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person:"Newbold, Paul"
subject:"Zeitreihenanalyse"
~isPartOf:"CAMA working paper series"
~isPartOf:"Econometric reviews"
~isPartOf:"International statistical review : a journal of the International Statistical Institute and its associations"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of empirical finance"
~person:"Bernardi, Mauro"
~person:"Ghose, Devajyoti"
~person:"Kapetanios, George"
~subject:"Bayes-Statistik"
~subject:"Estimation"
~subject:"Time varying parameters"
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Zeitreihenanalyse
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Time varying parameters
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9
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4
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4
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Newbold, Paul
Bernardi, Mauro
Ghose, Devajyoti
Kapetanios, George
Chan, Joshua
16
Koop, Gary
12
Taylor, Robert
12
Leybourne, Stephen James
11
Harvey, David I.
8
Franses, Philip Hans
7
Ghysels, Eric
7
Phillips, Peter C. B.
7
Strachan, Rodney W.
7
Dijk, Herman K. van
6
Maasoumi, Esfandiar
6
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6
Schorfheide, Frank
6
Spanos, Aris
6
Steel, Mark F. J.
6
Wong, Benjamin
6
An, Sungbae
5
Dagum, Estela Bee
5
Haque, Qazi
5
Harvey, Andrew C.
5
Koopman, Siem Jan
5
Li, Wai Keung
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McAleer, Michael
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Ullah, Aman
5
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4
Bauwens, Luc
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4
Horváth, Lajos
4
Kilian, Lutz
4
Lee, Tae-hwy
4
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4
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CAMA working paper series
Econometric reviews
International statistical review : a journal of the International Statistical Institute and its associations
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of empirical finance
Working paper
6
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5
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1
Time varying cointegration and the UK great ratios
Kapetanios, George
;
Millard, Stephen Patrick
;
Petrova, …
-
2018
Persistent link: https://www.econbiz.de/10012203995
Saved in:
2
Portfolio optimisation under flexible dynamic dependence modelling
Bernardi, Mauro
;
Catania, Leopoldo
- In:
Journal of empirical finance
48
(
2018
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012109219
Saved in:
3
Multiple risk measures for multivariate dynamic heavy-tailed models
Bernardi, Mauro
;
Maruotti, Antonello
;
Petrella, Lea
- In:
Journal of empirical finance
43
(
2017
),
pp. 1-32
Persistent link: https://www.econbiz.de/10011817885
Saved in:
4
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
Saved in:
5
Level shifts in stock returns driven by large shocks
Dendramis, Yiannis
;
Kapetanios, George
;
Tzavalis, Elias
- In:
Journal of empirical finance
29
(
2014
),
pp. 41-51
Persistent link: https://www.econbiz.de/10011300506
Saved in:
6
Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model
Kapetanios, George
;
Shin, Yongcheol
- In:
Econometric reviews
30
(
2011
)
6
,
pp. 620-645
Persistent link: https://www.econbiz.de/10009269801
Saved in:
7
Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling
Camba-Méndez, Gonzalo
;
Kapetanios, George
- In:
Econometric reviews
28
(
2009
)
6
,
pp. 581-611
Persistent link: https://www.econbiz.de/10003881191
Saved in:
8
Tests for forecast encompassing
Harvey, David I.
- In:
Journal of business & economic statistics : JBES ; a …
16
(
1998
)
2
,
pp. 254-259
Persistent link: https://www.econbiz.de/10001243991
Saved in:
9
Bayesian comparison of ARIMA and stationary ARMA models
Marriott, John Arthur Ransome
;
Newbold, Paul
- In:
International statistical review : a journal of the …
66
(
1998
)
3
,
pp. 323-336
Persistent link: https://www.econbiz.de/10001436107
Saved in:
10
The relationship between GARCH and symmetric stable processes : finding the source of fat tails in financial data
Ghose, Devajyoti
- In:
Journal of empirical finance
2
(
1995
)
3
,
pp. 225-251
Persistent link: https://www.econbiz.de/10001203344
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