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~isPartOf:"Journal of econometrics"
~subject:"Stock market"
~subject:"United States"
~type_genre:"Article in journal"
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Search: subject:"Zeitreihenanalyse"
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Stock market
United States
Time series analysis
665
Zeitreihenanalyse
665
Theorie
323
Theory
323
Estimation theory
304
Schätztheorie
304
Estimation
115
Schätzung
114
Volatility
100
Volatilität
100
Forecasting model
87
Prognoseverfahren
87
Nichtparametrisches Verfahren
79
Nonparametric statistics
79
Stochastic process
69
Stochastischer Prozess
69
Statistical test
63
Statistischer Test
63
Cointegration
57
Kointegration
56
VAR model
51
VAR-Modell
51
Regression analysis
50
Regressionsanalyse
50
Factor analysis
48
Faktorenanalyse
48
Einheitswurzeltest
47
Unit root test
47
ARCH model
42
ARCH-Modell
42
Börsenkurs
41
Share price
41
Panel
40
Panel study
40
Capital income
38
Kapitaleinkommen
38
Autocorrelation
37
Autokorrelation
37
Bayes-Statistik
36
Bayesian inference
36
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Article
23
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Article in journal
Aufsatz in Zeitschrift
23
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English
23
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Chen, Xiaohong
2
Dijk, Dick van
2
Miller, J. Isaac
2
Park, Joon Y.
2
Altissimo, Filippo
1
Andersen, Torben
1
Blasques, F.
1
Breidt, F. Jay
1
Breitung, Jörg
1
Candelon, Bertrand
1
Carrasco, Marine
1
Chang, Yoosoon
1
Chen, Fei
1
Chudik, Alexander
1
Corradi, Valentina
1
Crato, Nuno
1
DeLima, Pedro J. F.
1
Diebold, Francis X.
1
Dufour, Jean-Marie
1
Fan, Yanqin
1
Fernandes, Marcelo
1
Filardo, Andrew J.
1
Franses, Philip Hans
1
Gordon, Stephen F.
1
Gorgi, P.
1
Grammig, Joachim
1
Hansen, Lars Peter
1
Kim, Chae-yŏng
1
Kim, Chang-jin
1
Kim, Jae-young
1
Kim, Moon-kak
1
Kole, Erik
1
Koop, Gary
1
Koopman, Siem Jan
1
Lund, Jesper
1
Marcellino, Massimiliano
1
Paap, Richard
1
Pelletier, Denis
1
Pesaran, M. Hashem
1
Polachek, Solomon W.
1
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Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
94
Applied economics
53
International journal of forecasting
48
Economics letters
42
Journal of macroeconomics
40
Economic modelling
37
Journal of applied econometrics
37
The review of economics and statistics
37
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
35
Journal of money, credit and banking : JMCB
31
The journal of finance : the journal of the American Finance Association
29
The journal of futures markets
29
Applied financial economics
27
Energy economics
26
Journal of forecasting
24
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
24
Journal of monetary economics
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
International review of economics & finance : IREF
21
International review of financial analysis
21
Journal of empirical finance
21
Applied economics letters
19
Computational economics
17
Finance research letters
17
Journal of economic dynamics & control
17
The review of financial studies
17
Oxford bulletin of economics and statistics
16
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
15
Macroeconomic dynamics
15
American journal of agricultural economics
14
Journal of banking & finance
14
The North American journal of economics and finance : a journal of financial economics studies
14
Econometric reviews
13
Research in international business and finance
12
Review / Federal Reserve Bank of St. Louis
12
International journal of economics and finance
11
Journal of economics and finance
11
Journal of financial economics
11
Journal of international financial markets, institutions & money
11
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ECONIS (ZBW)
23
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23
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1
Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik
;
Dijk, Dick van
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
Saved in:
2
Accelerating score-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 359-376
Persistent link: https://www.econbiz.de/10012304023
Saved in:
3
A Markov-switching multifractal inter-trade duration model, with application to US equities
Chen, Fei
;
Diebold, Francis X.
;
Schorfheide, Frank
- In:
Journal of econometrics
177
(
2013
)
2
,
pp. 320-342
Persistent link: https://www.econbiz.de/10010255140
Saved in:
4
Model selection in the presence of nonstationarity
Kim, Jae-young
- In:
Journal of econometrics
169
(
2012
)
2
,
pp. 247-257
Persistent link: https://www.econbiz.de/10009671312
Saved in:
5
Infinite-dimensional VARs and factor models
Chudik, Alexander
;
Pesaran, M. Hashem
- In:
Journal of econometrics
163
(
2011
)
1
,
pp. 4-22
Persistent link: https://www.econbiz.de/10009270601
Saved in:
6
A likelihood ratio test for stationarity of rating transitions
Weißbach, Rafael
;
Walter, Ronja
- In:
Journal of econometrics
155
(
2010
)
2
,
pp. 188-194
Persistent link: https://www.econbiz.de/10003945547
Saved in:
7
Nonlinearity, nonstationarity, and thick tails : how they interact to generate persistence in memory
Miller, J. Isaac
;
Park, Joon Y.
- In:
Journal of econometrics
155
(
2010
)
1
,
pp. 83-89
Persistent link: https://www.econbiz.de/10003965416
Saved in:
8
Nonlinearity and temporal dependence
Chen, Xiaohong
;
Hansen, Lars Peter
;
Carrasco, Marine
- In:
Journal of econometrics
155
(
2010
)
2
,
pp. 155-169
Persistent link: https://www.econbiz.de/10003966974
Saved in:
9
Extracting a common stochastic trend : theory with some applications
Chang, Yoosoon
;
Miller, J. Isaac
;
Park, Joon Y.
- In:
Journal of econometrics
150
(
2009
)
2
,
pp. 231-247
Persistent link: https://www.econbiz.de/10003858585
Saved in:
10
Markov-switching and the Beveridge-Nelson decomposition : has US output persistence changed since 1984?
Kim, Chang-jin
- In:
Journal of econometrics
146
(
2008
)
2
,
pp. 227-240
Persistent link: https://www.econbiz.de/10003782913
Saved in:
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