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source:"econis"
~isPartOf:"Journal of empirical finance"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Time series analysis"
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Stochastischer Prozess
Time series analysis
107
Zeitreihenanalyse
107
Theorie
52
Theory
52
Volatility
48
Volatilität
48
Capital income
39
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Creel, Michael D.
1
Davidson, James E. H.
1
Diewald, Laszlo
1
Grassi, Stefano
1
Harvey, David I.
1
Janus, Paweł
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Koopman, Siem Jan
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Kristensen, Dennis
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Langrock, Roland
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Leybourne, Stephen James
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Sollis, Robert
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Taylor, Robert
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Wese Simen, Chardin
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Journal of empirical finance
Journal of econometrics
70
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
29
Econometric reviews
27
Econometric theory
23
Economics letters
18
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
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International journal of forecasting
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Computational economics
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The econometrics journal
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Econometrics : open access journal
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Applied economics letters
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European journal of operational research : EJOR
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Journal of banking & finance
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Journal of economic dynamics & control
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Journal of risk and financial management : JRFM
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
8
Journal of financial econometrics
8
Journal of forecasting
8
Empirical economics : a quarterly journal of the Institute for Advanced Studies
7
International journal of theoretical and applied finance
7
Journal of applied econometrics
7
Journal of time series econometrics
7
International review of financial analysis
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
Risks : open access journal
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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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Macroeconomic dynamics
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Finance research letters
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Journal of the American Statistical Association : JASA
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ASTIN bulletin : the journal of the International Actuarial Association
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ECONIS (ZBW)
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1
Strict stationarity, persistence and volatility forecasting in ARCH (∞) processes
Davidson, James E. H.
;
Li, Xiaoyu
- In:
Journal of empirical finance
38
(
2016
),
pp. 534-547
Persistent link: https://www.econbiz.de/10011663340
Saved in:
2
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:
3
It's all about volatility of volatility : evidence from a two-factor stochastic volatility model
Grassi, Stefano
;
Santucci de Magistris, Paolo
- In:
Journal of empirical finance
30
(
2015
),
pp. 62-78
Persistent link: https://www.econbiz.de/10011489216
Saved in:
4
Time-variations in commodity price jumps
Diewald, Laszlo
;
Prokopczuk, Marcel
;
Wese Simen, Chardin
- In:
Journal of empirical finance
31
(
2015
),
pp. 72-84
Persistent link: https://www.econbiz.de/10011489343
Saved in:
5
ABC of SV: limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.
;
Kristensen, Dennis
- In:
Journal of empirical finance
31
(
2015
),
pp. 85-108
Persistent link: https://www.econbiz.de/10011489408
Saved in:
6
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
7
Fractal market time
McCulloch, James
- In:
Journal of empirical finance
19
(
2012
)
5
,
pp. 686-701
Persistent link: https://www.econbiz.de/10009700607
Saved in:
8
On the intraday periodicity duration adjustment of high-frequency data
Wu, Zhengxiao
- In:
Journal of empirical finance
19
(
2012
)
2
,
pp. 282-291
Persistent link: https://www.econbiz.de/10009615704
Saved in:
9
Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models
Langrock, Roland
;
MacDonald, Iain L.
;
Zucchini, Walter
- In:
Journal of empirical finance
19
(
2012
)
1
,
pp. 147-161
Persistent link: https://www.econbiz.de/10009615752
Saved in:
10
The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield
Liu, Peng
;
Tang, Ke
- In:
Journal of empirical finance
18
(
2011
)
2
,
pp. 211-224
Persistent link: https://www.econbiz.de/10009301130
Saved in:
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