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person:"Newbold, Paul"
subject:"Zeitreihenanalyse"
~person:"Ashley, Richard A."
~person:"Buncic, Daniel"
~person:"Cavaliere, Giuseppe"
~person:"Ghose, Devajyoti"
~person:"Gil-Alaña, Luis A."
~person:"Jawadi, Fredj"
~person:"Kapetanios, George"
~person:"Leybourne, Stephen James"
~subject:"Financial frictions"
~subject:"Financial market"
~subject:"Kapitaleinkommen"
~subject:"Kointegration"
~subject:"Stochastischer Prozess"
~subject:"Structural break"
~subject:"Time varying parameters"
~type:"article"
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Zeitreihenanalyse
Financial frictions
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Structural break
Time varying parameters
Theorie
235
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235
Time series analysis
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Newbold, Paul
Ashley, Richard A.
Buncic, Daniel
Cavaliere, Giuseppe
Ghose, Devajyoti
Gil-Alaña, Luis A.
Jawadi, Fredj
Kapetanios, George
Leybourne, Stephen James
Phillips, Peter C. B.
77
Franses, Philip Hans
62
Lütkepohl, Helmut
49
Taylor, Robert
37
Escudero, Laureano F.
35
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34
McAleer, Michael
34
Gupta, Rangan
32
Perron, Pierre
32
Saikkonen, Pentti
32
Granger, C. W. J.
31
Koopman, Siem Jan
31
Koop, Gary
30
Timmermann, Allan
30
Caporale, Guglielmo Maria
29
Hendry, David F.
29
Pesaran, M. Hashem
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Harvey, Andrew C.
26
Johansen, Søren
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Mills, Terence C.
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Fabozzi, Frank J.
25
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Engle, Robert F.
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Hassler, Uwe
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23
Swanson, Norman R.
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Herwartz, Helmut
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Hong, Yongmiao
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Teräsvirta, Timo
22
Gendreau, Michel
21
Park, Joon Y.
21
Lucas, André
20
Marcellino, Massimiliano
20
Robinson, Peter M.
20
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20
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20
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Annals of operations research ; volume 274, numbers 1/2 (March 2019)
1
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1
Applied financial economics letters
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Decision making and risk/return optimization in financial economics
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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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ECONIS (ZBW)
161
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1
Modelling profitability of private equity : a fractional integration approach
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
- In:
Research in international business and finance
67
(
2024
)
1
,
pp. 1-17
Persistent link: https://www.econbiz.de/10014451482
Saved in:
2
Improved tests for stock return predictability
Harvey, David I.
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 834-861
Persistent link: https://www.econbiz.de/10014420348
Saved in:
3
A latent-factor-driven endogenous regime-switching non-Gaussian model : evidence from simulation and application
Bu, Ruijun
;
Cheng, Jie
;
Jawadi, Fredj
- In:
International journal of finance & economics : IJFE
27
(
2022
)
4
,
pp. 3881-3896
Persistent link: https://www.econbiz.de/10013461280
Saved in:
4
Private and public debt convergence : a fractional cointegration approach
Malmierca-Ordoqui, Maria
;
Gil-Alaña, Luis A.
;
Bermejo …
- In:
Empirica : journal of european economics
51
(
2024
)
1
,
pp. 161-183
Persistent link: https://www.econbiz.de/10014492069
Saved in:
5
Persistence and long memory in monetary policy spreads
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
- In:
Applied economics
56
(
2024
)
20
,
pp. 2422-2433
Persistent link: https://www.econbiz.de/10014521131
Saved in:
6
Persistence in the market risk premium : evidence across countries
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
- In:
Journal of economics and finance : JEF
45
(
2021
)
3
,
pp. 413-427
Persistent link: https://www.econbiz.de/10012547070
Saved in:
7
Persistence and long run co-movements across stock market prices
Gil-Alaña, Luis A.
;
Infante, Juan
;
Martín-Valmayor, …
- In:
The quarterly review of economics and finance : journal …
89
(
2023
),
pp. 347-357
Persistent link: https://www.econbiz.de/10014429885
Saved in:
8
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:
9
Unemployment and COVID-19 : an analysis of change in persistence
Bermejo Muñoz, Lorenzo
;
Malmierca-Ordoqui, Maria
; …
- In:
Applied economics
55
(
2023
)
39
,
pp. 4511-4521
Persistent link: https://www.econbiz.de/10014301998
Saved in:
10
Persistence in commodity prices
Gil-Alaña, Luis A.
;
Villanueva, Cecilia Font de
- In:
Journal of agricultural and resource economics : JARE ; …
47
(
2022
)
2
,
pp. 262-277
Persistent link: https://www.econbiz.de/10013285487
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