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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Journal of econometrics"
~isPartOf:"Regional studies"
~language:"eng"
~language:"nld"
~language:"pol"
~person:"Hallin, Marc"
~person:"Phillips, Peter C. B."
~subject:"Cointegration"
~subject:"Einheitswurzeltest"
~subject:"Großbritannien"
~subject:"Volatility"
~type_genre:"Amtliche Publikation"
~type_genre:"Article in journal"
~type_genre:"Government document"
~type_genre:"Graue Literatur"
~type_genre:"No longer published / No longer aquired"
~type_genre:"Textbook"
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Cointegration
Einheitswurzeltest
Großbritannien
Volatility
Theorie
42
Theory
42
Estimation theory
35
Schätztheorie
35
Time series analysis
35
Zeitreihenanalyse
35
Nichtparametrisches Verfahren
14
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14
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13
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13
Unit root test
13
Kointegration
11
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29
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Amtliche Publikation
Article in journal
Government document
Graue Literatur
No longer published / No longer aquired
Textbook
Aufsatz in Zeitschrift
29
Language
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English
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Polish
Author
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Hallin, Marc
Phillips, Peter C. B.
Taylor, Robert
20
Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Andersen, Torben
11
Aït-Sahalia, Yacine
11
Park, Joon Y.
11
McAleer, Michael
9
Boswijk, Herman Peter
8
Cavaliere, Giuseppe
8
Chang, Yoosoon
8
Green, Anne E.
8
Leybourne, Stephen James
8
Meddahi, Nour
8
Nielsen, Morten Ørregaard
8
Xiu, Dacheng
8
Harris, Richard I. D.
7
Johansen, Søren
7
Li, Jia
7
Linton, Oliver
7
Martin, Ron
7
Mykland, Per A.
7
Patton, Andrew J.
7
Rahbek, Anders
7
Robinson, Peter M.
7
Benth, Fred Espen
6
Corradi, Valentina
6
Ghysels, Eric
6
Kim, Donggyu
6
Mason, Colin M.
6
Shephard, Neil G.
6
Shin, Dong-wan
6
Swanson, Norman R.
6
Westerlund, Joakim
6
Xiao, Zhijie
6
Asai, Manabu
5
Barigozzi, Matteo
5
Beatty, Christina
5
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International journal of theoretical and applied finance
Journal of econometrics
Regional studies
Cowles Foundation discussion paper
62
Econometric theory
18
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
6
Discussion paper / Center for Economic Research, Tilburg University
5
Econometric reviews
5
ECARES working paper
4
The econometrics journal
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Economics letters
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Working paper
2
Working paper / Department of Econometrics and Business Statistics, Monash University
2
CentER Discussion Paper Series
1
Econometrics : open access journal
1
Economics working paper series
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Global COE Hi-Stat discussion paper series
1
HKIMR working paper
1
International economic review
1
Journal of economic surveys
1
Journal of financial econometrics
1
Journal of quantitative economics
1
Neyar diyun / ham- Merkāz le-Fittûaḥ 'al Šēm P. Sapir
1
Oxford bulletin of economics and statistics
1
Practical issues in cointegration analysis
1
Research memorandum / METEOR, Universiteit Maastricht, Faculty of Economics and Business Administration
1
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ECONIS (ZBW)
29
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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
When bias contributes to variance : true limit theory in functional coefficient cointegrating regression
Phillips, Peter C. B.
;
Wang, Ying
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 469-489
Persistent link: https://www.econbiz.de/10014340035
Saved in:
3
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:
4
Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo
;
Hallin, Marc
;
Soccorsi, Stefano
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
Saved in:
5
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:
6
Econometric estimates of Earth's transient climate sensitivity
Phillips, Peter C. B.
;
Leirvik, Thomas
;
Storelvmo, Trude
- In:
Journal of econometrics
214
(
2020
)
1
,
pp. 6-32
Persistent link: https://www.econbiz.de/10012438082
Saved in:
7
Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo
;
Hallin, Marc
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 4-34
Persistent link: https://www.econbiz.de/10012439634
Saved in:
8
Hybrid stochastic local unit roots
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
Journal of econometrics
215
(
2020
)
1
,
pp. 257-285
Persistent link: https://www.econbiz.de/10012439454
Saved in:
9
Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression
Li, Degui
;
Phillips, Peter C. B.
;
Gao, Jiti
- In:
Journal of econometrics
215
(
2020
)
2
,
pp. 607-632
Persistent link: https://www.econbiz.de/10012439572
Saved in:
10
Estimating smooth structural change in cointegration models
Phillips, Peter C. B.
;
Li, Degui
;
Gao, Jiti
- In:
Journal of econometrics
196
(
2017
)
1
,
pp. 180-195
Persistent link: https://www.econbiz.de/10011743793
Saved in:
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