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Structural analysis of vector error correction models with exogenous I (1) variables
Pesaran, M. Hashem; Shin, Yongcheol; Smith, Richard J. - In: Journal of econometrics 97 (2000) 2, pp. 293-343
Persistent link: https://www.econbiz.de/10001496593
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Cointegration and speed of convergence to equilibrium
Pesaran, M. Hashem - In: Journal of econometrics 71 (1996) 1, pp. 117-143
Persistent link: https://www.econbiz.de/10001194740
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Pricing foreign currency options with stochastic volatility
Melino, Angelo - In: Journal of econometrics 45 (1990) 1, pp. 239-265
Persistent link: https://www.econbiz.de/10001332073
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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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Forecasting using a large number of predictors : is Bayesian shrinkage a valid alternative to principal components?
De Mol, Christine; Giannone, Domenico; Reichlin, Lucrezia - In: Journal of econometrics 146 (2008) 2, pp. 318-328
Persistent link: https://www.econbiz.de/10003782984
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Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
Chen, Xiaohong; Fan, Yanqin - In: Journal of econometrics 135 (2006) 1/2, pp. 125-154
Persistent link: https://www.econbiz.de/10003376080
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The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - In: Journal of econometrics 160 (2011) 1, pp. 48-57
Persistent link: https://www.econbiz.de/10009242554
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A time series model for an exchange rate in a target zone with applications
Lundbergh, Stefan; Teräsvirta, Timo - In: Journal of econometrics 131 (2006) 1/2, pp. 579-609
Persistent link: https://www.econbiz.de/10003298619
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Residual log-periodogram inference for long-run relationships
Hassler, Uwe; Mármol, Francesc; Valasco, Carlos - In: Journal of econometrics 130 (2006) 1, pp. 165-207
Persistent link: https://www.econbiz.de/10003228637
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Semiparametric estimation of long-memory volatility dependencies : the role of high-frequency data
Bollerslev, Tim; Wright, Jonathan H. - In: Journal of econometrics 98 (2000) 1, pp. 81-106
Persistent link: https://www.econbiz.de/10001497682