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~isPartOf:"Econometric reviews"
~isPartOf:"Working paper"
~person:"Asai, Manabu"
~person:"Phillips, Peter C. B."
~subject:"Time series analysis"
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Asai, Manabu
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ECONIS (ZBW)
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1
Weak identification of long memory with implications for inference
Li, Jia
;
Phillips, Peter C. B.
;
Shi, Shuping
;
Yu, Jun
-
2022
Persistent link: https://www.econbiz.de/10013542193
Saved in:
2
A fractionally integrated Wishart stochastic
volatility
model
Asai, Manabu
;
McAleer, Michael
- In:
Econometric reviews
36
(
2017
)
1/3
,
pp. 42-59
Persistent link: https://www.econbiz.de/10011794625
Saved in:
3
Testing mean stability of heteroskedastic time series
Dalla, Violetta
;
Giraitis, Liudas
;
Phillips, Peter C. B.
-
2015
series. Application of the new methods to analyze the
volatility
properties of stock market returns leads to some unexpected …
Persistent link: https://www.econbiz.de/10011405222
Saved in:
4
Block structure multivariate stochastic
volatility
models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008688575
Saved in:
5
Lag length selection for unit root tests in the presence of nonstationary
volatility
Cavaliere, Giuseppe
;
Phillips, Peter C. B.
;
Smeekes, Stephan
- In:
Econometric reviews
34
(
2015
)
1/5
,
pp. 512-536
Persistent link: https://www.econbiz.de/10011373261
Saved in:
6
Refined inference on long memory in realized
volatility
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
Econometric reviews
27
(
2008
)
1/3
,
pp. 254-267
Persistent link: https://www.econbiz.de/10003761227
Saved in:
7
Robust testing for explosive behavior with strongly dependent errors
Lui, Yiu Lim
;
Phillips, Peter C. B.
;
Yu, Jun
-
2022
Persistent link: https://www.econbiz.de/10013542210
Saved in:
8
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010348322
Saved in:
9
Limit theory for VARs with mixed roots near unity
Phillips, Peter C. B.
;
Lee, Ji Hyung
- In:
Econometric reviews
34
(
2015
)
6/10
,
pp. 1035-1056
Persistent link: https://www.econbiz.de/10011483449
Saved in:
10
Nonstationary panel data analysis : an overview of some recent developments
Phillips, Peter C. B.
;
Moon, Hyungsik Roger
- In:
Econometric reviews
19
(
2000
)
3
,
pp. 263-286
Persistent link: https://www.econbiz.de/10001508266
Saved in:
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