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Volatility spillover effect : a semiparametric analysis of non-cointegrated process
Sun, Yiguo; Hsiao, Cheng; Li, Qi - In: Econometric reviews 34 (2015) 1/5, pp. 127-145
Persistent link: https://www.econbiz.de/10011373301
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Bayesian analysis of stochastic volatility models with flexible tails
Steel, Mark F. J. - In: Econometric reviews 17 (1998) 2, pp. 109-143
Persistent link: https://www.econbiz.de/10001240681
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A general quantile function model for economic and financial time series
Cai, Yuzhi - In: Econometric reviews 35 (2016) 5/7, pp. 1173-1193
Persistent link: https://www.econbiz.de/10011591169
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Estimation bias and bias correction in reduced rank autoregressions
Bohn Nielsen, Heino - In: Econometric reviews 38 (2019) 3, pp. 332-349
Persistent link: https://www.econbiz.de/10012181296
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Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
Carrion i Silvestre, Josep Lluís; Kim, Dukpa - In: Econometric reviews 38 (2019) 8, pp. 881-898
Persistent link: https://www.econbiz.de/10012181371
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Nonlinear relationship between permanent and transitory components of monetary aggregates and the economy
Anderson, Richard G.; Chauvet, Marcelle; Jones, Barry E. - In: Econometric reviews 34 (2015) 1/5, pp. 228-254
Persistent link: https://www.econbiz.de/10011373295
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Bootstrap determination of the co-integration rank in heteroskedastic var models
Cavaliere, Guiseppe; Rahbek, Anders; Taylor, Robert - In: Econometric reviews 33 (2014) 5/6, pp. 606-650
Persistent link: https://www.econbiz.de/10010363896
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The co-integrated vector autoregression with errors-in-variables
Bohn Nielsen, Heino - In: Econometric reviews 35 (2016) 1/4, pp. 169-200
Persistent link: https://www.econbiz.de/10011549904
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Local linear estimation of a nonparametric cointegration model
Liang, Zhongwen; Lin, Zhongjian; Hsiao, Cheng - In: Econometric reviews 34 (2015) 6/10, pp. 882-906
Persistent link: https://www.econbiz.de/10011483398
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Finite sample performance in cointegration analysis of nonlinear time series with long memory
Silva, Afonso Gonçalves da; Robinson, Peter M. - In: Econometric reviews 27 (2008) 1/3, pp. 268-297
Persistent link: https://www.econbiz.de/10003761229