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subject:"Großbritannien"
subject:"Time series analysis"
~isPartOf:"Econometric reviews"
~isPartOf:"International journal of forecasting"
~isPartOf:"Journal of econometrics"
~isPartOf:"Macroeconomic dynamics"
~isPartOf:"Working paper series / University of Zurich, Department of Economics"
~isPartOf:"Working paper"
~person:"Cavaliere, Giuseppe"
~person:"Engle, Robert F."
~person:"Hodgson, Douglas J."
~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"
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Großbritannien
Time series analysis
ARCH model
ARCH-Modell
Börsenkurs
Unit root test
Welt
Theorie
114
Theory
114
Zeitreihenanalyse
46
Volatility
35
Volatilität
35
Forecasting model
25
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25
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16
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43
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English
65
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Cavaliere, Giuseppe
Engle, Robert F.
Hodgson, Douglas J.
Lucas, André
McAleer, Michael
Proietti, Tommaso
Swanson, Norman R.
Phillips, Peter C. B.
25
Taylor, Robert
15
Franses, Philip Hans
14
Kapetanios, George
12
Makridakis, Spyros G.
12
Pesaran, M. Hashem
11
Koop, Gary
10
Yu, Jun
10
Hendry, David F.
9
Hyndman, Rob J.
9
Wolf, Michael
9
Xiao, Zhijie
9
Asai, Manabu
8
Assimakopoulos, V.
8
Chang, Yoosoon
8
Herwartz, Helmut
8
Ledoit, Olivier
8
Marcellino, Massimiliano
8
Spiliotis, Evangelos
8
Breitung, Jörg
7
Chan, Joshua
7
Engsted, Tom
7
Hinich, Melvin J.
7
Kilian, Lutz
7
Koopman, Siem Jan
7
Park, Joon Y.
7
Perron, Pierre
7
Peña, Daniel
7
Psaradakis, Zacharias G.
7
Rombouts, Jeroen V. K.
7
Teräsvirta, Timo
7
Bauwens, Luc
6
De Nard, Gianluca
6
Dijk, Dick van
6
Gonzalo, Jesús
6
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University of Canterbury / Dept. of Economics and Finance
2
Association of Asia-Pacific Business School's Academic Conference <2018, Hongkong>
1
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Econometric reviews
International journal of forecasting
Journal of econometrics
Macroeconomic dynamics
Working paper series / University of Zurich, Department of Economics
Working paper
Discussion paper / Tinbergen Institute
39
Working papers / Rutgers University, Department of Economics
19
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12
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12
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8
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7
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7
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6
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6
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4
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4
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3
Economics letters
3
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3
Report / Econometric Institute, Erasmus University Rotterdam
3
Univ. of Copenhagen Dept. of Economics Discussion Paper
3
Applied financial economics
2
Contributions to financial econometrics : theoretical and practical issues
2
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
2
Discussion papers of interdisciplinary research project 373
2
EERI research paper series
2
Journal of empirical finance
2
Journal of forecasting
2
Oxford bulletin of economics and statistics
2
Report / Econometric Institute, Erasmus University Rotterdam / Econometric Institute, Erasmus University Rotterdam
2
Report / Erasmus Center for Financial Research, Erasmus University
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ECONIS (ZBW)
65
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31
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:
32
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep
;
Swanson, Norman R.
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
Saved in:
33
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
Saved in:
34
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:
35
Editorial: Causality, prediction, and specification analysis : recent advances and future directions
Chen, Xiaohong
;
Swanson, Norman R.
- In:
Journal of econometrics
182
(
2014
)
1
,
pp. 1-4
Persistent link: https://www.econbiz.de/10010497154
Saved in:
36
Forecasting financial and macroeconomic variables using data reduction methods : new empirical evidence
Kim, Hyun Hak
;
Swanson, Norman R.
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 352-367
Persistent link: https://www.econbiz.de/10010256842
Saved in:
37
Discussion of the paper "Testing time series data compatibility for benchmarking" by Benoît Quennevillle and Christian Gagné
Proietti, Tommaso
- In:
International journal of forecasting
29
(
2013
)
4
,
pp. 767-771
Persistent link: https://www.econbiz.de/10010221278
Saved in:
38
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:
39
Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
Corradi, Valentina
;
Swanson, Norman R.
- In:
Journal of econometrics
161
(
2011
)
2
,
pp. 304-324
Persistent link: https://www.econbiz.de/10009242123
Saved in:
40
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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