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~language:"eng"
~person:"Andersen, Torben"
~person:"Franses, Philip Hans"
~person:"Taylor, Robert"
~subject:"Volatilität"
~subject:"Zeitreihenanalyse"
~type_genre:"Article in journal"
~type_genre:"Bibliografie"
~type_genre:"Graue Literatur"
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Volatilität
Zeitreihenanalyse
Theorie
328
Theory
328
Time series analysis
264
Forecasting model
175
Prognoseverfahren
175
Volatility
123
Estimation theory
104
Schätztheorie
104
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99
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98
Einheitswurzeltest
83
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83
USA
80
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80
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79
Seasonal variations
79
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55
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55
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47
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41
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41
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41
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Andersen, Torben
Franses, Philip Hans
Taylor, Robert
Gil-Alaña, Luis A.
349
McAleer, Michael
310
Gupta, Rangan
294
Caporale, Guglielmo Maria
293
Koopman, Siem Jan
175
Phillips, Peter C. B.
173
Teräsvirta, Timo
115
Bouri, Elie
107
Chang, Chia-Lin
104
Tiwari, Aviral Kumar
102
Bollerslev, Tim
100
Bahmani-Oskooee, Mohsen
97
Pesaran, M. Hashem
97
Härdle, Wolfgang
95
Ma, Feng
95
Lütkepohl, Helmut
94
Marcellino, Massimiliano
94
Gao, Jiti
93
Sibbertsen, Philipp
92
Lucas, André
87
Pierdzioch, Christian
87
Hyndman, Rob J.
86
Dijk, Dick van
85
Koop, Gary
82
Hammoudeh, Shawkat
79
Linton, Oliver
79
Kapetanios, George
78
Kunst, Robert M.
77
Spagnolo, Nicola
77
Harvey, Andrew C.
73
Johansen, Søren
73
Diebold, Francis X.
72
Nielsen, Morten Ørregaard
71
Wohar, Mark E.
70
McMillan, David G.
67
Dijk, Herman K. van
66
Ghysels, Eric
66
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1
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1
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Journal of econometrics
37
Report / Econometric Institute, Erasmus University Rotterdam
26
Econometric Institute research papers
22
Report / Econometric Institute, Erasmus University Rotterdam / Econometric Institute, Erasmus University Rotterdam
18
Discussion paper / Tinbergen Institute
15
Econometric theory
14
Working paper / National Bureau of Economic Research, Inc.
14
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
13
CREATES research paper
12
Econometric reviews
11
Economics letters
10
International journal of forecasting
10
Journal of forecasting
8
Oxford bulletin of economics and statistics
8
The journal of finance : the journal of the American Finance Association
6
Discussion paper / Tinbergen Institute / Tinbergen Institute
5
Journal of applied econometrics
5
Working papers / Financial Institutions Center
5
Department of Economics discussion paper / Department of Economics, The University of Birmingham
4
Discussion papers / Department of Economics, University of Copenhagen
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
Journal of empirical finance
4
Queen's Economics Department working paper
4
Report / Erasmus Center for Financial Research, Erasmus University
4
Research memorandum series / Tinbergen Instituut
4
Working paper
4
CFS working paper series
3
Financial Institutions Center
3
Journal of economic surveys
3
The econometrics journal
3
The review of economics and statistics
3
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3
Applied economics
2
Discussion papers in economics
2
Economic modelling
2
Global COE Hi-Stat discussion paper series
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IHS economics series : working paper
2
International economic review
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Journal of financial econometrics
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ECONIS (ZBW)
345
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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
Are African business cycles synchronized? : evidence from spatio-temporal modeling
Mattera, Raffaele
;
Franses, Philip Hans
- In:
Economic modelling
128
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014464318
Saved in:
3
Autoregressive conditional durations : an application to the Surinamese dollar versus the US dollar exchange rate
Ooft, Gavin
;
Franses, Philip Hans
;
Bhaghoe, Sailesh
- In:
Review of development economics : an essential resource …
27
(
2023
)
4
,
pp. 2618-2637
Persistent link: https://www.econbiz.de/10014427710
Saved in:
4
CUSUM-based monitoring for explosive episodes in financial data in the presence of time-varying volatility
Astill, Sam
;
Harvey, David I.
;
Leybourne, Stephen James
; …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 187-227
Persistent link: https://www.econbiz.de/10013542862
Saved in:
5
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
6
Using covariates to improve the efficacy of univariate bubble detection methods
Astill, Sam
;
Taylor, Robert
;
Kellard, Neil
;
Korkos, Ioannis
- In:
Journal of empirical finance
70
(
2023
),
pp. 342-366
Persistent link: https://www.econbiz.de/10014423733
Saved in:
7
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
8
Adaptive inference in heteroscedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 50-65
Persistent link: https://www.econbiz.de/10012804084
Saved in:
9
Evaluating heterogeneous forecasts for vintages of macroeconomic variables
Franses, Philip Hans
;
Welz, Max
- In:
Journal of forecasting
41
(
2022
)
4
,
pp. 829-839
Persistent link: https://www.econbiz.de/10013287864
Saved in:
10
Forecasting : theory and practice
Petropoulos, Fotios
;
Apiletti, Daniele
;
Assimakopoulos, V.
- In:
International journal of forecasting
38
(
2022
)
3
,
pp. 705-871
Persistent link: https://www.econbiz.de/10013349395
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