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~isPartOf:"CESifo Forum"
~isPartOf:"Environmental modeling & assessment"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of financial economics"
~person:"Agudze, Komla M."
~person:"Andersen, Torben"
~person:"Bandi, Federico M."
~person:"Blasques, Francisco"
~person:"Heckman, James J."
~person:"Kelly, Bryan T."
~person:"Li, Yong"
~person:"Pelger, Markus"
~person:"Renault, Eric"
~person:"Scaillet, Olivier"
~person:"Swanson, Norman R."
~subject:"ARCH-Modell"
~subject:"Autokorrelation"
~subject:"CCAPM"
~subject:"EU-Staaten"
~subject:"Estimation"
~subject:"High-dimensional data"
~subject:"Innovation"
~subject:"Markov chain"
~subject:"Portfolio selection"
~subject:"Schätzung"
~subject:"Structural innovations"
~subject:"Theorie"
~subject:"Welt"
~subject:"Ökonometrisches Modell"
~type_genre:"Article in journal"
~type_genre:"Aufsatz in Zeitschrift"
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Agudze, Komla M.
Andersen, Torben
Bandi, Federico M.
Blasques, Francisco
Heckman, James J.
Kelly, Bryan T.
Li, Yong
Pelger, Markus
Renault, Eric
Scaillet, Olivier
Swanson, Norman R.
Phillips, Peter C. B.
37
Koop, Gary
16
Lee, Lung-fei
16
Yu, Jun
16
Aït-Sahalia, Yacine
15
Gouriéroux, Christian
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Linton, Oliver
15
Pesaran, M. Hashem
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Ghysels, Eric
14
Diebold, Francis X.
13
Shleifer, Andrei
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Schmidt, Peter
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Chib, Siddhartha
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Granger, C. W. J.
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McAleer, Michael
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Steel, Mark F. J.
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Stulz, René M.
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Timmermann, Allan
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Xiao, Zhijie
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Corradi, Valentina
10
Hsiao, Cheng
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Maasoumi, Esfandiar
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Acharya, Viral V.
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Dufour, Jean-Marie
9
Harvey, Campbell R.
9
Hong, Yongmiao
9
Li, Qi
9
Morellec, Erwan
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Park, Joon Y.
9
Robinson, Peter M.
9
Taylor, Robert
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Tsionas, Efthymios G.
9
Whang, Yoon-jae
9
Baltagi, Badi H.
8
Barnett, William A.
8
Chen, Lin
8
Gallant, A. Ronald
8
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Environmental modeling & assessment
Journal of econometrics
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
18
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
11
International journal of forecasting
9
Journal of empirical finance
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Journal of political economy
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The review of economics and statistics
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Econometric theory
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The American economic review
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Journal of financial econometrics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
6
Econometric reviews
5
International economic review
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Economics letters
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Journal of human resources : JHR
4
The economic journal : the journal of the Royal Economic Society
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Finance and stochastics
3
Journal of economic literature
3
Journal of the European Economic Association
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Macroeconomic dynamics
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The journal of economic perspectives : EP ; a journal of the American Economic Association
3
The journal of finance : the journal of the American Finance Association
3
The quarterly journal of economics
3
The review of economic studies
3
The review of financial studies
3
Annales d'économie et de statistique
2
Applied economics letters
2
Evaluation of training and other social programmes
2
Finance : revue de l'Association Française de Finance
2
Finance research letters
2
Journal of applied econometrics
2
Journal of business venturing
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of mathematical finance
2
Management science : journal of the Institute for Operations Research and the Management Sciences
2
Quantitative finance and economics
2
Review of economic dynamics
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ECONIS (ZBW)
60
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1
Factors and risk premia in individual international stock returns
Chaieb, Ines
;
Langlois, Hugues
;
Scaillet, Olivier
- In:
Journal of financial economics
141
(
2021
)
2
,
pp. 669-692
Persistent link: https://www.econbiz.de/10013259849
Saved in:
2
An introduction to stochastic unit-root processes
Granger, C. W. J.
- In:
Journal of econometrics
80
(
1997
)
1
,
pp. 35-62
Persistent link: https://www.econbiz.de/10001223464
Saved in:
3
Estimating continuous-time stochastic volatility models of the short-term interest rate
Andersen, Torben
- In:
Journal of econometrics
77
(
1997
)
2
,
pp. 343-377
Persistent link: https://www.econbiz.de/10001212838
Saved in:
4
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep
;
Swanson, Norman R.
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
Saved in:
5
A Bayesian chi-squared test for hypothesis testing
Li, Yong
;
Liu, Xiao-Bin
;
Yu, Jun
- In:
Journal of econometrics
189
(
2015
)
1
,
pp. 54-69
Persistent link: https://www.econbiz.de/10011502408
Saved in:
6
Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
Saved in:
7
Indirect Inference with endogenously missing exogenous variables
Chaudhuri, Saraswata
;
Frazier, David T.
;
Renault, Eric
- In:
Journal of econometrics
205
(
2018
)
1
,
pp. 55-75
Persistent link: https://www.econbiz.de/10012110238
Saved in:
8
The common factor in idiosyncratic volatility : quantitative asset pricing implications
Herskovic, Bernard
;
Kelly, Bryan T.
;
Lustig, Hanno
; …
- In:
Journal of financial economics
119
(
2016
)
2
,
pp. 249-283
Persistent link: https://www.econbiz.de/10011589843
Saved in:
9
Systemic risk and the macroeconomy : an empirical evaluation
Giglio, Stefano
;
Kelly, Bryan T.
;
Pruitt, Seth
- In:
Journal of financial economics
119
(
2016
)
3
,
pp. 457-471
Persistent link: https://www.econbiz.de/10011589904
Saved in:
10
Testing for structural stability of factor augmented forecasting models
Corradi, Valentina
;
Swanson, Norman R.
- In:
Journal of econometrics
182
(
2014
)
1
,
pp. 100-118
Persistent link: https://www.econbiz.de/10010497112
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