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~isPartOf:"CREATES research paper"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~person:"Engle, Robert F."
~person:"Ravazzolo, Francesco"
~person:"Timmermann, Allan"
~subject:"Forecasting model"
~subject:"Statistische Verteilung"
~subject:"Zeitreihenanalyse"
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Forecasting model
Statistische Verteilung
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Engle, Robert F.
Ravazzolo, Francesco
Timmermann, Allan
Phillips, Peter C. B.
13
Bollerslev, Tim
8
Hansen, Peter Reinhard
7
Johansen, Søren
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CREATES research paper
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
Discussion paper / Department of Economics, University of California San Diego
17
Discussion paper / Centre for Economic Policy Research
13
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
13
Working paper / Norges Bank
11
Discussion paper / Tinbergen Institute
10
International journal of forecasting
10
Journal of econometrics
10
Working paper / National Bureau of Economic Research, Inc.
7
Journal of forecasting
6
Working papers
6
Econometric Institute research papers
5
Handbooks in economics
5
CAMP working paper series
4
CESifo working papers
4
Cambridge working papers in economics
4
Journal of applied econometrics
4
NBER Working Paper
4
NBER working paper series
4
Tinbergen Institute Discussion Paper
4
Working paper
4
Advanced texts in econometrics
3
Bozen economics & management paper series : BEMPS
3
CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute
3
Discussion paper in financial economics : FE
3
Discussion paper series / LSE Financial Markets Group
3
Journal of money, credit and banking : JMCB
3
CAMA working paper series
2
CESifo Working Paper
2
DAE working paper
2
EUI working paper
2
Econometrics : open access journal
2
Energy economics
2
Journal of empirical finance
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Norges Bank Working Paper
2
The review of economic studies
2
The review of financial studies
2
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series
2
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ECONIS (ZBW)
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1
The econometrics of ultra-high-frequency data
Engle, Robert F.
- In:
Econometrica : journal of the Econometric Society, an …
68
(
2000
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10001449346
Saved in:
2
Meteor showers or heat waves? : heteroskedastic intra-daily volatility in the foreign exchange market
Engle, Robert F.
- In:
Econometrica : journal of the Econometric Society, an …
58
(
1990
)
3
,
pp. 525-542
Persistent link: https://www.econbiz.de/10001085314
Saved in:
3
Equivalence between out-of-sample forecast comparisons and Wald statistics
Hansen, Peter Reinhard
;
Timmermann, Allan
- In:
Econometrica : journal of the Econometric Society, an …
83
(
2015
)
6
,
pp. 2485-2505
Persistent link: https://www.econbiz.de/10011431548
Saved in:
4
Parallel sequential Monte Carlo for efficient density combination : the Deco Matlab Toolbox
Casarin, Roberto
;
Grassi, Stefano
;
Ravazzolo, Francesco
; …
-
2013
Persistent link: https://www.econbiz.de/10009730084
Saved in:
5
Equivalence between out-of-sample forecast comparisons and Wald statistics
Hansen, Peter Reinhard
;
Timmermann, Allan
-
2012
Persistent link: https://www.econbiz.de/10009660753
Saved in:
6
Choice of sample split in out-of-sample forecast evaluation
Hansen, Peter Reinhard
;
Timmermann, Allan
-
2012
Persistent link: https://www.econbiz.de/10009660807
Saved in:
7
Autoregressive conditional duration : a new model for irregularly spaced transaction data
Engle, Robert F.
- In:
Econometrica : journal of the Econometric Society, an …
66
(
1998
)
5
,
pp. 1127-1162
Persistent link: https://www.econbiz.de/10001249588
Saved in:
8
Common persistence in conditional variances
Bollerslev, Tim
- In:
Econometrica : journal of the Econometric Society, an …
61
(
1993
)
1
,
pp. 167-186
Persistent link: https://www.econbiz.de/10001139697
Saved in:
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