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subject:"Wechselkurs"
type:"article"
~person:"Caporale, Guglielmo Maria"
~person:"Taylor, Robert"
~subject:"Cointegration"
~subject:"Japan"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Wechselkurs
Cointegration
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Zeitreihenanalyse
Estimation theory
34
Schätztheorie
34
Time series analysis
22
Einheitswurzeltest
10
Structural break
10
Strukturbruch
10
Unit root test
10
Estimation
8
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Caporale, Guglielmo Maria
Taylor, Robert
Phillips, Peter C. B.
39
Johansen, Søren
19
Leybourne, Stephen James
18
Teräsvirta, Timo
18
Harvey, Andrew C.
17
Lütkepohl, Helmut
17
Chambers, Marcus J.
16
Gao, Jiti
16
Linton, Oliver
15
Perron, Pierre
15
Baillie, Richard
13
Hassler, Uwe
13
Robinson, Peter M.
13
Engle, Robert F.
11
Hendry, David F.
11
Koop, Gary
11
Mills, Terence C.
11
Tauchen, George Eugene
11
Bollerslev, Tim
10
Chan, Ngai Hang
10
Li, Qi
10
Nielsen, Morten Ørregaard
10
Sun, Yixiao
10
Westerlund, Joakim
10
Xiao, Zhijie
10
Zhu, Ke
10
Cavaliere, Giuseppe
9
Chen, Xiaohong
9
Granger, C. W. J.
9
Harvey, David I.
9
Hong, Yongmiao
9
Kapetanios, George
9
Koopman, Siem Jan
9
Li, Jia
9
Lucas, André
9
McElroy, Tucker
9
Nelson, Daniel B.
9
Paruolo, Paolo
9
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Journal of econometrics
9
Econometric theory
3
Applied economics letters
2
Econometric reviews
2
Economic modelling
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of economic integration
1
Journal of economic surveys
1
Journal of empirical finance
1
Journal of policy modeling : JPMOD ; a social science forum of world issues
1
Oxford bulletin of economics and statistics
1
Research in international business and finance
1
Weltwirtschaftliches Archiv : Zeitschrift des Instituts für Weltwirtschaft an der Universität Kiel
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ECONIS (ZBW)
27
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1
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
De Angelis, Luca
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 725-757
Persistent link: https://www.econbiz.de/10014420355
Saved in:
2
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 880-896
Persistent link: https://www.econbiz.de/10013534577
Saved in:
3
Adaptive inference in heteroscedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 50-65
Persistent link: https://www.econbiz.de/10012804084
Saved in:
4
Testing for episodic predictability in stock returns
Demetrescu, Matei
;
Georgiev, Iliyan
;
Rodrigues, Paulo M. M.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 85-113
Persistent link: https://www.econbiz.de/10013441625
Saved in:
5
Estimation of conditional asset pricing models with integrated variables in the beta specification
Antypas, Antonios
;
Caporale, Guglielmo Maria
; …
- In:
Research in international business and finance
52
(
2020
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012548351
Saved in:
6
Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
Harris, David
;
Kew, Hsein
;
Taylor, Robert
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 354-388
Persistent link: https://www.econbiz.de/10012483394
Saved in:
7
Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point
Iacone, Fabrizio
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Econometric theory
35
(
2019
)
6
,
pp. 1201-1233
Persistent link: https://www.econbiz.de/10012149284
Saved in:
8
Unit root inference for non-stationary linear processes driven by infinite variance innovations
Cavaliere, Giuseppe
;
Georgiev, Iliyan
;
Taylor, Robert
- In:
Econometric theory
34
(
2018
)
2
,
pp. 302-348
Persistent link: https://www.econbiz.de/10011950958
Saved in:
9
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
198
(
2017
)
1
,
pp. 165-188
Persistent link: https://www.econbiz.de/10011818374
Saved in:
10
Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
Harris, David
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Journal of econometrics
192
(
2016
)
2
,
pp. 451-467
Persistent link: https://www.econbiz.de/10011704729
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