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person:"Newbold, Paul"
subject:"Zeitreihenanalyse"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~person:"Ashley, Richard A."
~person:"Buncic, Daniel"
~person:"Cavaliere, Giuseppe"
~person:"Ghose, Devajyoti"
~person:"Jawadi, Fredj"
~person:"Kapetanios, George"
~person:"Leybourne, Stephen James"
~person:"Schmidt, Peter"
~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
Theorie
27
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10
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Newbold, Paul
Ashley, Richard A.
Buncic, Daniel
Cavaliere, Giuseppe
Ghose, Devajyoti
Jawadi, Fredj
Kapetanios, George
Leybourne, Stephen James
Schmidt, Peter
Phillips, Peter C. B.
21
Koop, Gary
9
Pesaran, M. Hashem
8
Taylor, Robert
8
Yu, Jun
8
Linton, Oliver
7
Swanson, Norman R.
7
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6
Garcia, René
6
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6
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6
Jong, Robert M. de
6
McAleer, Michael
6
Shin, Yongcheol
6
Aït-Sahalia, Yacine
5
Bauwens, Luc
5
Chang, Yoosoon
5
Chen, Xiaohong
5
Ghysels, Eric
5
Gonzalo, Jesús
5
Renault, Eric
5
Robinson, Peter M.
5
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5
Teräsvirta, Timo
5
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Almeida, Caio
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4
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4
Breitung, Jörg
4
Chan, Joshua
4
Chen, Rong
4
Fan, Yanqin
4
Galvão Júnior, Antônio Fialho
4
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Journal of econometrics
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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15
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14
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Analysis of panels and limited dependent variable models : in honour of G. S. Maddala
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Annals of operations research ; volume 274, numbers 1/2 (March 2019)
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Generalized method of moments estimation
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International review of economics & finance : IREF
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International statistical review : a journal of the International Statistical Institute and its associations
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ECONIS (ZBW)
19
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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
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:
7
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
Saved in:
8
Recursive right-tailed unit root tests for an explosive asset price bubble
Harvey, David I.
;
Leybourne, Stephen James
;
Sollis, Robert
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 166-187
Persistent link: https://www.econbiz.de/10010519657
Saved in:
9
Panel data models with multiple time-varying individual effects
Ahn, Seung Chan
;
Lee, Young Hoon
;
Schmidt, Peter
- In:
Journal of econometrics
174
(
2013
)
1
,
pp. 1-14
Persistent link: https://www.econbiz.de/10009737238
Saved in:
10
Nonlinear models for strongly dependent processes with financial applications
Baillie, Richard
;
Kapetanios, George
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 60-71
Persistent link: https://www.econbiz.de/10003783785
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