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person:"Newbold, Paul"
subject:"Zeitreihenanalyse"
~person:"Ashley, Richard A."
~person:"Buncic, Daniel"
~person:"Cavaliere, Giuseppe"
~person:"Ghose, Devajyoti"
~person:"Jawadi, Fredj"
~person:"Kapetanios, George"
~person:"Leybourne, Stephen James"
~subject:"Financial frictions"
~subject:"Financial market"
~subject:"Kapitaleinkommen"
~subject:"Panel"
~subject:"Stochastischer Prozess"
~subject:"Time varying parameters"
~type:"article"
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Zeitreihenanalyse
Financial frictions
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Time varying parameters
Theorie
176
Theory
176
Time series analysis
76
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103
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Newbold, Paul
Ashley, Richard A.
Buncic, Daniel
Cavaliere, Giuseppe
Ghose, Devajyoti
Jawadi, Fredj
Kapetanios, George
Leybourne, Stephen James
Phillips, Peter C. B.
74
Franses, Philip Hans
60
Gil-Alaña, Luis A.
46
Pesaran, M. Hashem
40
Baltagi, Badi H.
35
Escudero, Laureano F.
35
Ghysels, Eric
33
McAleer, Michael
33
Taylor, Robert
33
Gupta, Rangan
32
Koopman, Siem Jan
31
Lütkepohl, Helmut
30
Perron, Pierre
30
Timmermann, Allan
29
Granger, C. W. J.
28
Koop, Gary
28
Caporale, Guglielmo Maria
26
Harvey, Andrew C.
26
Mills, Terence C.
26
Fabozzi, Frank J.
25
Engle, Robert F.
24
Hecq, Alain W. J.
24
Hendry, David F.
24
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23
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23
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22
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22
Hong, Yongmiao
22
Teräsvirta, Timo
22
Westerlund, Joakim
22
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21
Satchell, Stephen
20
Swanson, Norman R.
20
Wong, Wing Keung
20
Yu, Jun
20
Breitung, Jörg
19
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19
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19
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Sociaal-economische wetgeving : SEW ; tijdschrift voor Europees en economisch recht ; tevens mededelingsblad voor de Nederlandsche Vereniging voor Europees Recht en de Nederlandstalige Afdeling van de Belgische Vereniging voor Europees Recht ; uitg. met steun van de Universitaire Stichting van België
1
Statistical methods & applications : SMA ; journal of the Italian Statistical Society
1
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ECONIS (ZBW)
103
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
Bootstrapping noncausal autoregressions : with applications to explosive bubble modeling
Cavaliere, Giuseppe
;
Bohn Nielsen, Heino
;
Rahbek, Anders
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
1
,
pp. 55-67
Persistent link: https://www.econbiz.de/10012179509
Saved in:
9
A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, Ruijun
;
Jawadi, Fredj
;
Li, Yuyi
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 27-53
Persistent link: https://www.econbiz.de/10012181537
Saved in:
10
Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models
Jawadi, Fredj
;
Ftiti, Zied
;
Louhichi, Waël
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 54-70
Persistent link: https://www.econbiz.de/10012181540
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