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Cointegration
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Phillips, Peter C. B.
10
Boswijk, Herman Peter
7
Johansen, Søren
6
Robinson, Peter M.
6
Lütkepohl, Helmut
5
Nielsen, Morten Ørregaard
5
Paruolo, Paolo
5
Rahbek, Anders
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Xiao, Zhijie
5
Andersen, Torben
4
Engle, Robert F.
4
Gao, Jiti
4
Park, Joon Y.
4
Saikkonen, Pentti
4
Taylor, Robert
4
Wagner, Martin
4
Bollerslev, Tim
3
Chang, Yoosoon
3
Corradi, Valentina
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Diebold, Francis X.
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Dijk, Dick van
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Ghysels, Eric
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Hualde, Javier
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Jong, Robert M. de
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Kleibergen, Frank
3
Kristensen, Dennis
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Renault, Eric
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Seo, Byeongseon
3
Swanson, Norman R.
3
Tauchen, George Eugene
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Todorov, Viktor
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Tu, Yundong
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Urga, Giovanni
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Veredas, David
3
Wang, Qiying
3
Zakoïan, Jean-Michel
3
Baltagi, Badi H.
2
Barigozzi, Matteo
2
Breitung, Jörg
2
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Journal of econometrics
NBER working paper series
743
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728
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595
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594
IMF Working Papers
484
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479
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198
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198
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193
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183
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182
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174
Staff working paper / Bank of Canada
172
IMF Staff Country Reports
167
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166
Journal of economic dynamics & control
164
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
159
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ECONIS (ZBW)
217
USB Cologne (EcoSocSci)
1
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1
Estimation of dynamic panel spatial vector autoregression : stability and spatial multivariate
cointegration
Yang, Kai
;
Lee, Lung-fei
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 337-367
Persistent link: https://www.econbiz.de/10012618869
Saved in:
2
A unified approach to nonlinearity, structural change, and outliers
Giordani, Paolo
;
Kohn, Robert
;
Dijk, Dick van
- In:
Journal of econometrics
137
(
2007
)
1
,
pp. 112-133
Persistent link: https://www.econbiz.de/10003425516
Saved in:
3
Consistent cross-validatory model-selection for dependent data : hv-block cross-validation
Racine, Jeffrey
- In:
Journal of econometrics
99
(
2000
)
1
,
pp. 39-61
Persistent link: https://www.econbiz.de/10001504420
Saved in:
4
A long-run pure variance common features model for the common volatilities of the Dow Jones
Engle, Robert F.
;
Marcucci, Juri
- In:
Journal of econometrics
132
(
2006
)
1
,
pp. 7-42
Persistent link: https://www.econbiz.de/10003320235
Saved in:
5
Threshold bipower variation and the impact of jumps on volatility forecasting
Corsi, Fulvio
;
Pirino, Davide
;
Renò, Roberto
- In:
Journal of econometrics
159
(
2010
)
2
,
pp. 276-288
Persistent link: https://www.econbiz.de/10008840480
Saved in:
6
Extracting a common stochastic trend : theory with some applications
Chang, Yoosoon
;
Miller, J. Isaac
;
Park, Joon Y.
- In:
Journal of econometrics
150
(
2009
)
2
,
pp. 231-247
Persistent link: https://www.econbiz.de/10003858585
Saved in:
7
On the jump activity index for semimartingales
Jing, Bingyi
;
Kong, Xinbing
;
Liu, Zhi
;
Mykland, Per A.
- In:
Journal of econometrics
166
(
2012
)
2
,
pp. 213-223
Persistent link: https://www.econbiz.de/10009509230
Saved in:
8
Jump tails, extreme dependencies, and the distribution of stock returns
Bollerslev, Tim
;
Todorov, Viktor
;
Li, Sophia Zhengzi
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 307-324
Persistent link: https://www.econbiz.de/10009706199
Saved in:
9
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
Saved in:
10
The fine structure of equity-index option dynamics
Andersen, Torben
;
Bondarenko, Oleg
;
Todorov, Viktor
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
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