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person:"Newbold, Paul"
subject:"Zeitreihenanalyse"
~isPartOf:"Discussion paper / Center for Economic Research, Tilburg University"
~isPartOf:"Discussion papers / National Institute of Economic and Social Research"
~isPartOf:"Econometric reviews"
~isPartOf:"Econometric theory"
~isPartOf:"Economics letters"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Working papers in quantitative economics and econometrics"
~person:"Choi, In"
~person:"Ghose, Devajyoti"
~person:"Kapetanios, George"
~person:"Krämer, Walter"
~person:"Li, Qi"
~person:"McAleer, Michael"
~person:"Saikkonen, Pentti"
~person:"Schmidt, Peter"
~subject:"Estimation theory"
~subject:"Schätzung"
~subject:"Time varying parameters"
~subject:"United Kingdom"
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Zeitreihenanalyse
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48
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Newbold, Paul
Choi, In
Ghose, Devajyoti
Kapetanios, George
Krämer, Walter
Li, Qi
McAleer, Michael
Saikkonen, Pentti
Schmidt, Peter
Phillips, Peter C. B.
24
Franses, Philip Hans
18
Steel, Mark F. J.
18
Werker, Bas J. M.
14
Lütkepohl, Helmut
12
Wooldridge, Jeffrey M.
12
Linton, Oliver
11
Taylor, Robert
11
Ullah, Aman
11
Drost, Feike C.
10
Kuan, Chung-ming
10
Park, Joon Y.
10
Bierens, Herman J.
9
Chambers, Marcus J.
9
Giles, David E. A.
9
Hassler, Uwe
9
Jong, Robert M. de
9
Lee, Lung-fei
9
Nijman, Theodore E.
9
Soest, Arthur van
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Verbeek, Marno
9
Baltagi, Badi H.
8
Davidson, James E. H.
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Fan, Yanqin
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8
Pesaran, M. Hashem
8
Spanos, Aris
8
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8
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7
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7
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Discussion paper / Center for Economic Research, Tilburg University
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9
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7
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6
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CESifo working papers
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ECONIS (ZBW)
81
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81
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1
Subgeometrically ergodic autoregressions
Meitz, Mika
;
Saikkonen, Pentti
- In:
Econometric theory
38
(
2022
)
5
,
pp. 959-985
Persistent link: https://www.econbiz.de/10013469687
Saved in:
2
Time-varying cointegration with an application to the UK Great Ratios
Kapetanios, George
;
Millard, Stephen Patrick
;
Petrova, …
- In:
Economics letters
193
(
2020
),
pp. 1-7
Persistent link: https://www.econbiz.de/10012509073
Saved in:
3
Detecting financial data dependence structure by averaging mixture copulas
Liu, Guannan
;
Long, Wei
;
Zhang, Xinyu
;
Li, Qi
- In:
Econometric theory
35
(
2019
)
4
,
pp. 777-815
Persistent link: https://www.econbiz.de/10012386828
Saved in:
4
On the invertibility of EGARCH(p, q)
Martinet, Guillaume Gaetan
;
McAleer, Michael
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 824-849
Persistent link: https://www.econbiz.de/10012040413
Saved in:
5
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:
6
The correct regularity condition and interpretation of asymmetry in EGARCH
Chang, Chia-Lin
;
McAleer, Michael
- In:
Economics letters
161
(
2017
),
pp. 52-55
Persistent link: https://www.econbiz.de/10011903867
Saved in:
7
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:
8
Volatility spillover effect : a semiparametric analysis of non-cointegrated process
Sun, Yiguo
;
Hsiao, Cheng
;
Li, Qi
- In:
Econometric reviews
34
(
2015
)
1/5
,
pp. 127-145
Persistent link: https://www.econbiz.de/10011373301
Saved in:
9
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:
10
A note on the size of the KPSS unit root test
Su, Jen-je
;
Amsler, Christine Elaine
;
Schmidt, Peter
- In:
Economics letters
117
(
2012
)
3
,
pp. 697-699
Persistent link: https://www.econbiz.de/10009680830
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