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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"
~person:"Asai, Manabu"
~person:"Ashley, Richard A."
~person:"Granger, C. W. J."
~person:"He, Changli"
~person:"Kapetanios, George"
~person:"Leybourne, Stephen James"
~person:"Steel, Mark F. J."
~subject:"Financial frictions"
~subject:"Kapitaleinkommen"
~subject:"Nonlinear regression"
~subject:"Schätzung"
~subject:"Time varying parameters"
~type:"article"
~type_genre:"Article in journal"
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Zeitreihenanalyse
Financial frictions
Kapitaleinkommen
Nonlinear regression
Schätzung
Time varying parameters
Theorie
61
Theory
61
Time series analysis
25
Estimation
15
Stochastic process
13
Stochastischer Prozess
13
Volatility
13
Volatilität
13
Estimation theory
12
Schätztheorie
12
Einheitswurzeltest
8
USA
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Unit root test
8
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8
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Forecasting model
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Prognoseverfahren
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Spekulationsblase
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Statistical test
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Statistischer Test
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Structural break
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Strukturbruch
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ARCH model
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ARCH-Modell
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Autocorrelation
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Autokorrelation
4
Nichtlineare Regression
4
Statistical theory
4
Statistische Methodenlehre
4
Technical efficiency
4
Technische Effizienz
4
Bayes-Statistik
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Aufsatz in Zeitschrift
40
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English
40
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Newbold, Paul
Asai, Manabu
Ashley, Richard A.
Granger, C. W. J.
He, Changli
Kapetanios, George
Leybourne, Stephen James
Steel, Mark F. J.
Phillips, Peter C. B.
23
Koop, Gary
14
Taylor, Robert
13
Swanson, Norman R.
11
Pesaran, M. Hashem
9
McAleer, Michael
8
Shin, Yongcheol
8
Franses, Philip Hans
7
Harvey, David I.
7
Hendry, David F.
7
Maasoumi, Esfandiar
7
Teräsvirta, Timo
7
Herwartz, Helmut
6
Park, Joon Y.
6
Spanos, Aris
6
Timmermann, Allan
6
Xiao, Zhijie
6
Yu, Jun
6
Andreou, Elena
5
Aït-Sahalia, Yacine
5
Bai, Jushan
5
Baillie, Richard
5
Chan, Joshua
5
Chen, Xiaohong
5
Corradi, Valentina
5
Gonzalo, Jesús
5
Hallin, Marc
5
Hong, Yongmiao
5
Kilian, Lutz
5
Lee, Tae-hwy
5
Perron, Benoit
5
Su, Liangjun
5
Todorov, Viktor
5
Barigozzi, Matteo
4
Breitung, Jörg
4
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CAMA working paper series
Econometric reviews
Journal of econometrics
Journal of empirical finance
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
13
Economics letters
6
Oxford bulletin of economics and statistics
5
Applied economics
4
The econometrics journal
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Journal of forecasting
3
Journal of time series econometrics
3
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
Annales d'économie et de statistique
2
Econometrics : open access journal
2
Energy economics
2
Journal of applied econometrics
2
Journal of economic dynamics & control
2
Journal of macroeconomics
2
Journal of the Royal Statistical Society
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
Applied economics letters
1
Asia-Pacific financial markets
1
Computational economics
1
Dynamique des marchés financiers et prévisions
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
1
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 finance & economics : IJFE
1
International journal of forecasting
1
International statistical review : a journal of the International Statistical Institute and its associations
1
Jingji-lunwen
1
Journal of monetary economics
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)
40
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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
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
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
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
Improving the accuracy of asset price bubble start and end date estimators
Harvey, David I.
;
Leybourne, Stephen James
;
Sollis, Robert
- In:
Journal of empirical finance
40
(
2017
),
pp. 121-138
Persistent link: https://www.econbiz.de/10011744469
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
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:
10
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
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