Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~isPartOf:"Econometric reviews"
~isPartOf:"Working paper"
~person:"Caporin, Massimiliano"
~person:"Phillips, Peter C. B."
~subject:"Time series analysis"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Long memory and volatility dyn...
Similar by subject
Narrow search
Delete all filters
| 5 applied filters
Year of publication
From:
To:
Subject
All
Time series analysis
Zeitreihenanalyse
17
Theorie
10
Theory
10
ARCH model
8
ARCH-Modell
8
Volatility
8
Volatilität
8
Modellierung
7
Scientific modelling
7
Forecasting model
5
Prognoseverfahren
5
Einheitswurzeltest
4
Estimation theory
4
Schätztheorie
4
Statistical test
4
Statistischer Test
4
Stochastic process
4
Stochastischer Prozess
4
Unit root test
4
Estimation
3
Schätzung
3
Analysis of variance
2
Capital income
2
Cointegration
2
Heteroscedasticity
2
Heteroskedastizität
2
Induktive Statistik
2
Kapitaleinkommen
2
Kointegration
2
Long memory
2
Panel
2
Panel study
2
Realized volatility
2
Risikomaß
2
Risk measure
2
Statistical inference
2
USA
2
United States
2
Varianzanalyse
2
more ...
less ...
Online availability
All
Free
7
Undetermined
1
Type of publication
All
Book / Working Paper
10
Article
7
Type of publication (narrower categories)
All
Arbeitspapier
10
Graue Literatur
10
Non-commercial literature
10
Working Paper
10
Article in journal
7
Aufsatz in Zeitschrift
7
Language
All
English
17
Author
All
Caporin, Massimiliano
Phillips, Peter C. B.
McAleer, Michael
24
Kapetanios, George
18
Escribano, Álvaro
9
Blazsek, Szabolcs
8
Franses, Philip Hans
8
Dagum, Estela Bee
7
Taylor, Robert
7
Teräsvirta, Timo
7
Engsted, Tom
6
Giraitis, Liudas
6
Maasoumi, Esfandiar
6
Piger, Jeremy Max
6
Psaradakis, Zacharias G.
6
Spanos, Aris
6
Yu, Jun
6
Baillie, Richard
5
Chang, Chia-Lin
5
Kilian, Lutz
5
McElroy, Tucker
5
Owyang, Michael T.
5
Österholm, Pär
5
Andreou, Elena
4
Licht, Adrian
4
McCracken, Michael W.
4
Medeiros, Marcelo C.
4
Reed, W. Robert
4
Anderson, Richard G.
3
Asai, Manabu
3
Babula, Ronald Alexander
3
Bagshaw, Michael L.
3
Baltagi, Badi H.
3
Bianconcini, Silvia
3
Bierens, Herman J.
3
Cavaliere, Giuseppe
3
Christiansen, Charlotte
3
Doz, Catherine
3
Dueker, Michael
3
Gao, Jiti
3
more ...
less ...
Institution
All
University of Canterbury / Dept. of Economics and Finance
2
Published in...
All
Econometric reviews
Working paper
Cowles Foundation discussion paper
80
Cowles Foundation Discussion Paper
31
Journal of econometrics
26
Econometric theory
19
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
13
Econometric Institute research papers
5
Working paper series / Department of Economics, Auckland Business School, The University of Auckland
4
Cowles Foundation paper
3
International review of economics & finance : IREF
3
Journal of empirical finance
3
The econometrics journal
3
Celebrating Irving Fisher : the legacy of a great economist
2
Discussion papers / Department of Economics, University of California San Diego
2
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
2
Energy economics
2
Journal of financial econometrics
2
Quantitative economics : QE ; journal of the Econometric Society
2
The American journal of economics and sociology
2
The review of economic studies
2
Working paper / Department of Econometrics and Business Statistics, Monash University
2
Working papers on finance
2
"Marco Fanno" Working Papers
1
Applied economics
1
Econometrics : open access journal
1
Economic time series with random walk and other nonstationary components
1
Economics letters
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Essays in honor of Joon Y. Park : econometric theory
1
International economic review
1
International journal of computational economics and econometrics : IJCEE
1
Journal of applied econometrics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of economic surveys
1
Journal of forecasting
1
Journal of quantitative economics
1
Journal of risk and financial management : JRFM
1
New Zealand economic papers
1
Neyar diyun / ham- Merkāz le-Fittûaḥ 'al Šēm P. Sapir
1
more ...
less ...
Source
All
ECONIS (ZBW)
17
Showing
1
-
10
of
17
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
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
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:
3
Block structure multivariate stochastic
volatility
models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008688575
Saved in:
4
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:
5
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:
6
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:
7
Do we really need both BEKK and DCC? : a tale of two multivariate GARCH models
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008669311
Saved in:
8
Ranking multivariate GARCH models by problem dimension
Caporin, Massimiliano
;
McAleer, Michael
-
2010
-
Rev.
Persistent link: https://www.econbiz.de/10008689067
Saved in:
9
Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008689069
Saved in:
10
Ranking multivariate GARCH models by problem dimension : an empirical evaluation
Caporin, Massimiliano
;
McAleer, Michael
-
2011
Persistent link: https://www.econbiz.de/10009412785
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
