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Zeitreihenanalyse
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Grassi, Stefano
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CREATES research paper
Journal of economic dynamics & control
Journal of econometrics
333
International journal of forecasting
323
Economics letters
279
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
245
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133
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115
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111
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
103
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
98
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
95
Journal of applied econometrics
90
Computational economics
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Working paper / Department of Econometrics and Business Statistics, Monash University
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
77
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Applied economics letters
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
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Journal of empirical finance
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Cowles Foundation discussion paper
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Oxford bulletin of economics and statistics
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The econometrics journal
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Finance research letters
47
Discussion papers of interdisciplinary research project 373
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SFB 649 discussion paper
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Technical Report
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EUI working paper / ECO
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ECONIS (ZBW)
143
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1
Affine bond pricing with a mixture distribution for interest rate time-series dynamics
Rasmussen, Torben B
-
2010
Persistent link: https://www.econbiz.de/10003939417
Saved in:
2
An asset pricing approach to testing general term structure models including Heath-Jarrow-Morton specifications and affine subclasses
Christensen, Bent Jesper
;
Wel, Michael van der
-
2010
Persistent link: https://www.econbiz.de/10003947812
Saved in:
3
The yield curve and the macro-economy across time and frequencies
Aguiar-Conraria, Luís
;
Martins, Manuel Mota Freitas
; …
- In:
Journal of economic dynamics & control
36
(
2012
)
12
,
pp. 1950-1970
Persistent link: https://www.econbiz.de/10009701904
Saved in:
4
Nonlinear Kalman filtering in affine term structure models
Christoffersen, Peter F.
;
Dorion, Christian
;
Jacobs, Kris
; …
-
2012
Persistent link: https://www.econbiz.de/10009667381
Saved in:
5
Reconciling the term structure of interest rates with the consumption-based ICAP model
Canova, Fabio
- In:
Journal of economic dynamics & control
20
(
1996
)
4
,
pp. 709-750
Persistent link: https://www.econbiz.de/10001194699
Saved in:
6
Long and short memory in dynamic term structure models
Huseynov, Salman
-
2021
-
This version: 3 December 2021
Persistent link: https://www.econbiz.de/10012815974
Saved in:
7
Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models
Guidolin, Massimo
;
Pedio, Manuela
- In:
Journal of economic dynamics & control
107
(
2019
),
pp. 1-30
Persistent link: https://www.econbiz.de/10012312634
Saved in:
8
A dynamic autoregressive expectile for time-invariant portfolio protection strategies
Hamidi, Benjamin
;
Maillet, Bertrand
;
Prigent, Jean-Luc
- In:
Journal of economic dynamics & control
46
(
2014
),
pp. 1-29
Persistent link: https://www.econbiz.de/10010474410
Saved in:
9
Asset allocation with time series momentum and reversal
He, Xue-zhong
;
Li, Kai
;
Li, Youwei
- In:
Journal of economic dynamics & control
91
(
2018
),
pp. 441-457
Persistent link: https://www.econbiz.de/10011974221
Saved in:
10
Permanent shocks, signal extraction, and portfolio selection
Nazliben, K. Korhan
;
Rodríguez, Juan Carlos
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 47-68
Persistent link: https://www.econbiz.de/10011974232
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