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~isPartOf:"Journal of econometrics"
~person:"Akker, Ramon van den"
~person:"Hallin, Marc"
~person:"Volgushev, Stanislav"
~subject:"Economic dynamics"
~subject:"Zeitreihenanalyse"
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Economic dynamics
Zeitreihenanalyse
Time series analysis
9
Theorie
6
Theory
6
Factor analysis
5
Faktorenanalyse
5
Volatility
5
Volatilität
5
Dynamische Wirtschaftstheorie
4
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3
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3
Estimation theory
3
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Schätztheorie
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Dynamic factor models
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Estimation
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Generalized dynamic factor models
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Heteroscedasticity
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High-dimensional time series
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Vector processes with singular spectral density
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Akker, Ramon van den
Hallin, Marc
Volgushev, Stanislav
Barigozzi, Matteo
3
Forni, Mario
3
Lippi, Marco
3
Zaffaroni, Paolo
2
Dufour, Jean-Marie
1
Farhat, Abdeljelil
1
La Vecchia, Davide
1
Mathias, Charles
1
Pirotte, Hugues
1
Reichlin, Lucrezia
1
Sachs, Rainer von
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Soccorsi, Stefano
1
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Journal of econometrics
ECARES working paper
24
CentER Discussion Paper Series
3
Discussion paper / Center for Economic Research, Tilburg University
3
Journal of the American Statistical Association : JASA
3
Discussion paper / Centre for Economic Policy Research
2
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823
1
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Econometric theory
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Journal de la Société de Statistique de Paris
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Journal of monetary economics
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1
Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo
;
Hallin, Marc
;
Soccorsi, Stefano
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
Saved in:
2
Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo
;
Hallin, Marc
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 4-34
Persistent link: https://www.econbiz.de/10012439634
Saved in:
3
Generalized dynamic factor models and volatilities : estimation and forecasting
Barigozzi, Matteo
;
Hallin, Marc
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 307-321
Persistent link: https://www.econbiz.de/10011920497
Saved in:
4
R-estimation in semiparametric dynamic location-scale models
Hallin, Marc
;
La Vecchia, Davide
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 222-247
Persistent link: https://www.econbiz.de/10011818285
Saved in:
5
Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis
Forni, Mario
;
Hallin, Marc
;
Lippi, Marco
;
Zaffaroni, Paolo
- In:
Journal of econometrics
199
(
2017
)
1
,
pp. 74-92
Persistent link: https://www.econbiz.de/10011818962
Saved in:
6
Dynamic factor models with infinite-dimensional factor spaces : one-sided representations
Forni, Mario
;
Hallin, Marc
;
Lippi, Marco
;
Zaffaroni, Paolo
- In:
Journal of econometrics
185
(
2015
)
2
,
pp. 359-371
Persistent link: https://www.econbiz.de/10011348429
Saved in:
7
Market liquidity as dynamic factors
Hallin, Marc
;
Mathias, Charles
;
Pirotte, Hugues
; …
- In:
Journal of econometrics
163
(
2011
)
1
,
pp. 42-50
Persistent link: https://www.econbiz.de/10009270591
Saved in:
8
A class of simple distribution-free-rank-based unit root tests
Hallin, Marc
;
Akker, Ramon van den
;
Werker, Bas J. M.
- In:
Journal of econometrics
163
(
2011
)
2
,
pp. 200-214
Persistent link: https://www.econbiz.de/10009270609
Saved in:
9
Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series
Dufour, Jean-Marie
;
Farhat, Abdeljelil
;
Hallin, Marc
- In:
Journal of econometrics
130
(
2006
)
1
,
pp. 123-142
Persistent link: https://www.econbiz.de/10003228631
Saved in:
10
The generalized dynamic factor model consistency and rates
Forni, Mario
;
Hallin, Marc
;
Lippi, Marco
;
Reichlin, Lucrezia
- In:
Journal of econometrics
119
(
2004
)
2
,
pp. 231-255
Persistent link: https://www.econbiz.de/10001956174
Saved in:
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