andreou, Elena
5
Asai, Manabu
5
Cai, Zongwu
5
Corradi, Valentina
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Li, Qi
5
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Journal of econometrics
Discussion paper / Tinbergen Institute
7
Econometric reviews
4
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Série des documents de travail / Centre de Recherche en Économie et Statistique
3
Discussion paper / Center for Economic Research, Tilburg University
2
Econometric theory
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
2
Annals of finance
1
CORE discussion paper : DP
1
CREATES research paper
1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Discussion papers / Department of Economics, University of Copenhagen
1
Documents de travail / THEMA
1
Economics discussion papers
1
Economics letters
1
Handbook of financial time series
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Quantitative economics : QE ; journal of the Econometric Society
1
Queen's Economics Department working paper
1
Statistical methods in finance
1
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1
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ECONIS (ZBW)
12
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1
Bootstrapping non-stationary stochastic volatility
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
Georgiev, Iliyan
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 161-180
Persistent link: https://www.econbiz.de/10013275368
Saved in:
2
The leverage effect puzzle revisited : identification in discrete time
Han, Hyojin
;
Khrapov, Stanislav
;
Renault, Eric
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 230-258
Persistent link: https://www.econbiz.de/10012482760
Saved in:
3
Testing identification strength
Antoine, Bertille
;
Renault, Eric
- In:
Journal of econometrics
218
(
2020
)
2
,
pp. 271-293
Persistent link: https://www.econbiz.de/10012483002
Saved in:
4
Testing for self-excitation in jumps
Boswijk, Herman Peter
;
Laeven, Roger J. A.
;
Yang, Xiye
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 256-266
Persistent link: https://www.econbiz.de/10011974668
Saved in:
5
Inference on co-integration parameters in heteroskedastic vector autoregressions
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
Rahbek, Anders
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 64-85
Persistent link: https://www.econbiz.de/10011615672
Saved in:
6
Improved likelihood ratio tests for cointegration rank in the VAR model
Boswijk, Herman Peter
;
Jansson, Michael
;
Nielsen, …
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 97-110
Persistent link: https://www.econbiz.de/10011326813
Saved in:
7
Estimating spot volatility with high-frequency financial data
Zu, Yang
;
Boswijk, Herman Peter
- In:
Journal of econometrics
181
(
2014
)
2
,
pp. 117-135
Persistent link: https://www.econbiz.de/10010473332
Saved in:
8
Causality effects in return volatility measures with random times
Renault, Eric
;
Werker, Bas J. M.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 272-279
Persistent link: https://www.econbiz.de/10009242519
Saved in:
9
Estimation of objective and risk-neutral distributions based on moments of integrated volatility
Garcia, René
;
Lewis, Marc-André
;
Pastorello, Sergio
; …
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 22-32
Persistent link: https://www.econbiz.de/10009242563
Saved in:
10
Short run and long run causality in time series : inference
Dufour, Jean-Marie
;
Pelletier, Denis
;
Renault, Eric
- In:
Journal of econometrics
132
(
2006
)
2
,
pp. 337-362
Persistent link: https://www.econbiz.de/10003348758
Saved in:
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