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Climate risks and market efficiency
Hong, Harrison G.; Li, Frank Weikai; Xu, Jiangmin - In: Journal of econometrics 208 (2019) 1, pp. 265-281
Persistent link: https://www.econbiz.de/10012144990
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Unit root tests in the presence of uncertainty about the non-stochastic trend
Ayat, K. Leila; Burridge, Peter - In: Journal of econometrics 95 (2000) 1, pp. 71-96
Persistent link: https://www.econbiz.de/10001432518
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Measuring tail risk
Dierkes, Maik; Hollstein, Fabian; Prokopczuk, Marcel; … - In: Journal of econometrics 241 (2024) 2, pp. 1-24
Persistent link: https://www.econbiz.de/10015075193
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A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael; Medeiros, Marcelo C. - In: Journal of econometrics 147 (2008) 1, pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
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Multivariate rotated ARCH models
Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - In: Journal of econometrics 179 (2014) 1, pp. 16-30
Persistent link: https://www.econbiz.de/10010258286
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Intraday Value-at-Risk : an asymmetric autoregressive conditional duration approach
Liu, Shouwei; Tse, Yiu Kuen - In: Journal of econometrics 189 (2015) 2, pp. 437-446
Persistent link: https://www.econbiz.de/10011504612
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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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Nonparametric estimation and inference for conditional density based Granger causality measures
Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264
Persistent link: https://www.econbiz.de/10010433362
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Nonparametric specification tests for conditional duration models
Fernandes, Marcelo; Grammig, Joachim - In: Journal of econometrics 127 (2005) 1, pp. 35-68
Persistent link: https://www.econbiz.de/10002756914
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The asymptotic null distribution of the Box-Pierce q-statistic for random variables with infinite variance : an application to German stock returns
Runde, Ralf - In: Journal of econometrics 78 (1997) 2, pp. 205-216
Persistent link: https://www.econbiz.de/10001219989