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person:"Newbold, Paul"
subject:"Zeitreihenanalyse"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of empirical finance"
~person:"Ashley, Richard A."
~person:"Buncic, Daniel"
~person:"Cavaliere, Giuseppe"
~person:"Ghose, Devajyoti"
~person:"Hansen, Lars Peter"
~person:"Jawadi, Fredj"
~person:"Kapetanios, George"
~person:"Leybourne, Stephen James"
~subject:"Einheitswurzeltest"
~subject:"Financial frictions"
~subject:"Financial market"
~subject:"Finanzmarkt"
~subject:"Kapitaleinkommen"
~subject:"Panel"
~subject:"Stochastischer Prozess"
~subject:"Time varying parameters"
~type:"article"
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Zeitreihenanalyse
Einheitswurzeltest
Financial frictions
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Stochastischer Prozess
Time varying parameters
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26
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Newbold, Paul
Ashley, Richard A.
Buncic, Daniel
Cavaliere, Giuseppe
Ghose, Devajyoti
Hansen, Lars Peter
Jawadi, Fredj
Kapetanios, George
Leybourne, Stephen James
Phillips, Peter C. B.
23
Koop, Gary
12
Taylor, Robert
10
Pesaran, M. Hashem
8
Swanson, Norman R.
8
Yu, Jun
8
Linton, Oliver
7
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7
Diebold, Francis X.
6
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6
Hallin, Marc
6
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6
Renault, Eric
6
Schmidt, Peter
6
Chang, Yoosoon
5
Chen, Xiaohong
5
Gonzalo, Jesús
5
McAleer, Michael
5
Robinson, Peter M.
5
Schorfheide, Frank
5
Timmermann, Allan
5
Todorov, Viktor
5
Whang, Yoon-jae
5
Aït-Sahalia, Yacine
4
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4
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Breitung, Jörg
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Chen, Rong
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4
Hidalgo, Javier
4
Hong, Yongmiao
4
Korobilis, Dimitris
4
Liao, Yuan
4
Lütkepohl, Helmut
4
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4
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Journal of econometrics
Journal of empirical finance
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The econometrics journal
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ECONIS (ZBW)
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1
Bootstrap inference for Hawkes and general point processes
Cavaliere, Giuseppe
;
Lu, Ye
;
Rahbek, Anders
; …
- In:
Journal of econometrics
235
(
2023
)
1
,
pp. 133-165
Persistent link: https://www.econbiz.de/10014434387
Saved in:
2
Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure
Kapetanios, George
;
Serlenga, Laura
;
Shin, Yongcheol
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 504-531
Persistent link: https://www.econbiz.de/10012618527
Saved in:
3
Detection of units with pervasive effects in large panel data models
Kapetanios, George
;
Pesaran, M. Hashem
;
Reese, S.
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 510-541
Persistent link: https://www.econbiz.de/10012619248
Saved in:
4
Bootstrapping non-stationary stochastic volatility
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
Georgiev, Iliyan
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 161-180
Persistent link: https://www.econbiz.de/10013275368
Saved in:
5
Simple tests for stock return predictability with good size and power properties
Harvey, David I.
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 198-214
Persistent link: https://www.econbiz.de/10013275372
Saved in:
6
Twisted probabilities, uncertainty, and prices
Hansen, Lars Peter
;
Szőke, Bálint
;
Han, Lloyd S.
; …
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 151-174
Persistent link: https://www.econbiz.de/10012439662
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
Structural analysis with Multivariate Autoregressive Index models
Carriero, Andrea
;
Kapetanios, George
;
Marcellino, …
- In:
Journal of econometrics
192
(
2016
)
2
,
pp. 332-348
Persistent link: https://www.econbiz.de/10011704654
Saved in:
10
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
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