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~person:"Hafner, Christian M."
~person:"Linton, Oliver"
~person:"Peel, David"
~subject:"Autokorrelation"
~subject:"Cointegration"
~subject:"Efficient market hypothesis"
~subject:"Heteroskedastizität"
~subject:"Time series analysis"
~subject:"United States"
~subject:"World"
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Autokorrelation
Cointegration
Efficient market hypothesis
Heteroskedastizität
Time series analysis
United States
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Zeitreihenanalyse
132
Theorie
64
Theory
64
Estimation theory
45
Schätztheorie
45
Nichtparametrisches Verfahren
39
Nonparametric statistics
39
Estimation
26
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English
127
German
5
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Hafner, Christian M.
Linton, Oliver
Peel, David
Gil-Alaña, Luis A.
340
Caporale, Guglielmo Maria
260
Phillips, Peter C. B.
237
Koopman, Siem Jan
215
Franses, Philip Hans
213
McAleer, Michael
139
Gao, Jiti
134
Teräsvirta, Timo
126
Lütkepohl, Helmut
118
Gupta, Rangan
115
Pesaran, M. Hashem
109
Kapetanios, George
105
Sibbertsen, Philipp
102
Koop, Gary
100
Harvey, Andrew C.
96
Hyndman, Rob J.
91
Watson, Mark W.
89
Taylor, Robert
88
Stock, James H.
86
Härdle, Wolfgang
85
Johansen, Søren
83
Lucas, André
82
Perron, Pierre
82
Marcellino, Massimiliano
80
Hendry, David F.
79
Dijk, Herman K. van
78
Engle, Robert F.
77
Proietti, Tommaso
73
Swanson, Norman R.
73
Kunst, Robert M.
72
Mills, Terence C.
72
Granger, C. W. J.
71
Dijk, Dick van
70
Hassler, Uwe
70
Maravall Herrero, Agustín
68
Nielsen, Morten Ørregaard
67
Robinson, Peter M.
67
Leybourne, Stephen James
63
Ravazzolo, Francesco
63
Ghysels, Eric
61
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Econometrisch Instituut <Rotterdam>
2
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2
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
2
Centre for Microdata Methods and Practice <London>
1
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Journal of econometrics
13
Cambridge working papers in economics
9
CEMMAP working papers / Centre for Microdata Methods and Practice
8
Economics letters
8
Econometric theory
6
Working paper / Department of Econometrics and Business Statistics, Monash University
6
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5
Universitext
5
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4
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3
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3
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3
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3
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3
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3
Applied financial economics
2
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2
CORE discussion papers : DP
2
Cambridge-INET working papers
2
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
2
Discussion paper series / LSE Financial Markets Group
2
Discussion papers of interdisciplinary research project 373
2
Econometric Institute research papers
2
Economica
2
International economic review
2
Journal of applied econometrics
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
The econometrics journal
2
Working papers series in theoretical and applied economics
2
Applied economics letters
1
CEA_372Cass working paper series
1
Contributions to Economics
1
Contributions to economics
1
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1
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1
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1
Discussion papers in economics
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Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics
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ECONIS (ZBW)
132
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1
Dynamic autoregressive liquidity (DArLiQ)
Hafner, Christian M.
;
Linton, Oliver
;
Wang, Linqi
-
2022
Persistent link: https://www.econbiz.de/10013263369
Saved in:
2
Nonparametric estimation of large spot volatility matrices for high-frequency financial data
Bu, Ruijun
;
Li, Degui
;
Linton, Oliver
;
Wang, Hanchao
-
2022
-
This version: March 16, 2022
Persistent link: https://www.econbiz.de/10013263439
Saved in:
3
Do consumption-based asset pricing models explain own-history predictability in stock market returns?
Ashby, Michael F.
;
Linton, Oliver
-
2022
Persistent link: https://www.econbiz.de/10013486082
Saved in:
4
Estimating time-varying networks for high-dimensional time series
Chen, Jia
;
Li, Degui
;
Li, Yuning
;
Linton, Oliver
-
2022
-
Version: December 13, 2022
Persistent link: https://www.econbiz.de/10013503856
Saved in:
5
Time-varying mixture copula models with copula selection
Yang, Bingduo
;
Cai, Zongwu
;
Hafner, Christian M.
;
Liu, …
-
2021
Persistent link: https://www.econbiz.de/10012602628
Saved in:
6
Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Li, Yu-Ning
;
Chen, Jia
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013259517
Saved in:
7
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:
8
Asymmetric volatility impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Economics letters
222
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014232851
Saved in:
9
Dynamic score-driven independent component analysis
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 298-308
Persistent link: https://www.econbiz.de/10014448140
Saved in:
10
Estimation of a nonparametric model for bond prices from cross-section and time series information
Koo, Bonsoo
;
La Vecchia, Davide
;
Linton, Oliver
-
2020
Persistent link: https://www.econbiz.de/10012606874
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