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~accessRights:"restricted"
~language:"eng"
~person:"Frey, Bruno S."
~person:"Lien, Da-hsiang Donald"
~person:"McAleer, Michael"
~person:"Phillips, Peter C. B."
~person:"Robinson, Peter M."
~subject:"Zeitreihenanalyse"
~type_genre:"Article in journal"
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Frey, Bruno S.
Lien, Da-hsiang Donald
McAleer, Michael
Phillips, Peter C. B.
Robinson, Peter M.
Gil-Alaña, Luis A.
67
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57
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ECONIS (ZBW)
36
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36
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1
Fully modified least squares cointegrating parameter estimation in multicointegrated systems
Kheifets, Igor L.
;
Phillips, Peter C. B.
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 300-319
Persistent link: https://www.econbiz.de/10014339925
Saved in:
2
Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu
;
McAleer, Michael
- In:
Computational economics
59
(
2022
)
1
,
pp. 103-123
Persistent link: https://www.econbiz.de/10013168928
Saved in:
3
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
4
Understanding temporal aggregation effects on kurtosis in financial indices
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 25-46
Persistent link: https://www.econbiz.de/10013441621
Saved in:
5
Nonstationary panel models with latent group structures and cross-section dependence
Huang, Wenxin
;
Jin, Sainan
;
Phillips, Peter C. B.
;
Su, …
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 198-222
Persistent link: https://www.econbiz.de/10012618820
Saved in:
6
Pitfalls in bootstrapping spurious regression
Phillips, Peter C. B.
- In:
Journal of quantitative economics
19
(
2021
),
pp. 163-217
Persistent link: https://www.econbiz.de/10013441715
Saved in:
7
Asymptotic theory for near integrated processes driven by tempered linear processes
Sabzikar, Farzad
;
Wang, Qiying
;
Phillips, Peter C. B.
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 192-202
Persistent link: https://www.econbiz.de/10012439672
Saved in:
8
Asymptotic theory for time series with changing mean and variance
Dalla, Violetta
;
Giraitis, Liudas
;
Robinson, Peter M.
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 281-313
Persistent link: https://www.econbiz.de/10012483387
Saved in:
9
Causal change detection in possibly integrated systems : revisiting the money-income relationship
Shi, Shuping
;
Hurn, Stan
;
Phillips, Peter C. B.
- In:
Journal of financial econometrics
18
(
2020
)
1
,
pp. 158-180
Persistent link: https://www.econbiz.de/10012180414
Saved in:
10
Cointegrated dynamics for a generalized long memory process : application to interest rates
Asai, Manabu
;
Peiris, Shelton
;
McAleer, Michael
;
Allen, …
- In:
Journal of time series econometrics
12
(
2020
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012258310
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