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person:"Newbold, Paul"
subject:"Zeitreihenanalyse"
~isPartOf:"CAMA working paper series"
~isPartOf:"Discussion paper / Center for Economic Research, Tilburg University"
~isPartOf:"Discussion paper / Institute of Social and Economic Research"
~isPartOf:"Econometric reviews"
~isPartOf:"Economics letters"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of empirical finance"
~isPartOf:"The econometrics journal"
~person:"Choi, In"
~person:"Kapetanios, George"
~person:"Li, Qi"
~person:"McAleer, Michael"
~person:"Peel, David"
~person:"Schmidt, Peter"
~person:"Werker, Bas J. M."
~source:"econis"
~subject:"Bayesian inference"
~subject:"Estimation theory"
~subject:"Estimation"
~subject:"Monte Carlo simulation"
~subject:"Time varying parameters"
~subject:"Volatility"
~type_genre:"Article in journal"
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Zeitreihenanalyse
Bayesian inference
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Estimation
Monte Carlo simulation
Time varying parameters
Volatility
Theorie
134
Theory
134
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41
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Newbold, Paul
Choi, In
Kapetanios, George
Li, Qi
McAleer, Michael
Peel, David
Schmidt, Peter
Werker, Bas J. M.
Phillips, Peter C. B.
31
Koop, Gary
22
Franses, Philip Hans
19
Taylor, Robert
17
Yu, Jun
16
Pesaran, M. Hashem
14
Chib, Siddhartha
13
Steel, Mark F. J.
13
Gouriéroux, Christian
12
King, Maxwell L.
12
Swanson, Norman R.
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Ullah, Aman
12
Herwartz, Helmut
11
Lee, Lung-fei
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Baltagi, Badi H.
10
Granger, C. W. J.
10
Krämer, Walter
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Kuan, Chung-ming
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Leybourne, Stephen James
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Schorfheide, Frank
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Shin, Yongcheol
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Teräsvirta, Timo
10
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9
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Godfrey, L. G.
9
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9
Perron, Pierre
9
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Asai, Manabu
8
Aït-Sahalia, Yacine
8
Fan, Yanqin
8
Gonzalo, Jesús
8
Hahn, Jinyong
8
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8
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8
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Discussion paper / Center for Economic Research, Tilburg University
Discussion paper / Institute of Social and Economic Research
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Testing integration and cointegration
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Journal of consumer policy : consumer issues in law, economics and behavioural sciences
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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1
Canonical correlation-based model selection for the multilevel factors
Choi, In
;
Lin, Rui
;
Shin, Yongcheol
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 22-44
Persistent link: https://www.econbiz.de/10014340924
Saved in:
2
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
3
Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure
Kapetanios, George
;
Serlenga, Laura
;
Shin, Yongcheol
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 504-531
Persistent link: https://www.econbiz.de/10012618527
Saved in:
4
Time-varying cointegration with an application to the UK Great Ratios
Kapetanios, George
;
Millard, Stephen Patrick
;
Petrova, …
- In:
Economics letters
193
(
2020
),
pp. 1-7
Persistent link: https://www.econbiz.de/10012509073
Saved in:
5
Model selection for factor analysis : some new criteria and performance comparisons
Choi, In
;
Jeong, Hanbat
- In:
Econometric reviews
38
(
2019
)
6
,
pp. 577-596
Persistent link: https://www.econbiz.de/10012181337
Saved in:
6
Separating different individual effects in a panel data model
Amsler, Christine Elaine
;
Schmidt, Peter
- In:
The econometrics journal
22
(
2019
)
2
,
pp. 173-187
Persistent link: https://www.econbiz.de/10012166716
Saved in:
7
On the invertibility of EGARCH(p, q)
Martinet, Guillaume Gaetan
;
McAleer, Michael
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 824-849
Persistent link: https://www.econbiz.de/10012040413
Saved in:
8
A fractionally integrated Wishart stochastic volatility model
Asai, Manabu
;
McAleer, Michael
- In:
Econometric reviews
36
(
2017
)
1/3
,
pp. 42-59
Persistent link: https://www.econbiz.de/10011794625
Saved in:
9
The correct regularity condition and interpretation of asymmetry in EGARCH
Chang, Chia-Lin
;
McAleer, Michael
- In:
Economics letters
161
(
2017
),
pp. 52-55
Persistent link: https://www.econbiz.de/10011903867
Saved in:
10
A time varying DSGE model with financial frictions
Galvão, Ana Beatriz C.
;
Giraitis, Liudas
;
Kapetanios, …
- In:
Journal of empirical finance
38
(
2016
),
pp. 690-716
Persistent link: https://www.econbiz.de/10011663775
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