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person:"Newbold, Paul"
subject:"Zeitreihenanalyse"
~isPartOf:"CAMA working paper series"
~isPartOf:"Econometric reviews"
~isPartOf:"Journal of empirical finance"
~person:"Ashley, Richard A."
~person:"Buncic, Daniel"
~person:"Ghose, Devajyoti"
~person:"Kapetanios, George"
~person:"Leybourne, Stephen James"
~subject:"Financial frictions"
~subject:"Time varying parameters"
~type:"article"
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Zeitreihenanalyse
Financial frictions
Time varying parameters
Theorie
13
Theory
13
Time series analysis
9
Börsenkurs
6
Share price
6
Bubbles
5
Estimation
5
Explosive autoregression
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Newbold, Paul
Ashley, Richard A.
Buncic, Daniel
Ghose, Devajyoti
Kapetanios, George
Leybourne, Stephen James
Phillips, Peter C. B.
7
Taylor, Robert
7
Spanos, Aris
6
Andreou, Elena
4
Franses, Philip Hans
4
Kilian, Lutz
4
Harvey, David I.
3
Maasoumi, Esfandiar
3
Proietti, Tommaso
3
Psaradakis, Zacharias G.
3
Astill, Sam
2
Audrino, Francesco
2
Cavaliere, Giuseppe
2
Dagum, Estela Bee
2
Granger, C. W. J.
2
He, Changli
2
Hendry, David F.
2
Hodgson, Douglas J.
2
Jawadi, Fredj
2
Johansen, Søren
2
Kim, Chang-Jin
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Kočenda, Evžen
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Lee, Tae-hwy
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Li, Hongyi
2
Lucas, André
2
Maddala, Gangadharrao S.
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McAleer, Michael
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McElroy, Tucker
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Nelson, Charles R.
2
Osborn, Denise R.
2
Politis, Dimitris N.
2
Swanson, Norman R.
2
Teräsvirta, Timo
2
Wang, Shixuan
2
Abaye, A.
1
Alcalá-Fdez, Jesús
1
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1
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CAMA working paper series
Econometric reviews
Journal of empirical finance
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Economics letters
5
Applied economics
4
Journal of econometrics
4
Journal of economic dynamics & control
3
Oxford bulletin of economics and statistics
3
Journal of applied econometrics
2
Journal of macroeconomics
2
Journal of the Royal Statistical Society
2
Journal of time series econometrics
2
The econometrics journal
2
A companion to economic forecasting
1
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1
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1
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1
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International statistical review : a journal of the International Statistical Institute and its associations
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Journal of forecasting
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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
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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
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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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The North American journal of economics and finance : a journal of financial economics studies
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1
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:
2
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:
3
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:
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
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:
8
A new bispectral test for nonlinear serial dependence
Rusticelli, Elena
;
Ashley, Richard A.
;
Dagum, Estela Bee
; …
- In:
Econometric reviews
28
(
2009
)
1/3
,
pp. 279-293
Persistent link: https://www.econbiz.de/10003800753
Saved in:
9
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:
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
Saved in:
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