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person:"Newbold, Paul"
subject:"Zeitreihenanalyse"
~isPartOf:"CAMA working paper series"
~isPartOf:"Econometric reviews"
~isPartOf:"Journal of empirical finance"
~person:"Asai, Manabu"
~person:"Ashley, Richard A."
~person:"Buncic, Daniel"
~person:"Ghose, Devajyoti"
~person:"Kapetanios, George"
~person:"Leybourne, Stephen James"
~subject:"Financial frictions"
~subject:"Kapitaleinkommen"
~subject:"Stochastischer Prozess"
~subject:"Time varying parameters"
~type:"article"
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Zeitreihenanalyse
Financial frictions
Kapitaleinkommen
Stochastischer Prozess
Time varying parameters
Theorie
17
Theory
17
Time series analysis
10
Estimation
7
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1999-2007
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Newbold, Paul
Asai, Manabu
Ashley, Richard A.
Buncic, Daniel
Ghose, Devajyoti
Kapetanios, George
Leybourne, Stephen James
Taylor, Robert
8
Phillips, Peter C. B.
7
McAleer, Michael
6
Spanos, Aris
6
Franses, Philip Hans
5
Maasoumi, Esfandiar
5
Andreou, Elena
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
3
Proietti, Tommaso
3
Yu, Jun
3
Amsler, Christine Elaine
2
Andreou, Panayiotis C.
2
Astill, Sam
2
Audrino, Francesco
2
Caporin, Massimiliano
2
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2
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2
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2
Dagum, Estela Bee
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2
Gospodinov, Nikolaj
2
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2
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2
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2
He, Changli
2
Hendry, David F.
2
Herwartz, Helmut
2
Hodgson, Douglas J.
2
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2
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2
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CAMA working paper series
Econometric reviews
Journal of empirical finance
Journal of econometrics
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Economics letters
5
Applied economics
4
Oxford bulletin of economics and statistics
4
Journal of economic dynamics & control
3
Journal of forecasting
3
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3
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3
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2
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2
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2
A companion to economic forecasting
1
Advances in mathematical programming and financial planning : a research annual
1
Applied economics letters
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Asia-Pacific financial markets
1
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1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
International economic review
1
International journal of finance & economics : IJFE
1
International journal of forecasting
1
International review of economics & finance : IREF
1
International statistical review : a journal of the International Statistical Institute and its associations
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Journal of international financial markets, institutions & money
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Journal of monetary economics
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
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The Manchester School
1
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ECONIS (ZBW)
15
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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
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
Alternative asymmetric stochastic volatility models
Asai, Manabu
;
McAleer, Michael
- In:
Econometric reviews
30
(
2011
)
5
,
pp. 548-564
Persistent link: https://www.econbiz.de/10009130226
Saved in:
10
Frequency dependence in regression model coefficients : an alternative approach for modeling nonlinear dynamic relationships in time series
Ashley, Richard A.
;
Verbrugge, Randal
- In:
Econometric reviews
28
(
2009
)
1/3
,
pp. 4-20
Persistent link: https://www.econbiz.de/10003800646
Saved in:
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