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~language:"eng"
~person:"Hafner, Christian M."
~person:"Lee, Myoung-jae"
~subject:"Estimation theory"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Textbook"
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Estimation theory
Schätztheorie
37
Theorie
32
Theory
32
Time series analysis
17
Zeitreihenanalyse
17
Estimation
16
Schätzung
16
ARCH model
12
ARCH-Modell
12
Volatility
12
Volatilität
12
Option pricing theory
7
Optionspreistheorie
7
Stochastic process
7
Stochastischer Prozess
7
Nichtparametrisches Verfahren
6
Nonparametric statistics
6
Financial Engineering
5
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Aufsatz in Zeitschrift
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34
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Hafner, Christian M.
Lee, Myoung-jae
Phillips, Peter C. B.
91
Lee, Lung-fei
65
Linton, Oliver
63
Baltagi, Badi H.
62
Li, Qi
59
Andrews, Donald W. K.
50
Tsionas, Efthymios G.
48
Newey, Whitney K.
47
Ullah, Aman
46
Su, Liangjun
44
Kumbhakar, Subal
39
Robinson, Peter M.
39
Wooldridge, Jeffrey M.
39
Gao, Jiti
38
Ohtani, Kazuhiro
38
Pesaran, M. Hashem
37
Chen, Songnian
35
McAleer, Michael
35
Simar, Léopold
34
Bera, Anil K.
33
Horowitz, Joel
33
Hsiao, Cheng
33
Parmeter, Christopher F.
33
White, Halbert
33
Hahn, Jinyong
32
Perron, Pierre
32
Bai, Jushan
30
Cai, Zongwu
30
Fan, Yanqin
30
Lütkepohl, Helmut
30
Giles, David E. A.
29
Chen, Xiaohong
28
Krämer, Walter
28
Westerlund, Joakim
28
Zhang, Xinyu
27
Florens, Jean-Pierre
26
Hansen, Bruce E.
26
Leybourne, Stephen James
26
Racine, Jeffrey
26
Schmidt, Peter
26
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Journal of econometrics
7
Economics letters
6
Econometric theory
5
Journal of applied econometrics
3
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
American journal of agricultural economics
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Finance and stochastics
1
Finance research letters
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometric methods
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Journal of economic dynamics & control
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Journal of international economics
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ECONIS (ZBW)
37
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1
Correlation impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Finance research letters
57
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014513333
Saved in:
2
Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.
;
Kyriakopoulou, Dimitra
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 589-603
Persistent link: https://www.econbiz.de/10012499104
Saved in:
3
A dynamic conditional score model for the log correlation matrix
Hafner, Christian M.
;
Wang, Linqi
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-18
Persistent link: https://www.econbiz.de/10014471519
Saved in:
4
Finding correct elasticities in log-linear and exponential models allowing heteroskedasticity
Lee, Myoung-jae
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
3
,
pp. 81-91
Persistent link: https://www.econbiz.de/10012594174
Saved in:
5
A simple solution of the spurious regression problem
Wang, Cindy Shin-Huei
;
Hafner, Christian M.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011897483
Saved in:
6
Estimation
of a multiplicative correlation structure in the large dimensional case
Hafner, Christian M.
;
Linton, Oliver
;
Tang, Haihan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 431-470
Persistent link: https://www.econbiz.de/10012482816
Saved in:
7
Regression discontinuity with errors in the running variable : effect on truthful margin
Lee, Myoung-jae
- In:
Journal of econometric methods
6
(
2017
)
1
,
pp. 1-8
Persistent link: https://www.econbiz.de/10011944456
Saved in:
8
An ARCH model without intercept
Hafner, Christian M.
;
Preminger, Arie
- In:
Economics letters
129
(
2015
),
pp. 13-17
Persistent link: https://www.econbiz.de/10011421858
Saved in:
9
Minimum distance estimator for sharp regression discontinuity with multiple running variables
Choi, Jin-young
;
Lee, Myoung-jae
- In:
Economics letters
162
(
2018
),
pp. 10-14
Persistent link: https://www.econbiz.de/10011939720
Saved in:
10
Locally stationary factor models : identification and nonparametric
estimation
Motta, Giovanni
;
Hafner, Christian M.
;
Sachs, Rainer von
- In:
Econometric theory
27
(
2011
)
6
,
pp. 1279-1319
Persistent link: https://www.econbiz.de/10009489713
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