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subject:"Time series analysis"
type_genre:"Aufsatz im Buch"
~person:"Leybourne, Stephen James"
~subject:"Cointegration"
~subject:"Stochastischer Prozess"
~type_genre:"Arbeitspapier"
~type_genre:"Article in journal"
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Time series analysis
Cointegration
Stochastischer Prozess
Theorie
62
Theory
62
Einheitswurzeltest
28
Unit root test
28
Zeitreihenanalyse
27
Structural break
10
Strukturbruch
10
Estimation
9
Estimation theory
9
Schätztheorie
9
Schätzung
9
Forecasting model
8
Prognoseverfahren
8
Bubbles
7
Börsenkurs
7
Share price
7
Spekulationsblase
7
Statistical test
7
Statistischer Test
7
Explosive autoregression
5
Kaufkraftparität
4
Kointegration
4
Purchasing power parity
4
Stochastic process
4
Volatility
4
Volatilität
4
Regression analysis
3
Regressionsanalyse
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USA
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United States
3
rational bubble
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1972-1996
2
Autocorrelation
2
Autokorrelation
2
Bewertung
2
Break date estimation
2
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2
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Article
28
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4
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Aufsatz im Buch
Arbeitspapier
Article in journal
Aufsatz in Zeitschrift
28
Working Paper
4
Graue Literatur
3
Non-commercial literature
3
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1
Mehrbändiges Werk
1
Multi-volume publication
1
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1
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Language
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English
32
Author
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Leybourne, Stephen James
Phillips, Peter C. B.
139
Franses, Philip Hans
122
Gil-Alaña, Luis A.
122
Lütkepohl, Helmut
104
Koopman, Siem Jan
103
Caporale, Guglielmo Maria
84
McAleer, Michael
72
Pesaran, M. Hashem
72
Koop, Gary
68
Saikkonen, Pentti
67
Marcellino, Massimiliano
62
Johansen, Søren
59
Härdle, Wolfgang
58
Dijk, Herman K. van
56
Sibbertsen, Philipp
55
Lucas, André
54
Teräsvirta, Timo
54
Maravall Herrero, Agustín
53
Taylor, Robert
51
Hassler, Uwe
49
Hyndman, Rob J.
49
Kunst, Robert M.
48
Swanson, Norman R.
48
Robinson, Peter M.
46
Hallin, Marc
43
Breitung, Jörg
42
Harvey, Andrew C.
42
Granger, C. W. J.
41
Yu, Jun
41
Linton, Oliver
40
Escudero, Laureano F.
39
Haldrup, Niels
39
Hecq, Alain W. J.
39
Bauwens, Luc
38
Timmermann, Allan
37
Feng, Yuanhua
36
Nielsen, Morten Ørregaard
36
Perron, Pierre
36
Lux, Thomas
35
Hendry, David F.
34
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Loughborough University / Department of Economics
1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
5
Applied economics
3
Oxford bulletin of economics and statistics
3
Department of Economics discussion paper / Department of Economics, The University of Birmingham
2
Econometric reviews
2
Journal of econometrics
2
Journal of empirical finance
2
Journal of time series econometrics
2
The econometrics journal
2
Econometric theory
1
Economic research paper / Loughborough University, Department of Economics
1
Economic research paper / Loughborough University, Department of Economics / Loughborough University, Department of Economics
1
Economics discussion paper series / Loughborough University, Department of Economics
1
Economics letters
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of forecasting
1
Journal of the Royal Statistical Society
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
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ECONIS (ZBW)
32
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1
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32
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1
Date-stamping multiple bubble regimes
Harvey, David I.
;
Leybourne, Stephen James
;
Whitehouse, …
- In:
Journal of empirical finance
58
(
2020
),
pp. 226-246
Persistent link: https://www.econbiz.de/10012430678
Saved in:
2
A bootstrap stationarity test for predictive regression invalidity
Georgiev, Iliyan
;
Harvey, David I.
;
Leybourne, Stephen James
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
3
,
pp. 528-541
Persistent link: https://www.econbiz.de/10012178194
Saved in:
3
Testing explosive bubbles with time-varying volatility
Harvey, David I.
;
Leybourne, Stephen James
;
Zu, Yang
- In:
Econometric reviews
38
(
2019
)
10
,
pp. 1131-1151
Persistent link: https://www.econbiz.de/10012181398
Saved in:
4
Testing for a unit root against ESTAR stationarity
Harvey, David I.
;
Leybourne, Stephen James
;
Whitehouse, …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011886659
Saved in:
5
Tests for an end-of-sample bubble in financial time series
Astill, Sam
;
Harvey, David I.
;
Leybourne, Stephen James
; …
- In:
Econometric reviews
36
(
2017
)
6/9
,
pp. 651-666
Persistent link: https://www.econbiz.de/10011795312
Saved in:
6
The impact of the initial condition on covariate augmented unit root tests
Aristidou, Chrystalleni
;
Harvey, David I.
;
Leybourne, …
- In:
Journal of time series econometrics
9
(
2017
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011671094
Saved in:
7
Testing for a change in mean under fractional integration
Iacone, Fabrizio
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Journal of time series econometrics
9
(
2017
)
1
,
pp. 1-8
Persistent link: https://www.econbiz.de/10011671125
Saved in:
8
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:
9
Recursive right-tailed unit root tests for an explosive asset price bubble
Harvey, David I.
;
Leybourne, Stephen James
;
Sollis, Robert
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 166-187
Persistent link: https://www.econbiz.de/10010519657
Saved in:
10
Testing for time series linearity
Harvey, David I.
;
Leybourne, Stephen James
- In:
The econometrics journal
10
(
2007
)
1
,
pp. 149-165
Persistent link: https://www.econbiz.de/10003451752
Saved in:
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