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subject:"Großbritannien"
subject:"Time series analysis"
~isPartOf:"Discussion paper / Department of Economics, University of California San Diego"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Econometric reviews"
~isPartOf:"Macroeconomic dynamics"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
~isPartOf:"Working paper series / University of Zurich, Department of Economics"
~person:"Cavaliere, Giuseppe"
~person:"Engle, Robert F."
~person:"Hinich, Melvin J."
~person:"Hodgson, Douglas J."
~person:"Iglesias, Emma M."
~person:"Lucas, André"
~person:"McAleer, Michael"
~person:"Proietti, Tommaso"
~person:"Swanson, Norman R."
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Börsenkurs"
~subject:"Unit root test"
~subject:"Welt"
~type_genre:"Article in journal"
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Großbritannien
Time series analysis
ARCH model
ARCH-Modell
Börsenkurs
Unit root test
Welt
Theorie
38
Theory
38
Zeitreihenanalyse
19
Volatility
10
Volatilität
10
Estimation
7
Schätzung
7
Statistical test
7
Statistischer Test
7
USA
7
United States
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Maximum likelihood estimation
3
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3
Prognoseverfahren
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Share price
3
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2
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2
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Article
27
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50
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50
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48
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48
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28
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28
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Cavaliere, Giuseppe
Engle, Robert F.
Hinich, Melvin J.
Hodgson, Douglas J.
Iglesias, Emma M.
Lucas, André
McAleer, Michael
Proietti, Tommaso
Swanson, Norman R.
Taylor, Robert
7
Kilian, Lutz
6
Spanos, Aris
6
Maasoumi, Esfandiar
5
O'Hara, Maureen
5
Phillips, Peter C. B.
5
Subrahmanyam, Avanidhar
5
Andreou, Elena
4
Easley, David
4
Franses, Philip Hans
4
Morley, James C.
4
Psaradakis, Zacharias G.
4
Titman, Sheridan
4
Viswanathan, S.
4
Bansal, Ravi
3
Caporin, Massimiliano
3
Chang, Yoosoon
3
Dagum, Estela Bee
3
Ghysels, Eric
3
Gorton, Gary
3
Hafner, Christian M.
3
Harvey, David I.
3
Herwartz, Helmut
3
Hong, Harrison G.
3
Jawadi, Fredj
3
Kim, Chang-jin
3
Leybourne, Stephen James
3
Shleifer, Andrei
3
Stein, Jeremy C.
3
Albuquerque, Rui
2
Anyfantaki, Sofia
2
Asai, Manabu
2
Ashley, Richard A.
2
Audrino, Francesco
2
Barnett, William A.
2
Bekaert, Geert
2
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Discussion paper / Department of Economics, University of California San Diego
Discussion paper / Tinbergen Institute
Econometric reviews
Macroeconomic dynamics
The journal of finance : the journal of the American Finance Association
Working paper series / University of Zurich, Department of Economics
Journal of econometrics
18
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
11
International journal of forecasting
9
Econometric theory
8
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6
Journal of economic surveys
6
Economics letters
5
The econometrics journal
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Econometrics : open access journal
3
Journal of forecasting
3
Applied financial economics
2
Journal of empirical finance
2
Journal of macroeconomics
2
Oxford bulletin of economics and statistics
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
Advances in futures and options research : a research annual
1
Economic modelling
1
Economies : open access journal
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Energy economics
1
Estudios de economía aplicada : revista promovida por Asepelt, Asociación de Economía Aplicada
1
Finance research letters
1
International review of economics & finance : IREF
1
Jingji-lunwen
1
Journal of applied economics
1
Journal of banking & finance
1
Journal of international money and finance
1
Journal of monetary economics
1
Practical issues in cointegration analysis
1
Quantitative finance and economics
1
Statistical methods & applications : SMA ; journal of the Italian Statistical Society
1
The Japanese economic review : the journal of the Japanese Economic Association
1
The North American journal of economics and finance : a journal of financial economics studies
1
The econometrics of economic policy
1
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ECONIS (ZBW)
28
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1
Predictability, real time estimation, and the formulation of unobserved components models
Proietti, Tommaso
- In:
Econometric reviews
40
(
2021
)
5
,
pp. 433-454
Persistent link: https://www.econbiz.de/10012515613
Saved in:
2
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
Cavaliere, Giuseppe
;
Skrobotov, Anton
;
Taylor, Robert
- In:
Econometric reviews
38
(
2019
)
5
,
pp. 509-532
Persistent link: https://www.econbiz.de/10012181330
Saved in:
3
On the invertibility of EGARCH(p, q)
Martinet, Guillaume Gaetan
;
McAleer, Michael
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 824-849
Persistent link: https://www.econbiz.de/10012040413
Saved in:
4
A fractionally integrated Wishart stochastic volatility model
Asai, Manabu
;
McAleer, Michael
- In:
Econometric reviews
36
(
2017
)
1/3
,
pp. 42-59
Persistent link: https://www.econbiz.de/10011794625
Saved in:
5
The multistep Beveridge-Nelson decomposition
Proietti, Tommaso
- In:
Econometric reviews
35
(
2016
)
1/4
,
pp. 373-395
Persistent link: https://www.econbiz.de/10011549941
Saved in:
6
Lag length selection for unit root tests in the presence of nonstationary volatility
Cavaliere, Giuseppe
;
Phillips, Peter C. B.
;
Smeekes, Stephan
- In:
Econometric reviews
34
(
2015
)
1/5
,
pp. 512-536
Persistent link: https://www.econbiz.de/10011373261
Saved in:
7
Estimation, testing, and finite sample properties of quasi-maximum likelihood estimators in GARCH-M models
Iglesias, Emma M.
;
Phillips, Garry D. A.
- In:
Econometric reviews
31
(
2012
)
4/6
,
pp. 532-557
Persistent link: https://www.econbiz.de/10009539710
Saved in:
8
Small sample estimation bias in GARCH models with any number of exogenous variables in the mean equation
Iglesias, Emma M.
;
Phillips, Garry D. A.
- In:
Econometric reviews
30
(
2011
)
3
,
pp. 303-336
Persistent link: https://www.econbiz.de/10008990434
Saved in:
9
Alternative asymmetric stochastic volatility models
Asai, Manabu
;
McAleer, Michael
- In:
Econometric reviews
30
(
2011
)
5
,
pp. 548-564
Persistent link: https://www.econbiz.de/10009130226
Saved in:
10
Seeing inside the black box : using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments
Armah, Nii Ayi
;
Swanson, Norman R.
- In:
Econometric reviews
29
(
2010
)
5/6
,
pp. 476-510
Persistent link: https://www.econbiz.de/10008668183
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