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~isPartOf:"Economic modelling"
~isPartOf:"MPRA Paper"
~isPartOf:"The econometrics journal"
~subject:"Time series analysis"
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Time series analysis
Zeitreihenanalyse
360
Theorie
162
Theory
162
Estimation
117
Schätzung
117
Estimation theory
71
Schätztheorie
71
Volatility
71
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69
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time series
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360
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Cubadda, Gianluca
4
Perron, Pierre
4
Tiwari, Aviral Kumar
4
Arčabić, Vladimir
3
Baruník, Jozef
3
Franses, Philip Hans
3
Huang, Zhuo
3
Kim, Jong-Min
3
Koopman, Siem Jan
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Moosa, Imad A.
3
Paradiso, Antonio
3
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3
Saikkonen, Pentti
3
Sharma, Susan Sunila
3
Taylor, Robert
3
Todorova, Neda
3
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2
Baillie, Richard
2
Bekiros, Stelios
2
Boutahar, Mohamed
2
Camacho, Maximo
2
Caporale, Guglielmo Maria
2
Chaiechi, Taha
2
Chang, Tsangyao
2
Chen, Shyh-Wei
2
Chen, Shyh-wei
2
Demetrescu, Matei
2
Fukuda, Kosei
2
Gil-Alaña, Luis A.
2
Guardabascio, Barbara
2
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2
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2
Kiani, Khurshid M.
2
Kumar, Dilip
2
Larsson, Rolf
2
Leybourne, Stephen James
2
Li, Yong
2
Liu, Li
2
Maheswaran, S.
2
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Economic modelling
MPRA Paper
The econometrics journal
Journal of econometrics
673
International journal of forecasting
572
Economics letters
447
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
395
Journal of forecasting
331
Applied economics
321
Discussion paper / Tinbergen Institute
321
Econometric theory
315
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
226
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220
Econometric reviews
219
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
205
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195
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178
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165
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164
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161
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
155
Journal of applied econometrics
147
Working paper / National Bureau of Economic Research, Inc.
138
CESifo working papers
135
Computational economics
132
Discussion paper / Centre for Economic Policy Research
110
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110
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107
Cowles Foundation discussion paper
106
Econometrics : open access journal
106
Oxford bulletin of economics and statistics
101
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100
Finance research letters
98
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
85
International review of economics & finance : IREF
84
EUI working paper / ECO
83
International Journal of Energy Economics and Policy : IJEEP
82
Applied financial economics
80
Physica A: Statistical Mechanics and its Applications
76
The North American journal of economics and finance : a journal of financial economics studies
76
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ECONIS (ZBW)
360
RePEc
2
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1
The impact of joint events on oil price volatility : evidence from a dynamic graphical news analysis model
Zhao, Lu-Tao
;
Wang, Dai-Song
;
Ren, Zhong-Yuan
- In:
Economic modelling
130
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014451154
Saved in:
2
Testing for parameter change epochs in GARCH
time
series
Richter, Stefan
;
Wang, Weining
;
Wu, Wei Biao
- In:
The econometrics journal
26
(
2023
)
3
,
pp. 467-491
Persistent link: https://www.econbiz.de/10014391712
Saved in:
3
Combining counterfactual outcomes and ARIMA models for policy evaluation
Menchetti, Fiammetta
;
Cipollini, Fabrizio
;
Mealli, Fabrizia
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10013543270
Saved in:
4
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
5
A regime-switching model of stock returns with momentum and mean reversion
Giner, Javier
;
Zakamulin, Valeriy
- In:
Economic modelling
122
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014388630
Saved in:
6
Revisiting
time
series
momentum in China's commodity futures market : evidence on sources of momentum profits
Ming, Lei
;
Song, Wuqi
;
Dong, Minyi
- In:
Economic modelling
128
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014464418
Saved in:
7
R-estimators in GARCH models : asymptotics and applications
Liu, Hang
;
Mukherjee, Kanchan
- In:
The econometrics journal
25
(
2022
)
1
,
pp. 98-113
Persistent link: https://www.econbiz.de/10012878893
Saved in:
8
The vector error correction index model : representation, estimation and identification
Cubadda, Gianluca
;
Mazzali, Marco
- In:
The econometrics journal
27
(
2024
)
1
,
pp. 126-150
Persistent link: https://www.econbiz.de/10014528100
Saved in:
9
Vine copula Granger causality in mean
Jang, Hyuna
;
Kim, Jong-Min
;
Noh, Hohsuk
- In:
Economic modelling
109
(
2022
),
pp. 1-10
Persistent link: https://www.econbiz.de/10013348254
Saved in:
10
Testing factor models when asset bubbles occur : a time-varying perspective
Yu, Lu
;
Li, Yanglin
- In:
Economic modelling
124
(
2023
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014463291
Saved in:
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