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person:"Newbold, Paul"
subject:"Zeitreihenanalyse"
~isPartOf:"CAMA working paper series"
~isPartOf:"Econometric reviews"
~isPartOf:"Journal of empirical finance"
~isPartOf:"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"
~person:"Ashley, Richard A."
~person:"Buncic, Daniel"
~person:"Cavaliere, Giuseppe"
~person:"Ghose, Devajyoti"
~person:"Jawadi, Fredj"
~person:"Kapetanios, George"
~person:"Leybourne, Stephen James"
~subject:"Financial frictions"
~subject:"Financial market"
~subject:"Kapitaleinkommen"
~subject:"Stochastischer Prozess"
~subject:"Time varying parameters"
~type:"article"
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Zeitreihenanalyse
Financial frictions
Financial market
Kapitaleinkommen
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Theory
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Newbold, Paul
Ashley, Richard A.
Buncic, Daniel
Cavaliere, Giuseppe
Ghose, Devajyoti
Jawadi, Fredj
Kapetanios, George
Leybourne, Stephen James
McAleer, Michael
8
Taylor, Robert
8
Phillips, Peter C. B.
7
Spanos, Aris
6
Franses, Philip Hans
5
Maasoumi, Esfandiar
5
Andreou, Elena
4
Asai, Manabu
4
Harvey, David I.
4
Kilian, Lutz
4
Psaradakis, Zacharias G.
4
Granger, C. W. J.
3
Hafner, Christian M.
3
Koop, Gary
3
Liesenfeld, Roman
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Proietti, Tommaso
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Yu, Jun
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Amsler, Christine Elaine
2
Andreou, Panayiotis C.
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Astill, Sam
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Audrino, Francesco
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Domínguez, Manuel A.
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Grothe, Oliver
2
He, Changli
2
Hendry, David F.
2
Herwartz, Helmut
2
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CAMA working paper series
Econometric reviews
Journal of empirical finance
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
Journal of econometrics
9
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
8
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5
Econometric theory
5
Economics letters
5
Journal of economic dynamics & control
4
Oxford bulletin of economics and statistics
4
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2
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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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2
The econometrics journal
2
A companion to economic forecasting
1
Advances in mathematical programming and financial planning : a research annual
1
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1
Decision making and risk/return optimization in financial economics
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
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International journal of finance & economics : IJFE
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International journal of forecasting
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International review of economics & finance : IREF
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International statistical review : a journal of the International Statistical Institute and its associations
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of financial markets
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Journal of forecasting
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Journal of monetary economics
1
Macroeconomic dynamics
1
Statistical methods & applications : SMA ; journal of the Italian Statistical Society
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The Manchester School
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ECONIS (ZBW)
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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
A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, Ruijun
;
Jawadi, Fredj
;
Li, Yuyi
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 27-53
Persistent link: https://www.econbiz.de/10012181537
Saved in:
3
Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models
Jawadi, Fredj
;
Ftiti, Zied
;
Louhichi, Waël
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 54-70
Persistent link: https://www.econbiz.de/10012181540
Saved in:
4
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
Cavaliere, Giuseppe
;
Skrobotov, Anton
;
Taylor, Robert
- In:
Econometric reviews
38
(
2019
)
5
,
pp. 509-532
Persistent link: https://www.econbiz.de/10012181330
Saved in:
5
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:
6
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:
7
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:
8
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:
9
Lag length selection for unit root tests in the presence of nonstationary volatility
Cavaliere, Giuseppe
;
Phillips, Peter C. B.
;
Smeekes, Stephan
- In:
Econometric reviews
34
(
2015
)
1/5
,
pp. 512-536
Persistent link: https://www.econbiz.de/10011373261
Saved in:
10
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
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