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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:"Granger, C. W. J."
~person:"He, Changli"
~person:"Johansen, Søren"
~person:"Kapetanios, George"
~person:"Leybourne, Stephen James"
~subject:"Financial frictions"
~subject:"Nonlinear regression"
~subject:"Rational bubble"
~subject:"Time varying parameters"
~subject:"Unit root test"
~type:"article"
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Zeitreihenanalyse
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Time varying parameters
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20
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20
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14
Börsenkurs
6
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Newbold, Paul
Ashley, Richard A.
Buncic, Daniel
Granger, C. W. J.
He, Changli
Johansen, Søren
Kapetanios, George
Leybourne, Stephen James
Taylor, Robert
8
Phillips, Peter C. B.
7
Spanos, Aris
6
Andreou, Elena
4
Cavaliere, Giuseppe
4
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4
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4
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4
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3
Maasoumi, Esfandiar
3
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3
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3
Psaradakis, Zacharias G.
3
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2
Audrino, Francesco
2
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Gospodinov, Nikolaj
2
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2
Herwartz, Helmut
2
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2
Nelson, Charles R.
2
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2
Park, Joon Y.
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
12
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
9
Econometric theory
8
Oxford bulletin of economics and statistics
8
Economics letters
7
The econometrics journal
7
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4
Journal of applied econometrics
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Statistical properties of GARCH processes
4
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
Annales d'économie et de statistique
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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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2
Journal of economic dynamics & control
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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2
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2
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1
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1
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1
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International journal of forecasting
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International statistical review : a journal of the International Statistical Institute and its associations
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ECONIS (ZBW)
16
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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
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:
3
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:
4
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:
5
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:
6
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:
7
Testing parameter constancy in unit root autoregressive models against multiple continuous structural changes
He, Changli
;
Sandberg, Rickard
- In:
Econometric reviews
31
(
2012
)
1/3
,
pp. 34-59
Persistent link: https://www.econbiz.de/10009515974
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
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:
10
Testing parameter constancy in stationary vector autoregressive models against continuous change
He, Changli
;
Teräsvirta, Timo
;
González, Andrés
- In:
Econometric reviews
28
(
2009
)
1/3
,
pp. 225-245
Persistent link: https://www.econbiz.de/10003800734
Saved in:
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