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person:"Newbold, Paul"
subject:"Zeitreihenanalyse"
~isPartOf:"CAMA working paper series"
~isPartOf:"Econometric reviews"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Review of quantitative finance and accounting"
~person:"Ashley, Richard A."
~person:"Granger, C. W. J."
~person:"He, Changli"
~person:"Kapetanios, George"
~person:"Leybourne, Stephen James"
~person:"Patton, Andrew J."
~subject:"Financial frictions"
~subject:"Forecasting model"
~subject:"Kapitaleinkommen"
~subject:"Nonlinear regression"
~subject:"Schätzung"
~subject:"Statistische Methodenlehre"
~subject:"Structural break"
~subject:"Time varying parameters"
~type:"article"
~type_genre:"Article in journal"
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Zeitreihenanalyse
Financial frictions
Forecasting model
Kapitaleinkommen
Nonlinear regression
Schätzung
Statistische Methodenlehre
Structural break
Time varying parameters
Theorie
47
Theory
47
Time series analysis
21
Prognoseverfahren
10
Börsenkurs
8
Einheitswurzeltest
8
Estimation theory
8
Schätztheorie
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4
Autocorrelation
3
Autokorrelation
3
Cointegration
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Financial market
3
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Aufsatz in Zeitschrift
38
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English
38
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Newbold, Paul
Ashley, Richard A.
Granger, C. W. J.
He, Changli
Kapetanios, George
Leybourne, Stephen James
Patton, Andrew J.
Phillips, Peter C. B.
23
Koop, Gary
15
Swanson, Norman R.
14
Taylor, Robert
14
Pesaran, M. Hashem
10
Timmermann, Allan
10
Diebold, Francis X.
9
Franses, Philip Hans
8
Geweke, John
8
McAleer, Michael
8
Shin, Yongcheol
8
Spanos, Aris
8
Steel, Mark F. J.
8
Yu, Jun
8
Corradi, Valentina
7
Ghysels, Eric
7
Harvey, David I.
7
Hendry, David F.
7
Maasoumi, Esfandiar
7
Teräsvirta, Timo
7
Andreou, Elena
6
Bai, Jushan
6
Herwartz, Helmut
6
Kilian, Lutz
6
Magnus, Jan R.
6
Ng, Serena
6
Park, Joon Y.
6
Schorfheide, Frank
6
Xiao, Zhijie
6
Zhang, Xinyu
6
Asai, Manabu
5
Aït-Sahalia, Yacine
5
Baillie, Richard
5
Bollerslev, Tim
5
Cavaliere, Giuseppe
5
Chan, Joshua
5
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CAMA working paper series
Econometric reviews
Journal of econometrics
Journal of empirical finance
Review of quantitative finance and accounting
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
13
International journal of forecasting
8
Economics letters
7
Journal of forecasting
6
Oxford bulletin of economics and statistics
6
Applied economics
4
The econometrics journal
4
Journal of applied econometrics
3
Journal of economic dynamics & control
3
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
Annales d'économie et de statistique
2
Econometric theory
2
Energy economics
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
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2
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1
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1
Applied financial economics
1
Dynamique des marchés financiers et prévisions
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Econometrics : open access journal
1
Economic time series with random walk and other nonstationary components
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
IMF staff papers
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Información comercial española / Cuadernos económicos
1
International economic review
1
International statistical review : a journal of the International Statistical Institute and its associations
1
Jingji-lunwen
1
Journal of monetary economics
1
Journal of the American Statistical Association : JASA
1
Macroeconomic dynamics
1
On modelling the long run in applied economics
1
Population : édition française : revue publiée par l'Institut national d'études démographiques
1
Proceedings of a Conference on New Approaches to Empirical Macroeconomics : Ebeltoft, Denmark, May 1990
1
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ECONIS (ZBW)
38
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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
Dynamic factor copula models with estimated cluster assignments
Oh, Dong Hwan
;
Patton, Andrew J.
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014471820
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
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:
5
Date-stamping multiple bubble regimes
Harvey, David I.
;
Leybourne, Stephen James
;
Whitehouse, …
- In:
Journal of empirical finance
58
(
2020
),
pp. 226-246
Persistent link: https://www.econbiz.de/10012430678
Saved in:
6
Dynamic semiparametric models for expected shortfall (and Value-at-Risk)
Patton, Andrew J.
;
Ziegel, Johanna F.
;
Chen, Rui
- In:
Journal of econometrics
211
(
2019
)
2
,
pp. 388-413
Persistent link: https://www.econbiz.de/10012303806
Saved in:
7
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:
8
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
207
(
2018
)
1
,
pp. 71-91
Persistent link: https://www.econbiz.de/10012116125
Saved in:
9
Asymptotic inference about predictive accuracy using high frequency data
Li, Jia
;
Patton, Andrew J.
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 223-240
Persistent link: https://www.econbiz.de/10011974659
Saved in:
10
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
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