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Search: subject:"Long run variance"
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Estimation theory
31
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Time series analysis
23
Zeitreihenanalyse
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Statistical test
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15
Long-run variance
14
long-run variance
12
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Long run variance estimator
9
Market frictions
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long run variance
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Autocorrelation
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F distribution
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Forecasting model
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long run variance estimation
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Cointegration
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Long-run variance estimation
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Regressionsanalyse
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Robust standard error
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Structural break
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Strukturbruch
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Einheitswurzeltest
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Estimation
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HAC estimation
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Heteroscedasticity
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Sun, Yixiao
24
Phillips, Peter C.B.
13
Barndorff-Nielsen, Ole E.
11
Shephard, Neil
11
Jin, Sainan
10
Hansen, Peter Reinhard
8
Lunde, Asger
8
Liao, Zhipeng
6
Phillips, Peter C. B.
6
Chen, Xiaohong
5
Iacone, Fabrizio
4
Harvey, David I.
3
Jönsson, Kristian
3
Kruse, Robinson
3
Leschinski, Christian
3
Vogelsang, Timothy J.
3
Will, Michael
3
Casini, Alessandro
2
Choi, Chi-Young
2
Coroneo, Laura
2
Hualde, Javier
2
Kara, Alper
2
Kheifets, Igor L.
2
Leybourne, Stephen J.
2
Liu, Ruobing
2
Müller, Ulrich K.
2
Ruan, Chuan-Yang
2
Shao, Xiaofeng
2
Sul, Donggyu
2
Taylor, A. M. Robert
2
Tunç, Gül Ipek
2
Wagner, Martin
2
Wilhelm, Daniel
2
Wu, Jilin
2
Yang, Jianhui
2
Zhang, Xianyang
2
Belotti, Federico
1
Carrion i Silvestre, Josep Lluís
1
Carrion-i-Silvestre, Josep
1
Catania, Leopoldo
1
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11
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5
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3
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Economics Group, Nuffield College, University of Oxford
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1
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1
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1
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1
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Cowles Foundation Discussion Papers
11
Journal of econometrics
6
University of California at San Diego, Economics Working Paper Series
5
Economics letters
4
Discussion papers in economics
3
Economics Series Working Papers / Department of Economics, Oxford University
3
Journal of Econometrics
3
Yale School of Management Working Papers
3
CEMMAP working papers / Centre for Microdata Methods and Practice
2
Cowles Foundation discussion paper
2
Discussion Papers / Granger Centre for Time Series Econometrics, School of Economics
2
Economics Letters
2
Economics Papers / Economics Group, Nuffield College, University of Oxford
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
OFRC Working Papers Series
2
Post-Print / HAL
2
Working Papers / Nationalekonomiska Institutionen, Ekonomihögskolan
2
cemmap working paper
2
CEIS Tor Vergata research papers : CEIS Tor Vergata research paper series
1
CREATES Research Papers
1
Discussion Papers / Graduate School of Economics, Hitotsubashi University
1
Discussion paper / LSE Financial Markets Group
1
Discussion papers / Graduate School of Economics, Hitotsubashi University
1
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
1
ERC working papers in economics
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Econometric Society 2004 North American Winter Meetings
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Econometric reviews
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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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Economics Series / Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS)
1
Empirical Economics
1
Essays in honor of Joon Y. Park : econometric theory
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Global COE Hi-Stat Discussion Paper Series
1
Hannover Economic Papers (HEP)
1
International Journal of Financial Studies
1
International Journal of Financial Studies : open access journal
1
International journal of forecasting
1
Journal of applied econometrics
1
Journal of empirical finance
1
Journal of financial econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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RePEc
46
ECONIS (ZBW)
37
EconStor
7
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1
Robust inference on infinite and growing dimensional time-series regression
Gupta, Abhimanyu
;
Seo, Myung Hwan
- In:
Econometrica : journal of the Econometric Society, an …
91
(
2023
)
4
,
pp. 1333-1361
Persistent link: https://www.econbiz.de/10014365440
Saved in:
2
Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models
Casini, Alessandro
-
2022
Persistent link: https://www.econbiz.de/10013255861
Saved in:
3
On multicointegration
Phillips, Peter C. B.
;
Kheifets, Igor
-
2021
Persistent link: https://www.econbiz.de/10012807766
Saved in:
4
Testing for equal predictive accuracy with strong dependence
Coroneo, Laura
;
Iacone, Fabrizio
-
2021
Persistent link: https://www.econbiz.de/10012817692
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5
Market efficiency in non-renewable resource markets: evidence from stationarity tests with structural changes
Kara, Alper
;
Yıldırım, Dilem
;
Tunç, Gül Ipek
-
2021
Persistent link: https://www.econbiz.de/10013550334
Saved in:
6
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
Saved in:
7
Some impossibility results for inference with cluster dependence with large clusters
Kojevnikov, Denis
;
Song, Kyungchul
- In:
Journal of econometrics
237
(
2023
)
2,1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471511
Saved in:
8
Empirical performance of component GARCH models in pricing VIX term structure and VIX futures
Cheng, Hung-Wen
;
Chang, Li-Han
;
Lo, Chien-Ling
;
Tsai, …
- In:
Journal of empirical finance
72
(
2023
),
pp. 122-142
Persistent link: https://www.econbiz.de/10014476812
Saved in:
9
Testing for multiple level shifts with an integrated or stationary noise component
Carrion i Silvestre, Josep Lluís
;
Gadea, María Dolores
- In:
Journal of applied econometrics
38
(
2023
)
6
,
pp. 801-819
Persistent link: https://www.econbiz.de/10014432113
Saved in:
10
Fully modified least squares cointegrating parameter estimation in multicointegrated systems
Kheifets, Igor L.
;
Phillips, Peter C. B.
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 300-319
Persistent link: https://www.econbiz.de/10014339925
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