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person:"Newbold, Paul"
subject:"Zeitreihenanalyse"
~isPartOf:"CAMA working paper series"
~isPartOf:"Dynamique des marchés financiers et prévisions"
~isPartOf:"Econometric reviews"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of empirical finance"
~person:"Ashley, Richard A."
~person:"Chen, Rong"
~person:"Granger, C. W. J."
~person:"He, Changli"
~person:"Kapetanios, George"
~person:"Leybourne, Stephen James"
~subject:"Financial frictions"
~subject:"Kapitaleinkommen"
~subject:"Nonlinear regression"
~subject:"Time varying parameters"
~type:"article"
~type_genre:"Article in journal"
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Zeitreihenanalyse
Financial frictions
Kapitaleinkommen
Nonlinear regression
Time varying parameters
Theorie
45
Theory
45
Time series analysis
23
Börsenkurs
8
Einheitswurzeltest
8
Estimation theory
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Schätztheorie
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Unit root test
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Volatility
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Volatilität
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29
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29
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Newbold, Paul
Ashley, Richard A.
Chen, Rong
Granger, C. W. J.
He, Changli
Kapetanios, George
Leybourne, Stephen James
Phillips, Peter C. B.
22
Taylor, Robert
13
Swanson, Norman R.
11
Koop, Gary
10
Franses, Philip Hans
7
Maasoumi, Esfandiar
7
Hendry, David F.
6
Spanos, Aris
6
Teräsvirta, Timo
6
Xiao, Zhijie
6
Yu, Jun
6
Andreou, Elena
5
Chen, Xiaohong
5
Corradi, Valentina
5
Gonzalo, Jesús
5
Hallin, Marc
5
Harvey, David I.
5
Kilian, Lutz
5
McAleer, Michael
5
Park, Joon Y.
5
Pesaran, M. Hashem
5
Shin, Yongcheol
5
Bai, Jushan
4
Barigozzi, Matteo
4
Cavaliere, Giuseppe
4
Chan, Joshua
4
Chang, Yoosoon
4
Diebold, Francis X.
4
Fan, Yanqin
4
Gao, Jiti
4
Hong, Yongmiao
4
Horváth, Lajos
4
Johansen, Søren
4
Jong, Robert M. de
4
Korobilis, Dimitris
4
Lee, Tae-hwy
4
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CAMA working paper series
Dynamique des marchés financiers et prévisions
Econometric reviews
Journal of econometrics
Journal of empirical finance
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
Economics letters
6
Oxford bulletin of economics and statistics
5
Applied economics
4
Journal of forecasting
3
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
The econometrics journal
3
Annales d'économie et de statistique
2
Energy economics
2
International statistical review : a journal of the International Statistical Institute and its associations
2
Journal of applied econometrics
2
Journal of economic dynamics & control
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of macroeconomics
2
Journal of the Royal Statistical Society
2
Journal of time series econometrics
2
The economic journal : the journal of the Royal Economic Society
2
Advances in mathematical programming and financial planning : a research annual
1
Annals of economics and finance
1
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Información comercial española / Cuadernos económicos
1
International economic review
1
International journal of forecasting
1
Jingji-lunwen
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Journal of monetary economics
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Macroeconomic dynamics
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On modelling the long run in applied economics
1
Proceedings of a Conference on New Approaches to Empirical Macroeconomics : Ebeltoft, Denmark, May 1990
1
Review of quantitative finance and accounting
1
Sociaal-economische wetgeving : SEW ; tijdschrift voor Europees en economisch recht ; tevens mededelingsblad voor de Nederlandsche Vereniging voor Europees Recht en de Nederlandstalige Afdeling van de Belgische Vereniging voor Europees Recht ; uitg. met steun van de Universitaire Stichting van België
1
Special section on small-sample properties of generalized method of moments (GMM)
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The Manchester School
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The economic record : er
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ECONIS (ZBW)
29
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1
Improved tests for stock return predictability
Harvey, David I.
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 834-861
Persistent link: https://www.econbiz.de/10014420348
Saved in:
2
Autoregressive models for matrix-valued time series
Chen, Rong
;
Xiao, Han
;
Yang, Dan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 539-560
Persistent link: https://www.econbiz.de/10012619734
Saved in:
3
Simple tests for stock return predictability with good size and power properties
Harvey, David I.
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 198-214
Persistent link: https://www.econbiz.de/10013275372
Saved in:
4
Threshold factor models for high-dimensional time series
Liu, Xialu
;
Chen, Rong
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 53-70
Persistent link: https://www.econbiz.de/10012439636
Saved in:
5
Factor models for matrix-valued high-dimensional time series
Wang, Dong
;
Liu, Xialu
;
Chen, Rong
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 231-248
Persistent link: https://www.econbiz.de/10012139838
Saved in:
6
Testing explosive bubbles with time-varying volatility
Harvey, David I.
;
Leybourne, Stephen James
;
Zu, Yang
- In:
Econometric reviews
38
(
2019
)
10
,
pp. 1131-1151
Persistent link: https://www.econbiz.de/10012181398
Saved in:
7
Modeling maxima with autoregressive conditional Fréchet model
Zhao, Zifeng
;
Zhang, Zhengjun
;
Chen, Rong
- In:
Journal of econometrics
207
(
2018
)
2
,
pp. 325-351
Persistent link: https://www.econbiz.de/10012116357
Saved in:
8
Tests for an end-of-sample bubble in financial time series
Astill, Sam
;
Harvey, David I.
;
Leybourne, Stephen James
; …
- In:
Econometric reviews
36
(
2017
)
6/9
,
pp. 651-666
Persistent link: https://www.econbiz.de/10011795312
Saved in:
9
Tests for explosive financial bubbles in the presence of non-stationary volatility
Harvey, David I.
;
Leybourne, Stephen James
;
Sollis, Robert
- In:
Journal of empirical finance
38
(
2016
),
pp. 548-574
Persistent link: https://www.econbiz.de/10011663370
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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