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~isPartOf:"Econometric reviews"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Macroeconomic dynamics"
~person:"Cavaliere, Giuseppe"
~person:"Engle, Robert F."
~person:"Hendry, David F."
~person:"Lucas, André"
~person:"Proietti, Tommaso"
~person:"Swanson, Norman R."
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Cavaliere, Giuseppe
Engle, Robert F.
Hendry, David F.
Lucas, André
Proietti, Tommaso
Swanson, Norman R.
Serletis, Apostolos
14
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ECONIS (ZBW)
19
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19
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1
Forecasting volatility using double shrinkage methods
Cheng, Mingmian
;
Swanson, Norman R.
;
Yang, Xiye
- In:
Journal of empirical finance
62
(
2021
),
pp. 46-61
Persistent link: https://www.econbiz.de/10012693319
Saved in:
2
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:
3
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:
4
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:
5
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:
6
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
7
Misspecification testing : non-invariance of expectations models of inflation
Castle, Jennifer
;
Doornik, Jurgen A.
;
Hendry, David F.
; …
- In:
Econometric reviews
33
(
2014
)
5/6
,
pp. 553-574
Persistent link: https://www.econbiz.de/10010360791
Saved in:
8
In- and out-of-sample specification analysis of spot rate models : further evidence for the period 1982 - 2008
Cai, Lili
;
Swanson, Norman R.
- In:
Journal of empirical finance
18
(
2011
)
4
,
pp. 743-764
Persistent link: https://www.econbiz.de/10009306528
Saved in:
9
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
Saved in:
10
On the model-based interpretation of filters and the reliability of trend-cycle estimates
Proietti, Tommaso
- In:
Econometric reviews
28
(
2009
)
1/3
,
pp. 186-208
Persistent link: https://www.econbiz.de/10003800723
Saved in:
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