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~person:"Chang, Tsangyao"
~person:"Dijk, Dick van"
~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
62
Zeitreihenanalyse
62
Einheitswurzeltest
28
Unit root test
28
Estimation
26
Schätzung
26
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10
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12
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Chang, Tsangyao
Dijk, Dick van
Gil-Alaña, Luis A.
50
Gupta, Rangan
29
Caporale, Guglielmo Maria
21
Franses, Philip Hans
13
Stock, James H.
12
Watson, Mark W.
11
Ferreira, Paulo
10
Tiwari, Aviral Kumar
10
Wohar, Mark E.
10
Payne, James E.
9
Canova, Fabio
8
Cuñado Eizaguirre, Juncal
8
Kim, Chang-jin
8
Koopman, Siem Jan
8
Miller, Stephen M.
8
Piger, Jeremy Max
8
Balcilar, Mehmet
7
Crespo Cuaresma, Jesús
7
Engle, Robert F.
7
Lesage, James P.
7
Potter, Simon M.
7
Rothman, Philip
7
Tauchen, George Eugene
7
Ewing, Bradley T.
6
Ghysels, Eric
6
Günay, Samet
6
Lastrapes, William Dean
6
Lee, Bong-soo
6
McNown, Robert F.
6
Peel, David
6
Rasche, Robert H.
6
Ajmi, Ahdi Noomen
5
Aloui, Chaker
5
Baghestani, Hamid
5
Bessler, David A.
5
Caporale, Tony
5
Cheung, Yin-Wong
5
Clements, Michael P.
5
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International journal of forecasting
2
Journal of econometrics
2
Applied economics
1
Applied economics letters
1
International review of economics & finance : IREF
1
Iranian economic review : journal of University of Tehran
1
Journal of applied econometrics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
The empirical economics letters : a monthly international journal of economics
1
The review of economics and statistics
1
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ECONIS (ZBW)
12
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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
Re-Investigating the degree of persistence of U.S. economic policy uncertainty using the Fourier non-linear quantile unit root test
Peng, Yi-Ting
;
Chang, Tsangyao
;
Ranjbar, Omid
- In:
Applied economics
54
(
2022
)
39
,
pp. 4586-4595
Persistent link: https://www.econbiz.de/10013411001
Saved in:
3
Revisiting the term of interest rates: evidence from USA
Kuo, Pao-Lan
;
Chiu, Chien-Liang
;
Chang, Tsangyao
;
Wang, …
- In:
The empirical economics letters : a monthly …
18
(
2019
)
11
,
pp. 1141-1150
Persistent link: https://www.econbiz.de/10012372785
Saved in:
4
Testing hysteresis effect in U.S. state unemployment : new evidence using a nonlinear quantile unit root test
Bahmani-Oskooee, Mohsen
;
Chang, Tsangyao
;
Ranjbar, Omid
- In:
Applied economics letters
25
(
2018
)
4
,
pp. 249-253
Persistent link: https://www.econbiz.de/10011854429
Saved in:
5
Stock market interactions between the BRICS and the United States : evidence from asymmetric granger causality tests in the frequency domain
Chang, Tsangyao
;
Ranjbar, Omid
;
Jooste, Charl
- In:
Iranian economic review : journal of University of Tehran
21
(
2017
)
2
,
pp. 297-320
Persistent link: https://www.econbiz.de/10011730696
Saved in:
6
The co-movement and causality between the U.S. housing and stock markets in the time and frequency domains
Li, Xiao-Lin
;
Chang, Tsangyao
;
Miller, Stephen M.
; …
- In:
International review of economics & finance : IREF
38
(
2015
),
pp. 220-233
Persistent link: https://www.econbiz.de/10011572379
Saved in:
7
Forecasting S&P 500 volatility : long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Martens, Martin
;
Dijk, Dick van
;
Pooter, Michiel de
- In:
International journal of forecasting
25
(
2009
)
2
,
pp. 282-303
Persistent link: https://www.econbiz.de/10003870055
Saved in:
8
Macroeconomic forecasting with matched principal components
Heij, Christiaan
;
Dijk, Dick van
;
Groenen, Patrick J. F.
- In:
International journal of forecasting
24
(
2008
)
1
,
pp. 87-100
Persistent link: https://www.econbiz.de/10003661236
Saved in:
9
Testing for volatility changes in US macroeconomic time series
Sensier, Marianne
;
Dijk, Dick van
- In:
The review of economics and statistics
86
(
2004
)
3
,
pp. 833-839
Persistent link: https://www.econbiz.de/10002223475
Saved in:
10
A nonlinear long memory model, with an application to US unemployment
Dijk, Dick van
;
Franses, Philip Hans
;
Paap, Richard
- In:
Journal of econometrics
110
(
2002
)
2
,
pp. 135-165
Persistent link: https://www.econbiz.de/10001703505
Saved in:
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