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Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model
Hautsch, Nikolaus - In: Journal of economic dynamics & control 32 (2008) 12, pp. 3978-4015
Persistent link: https://www.econbiz.de/10003804813
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The yield curve and the macro-economy across time and frequencies
Aguiar-Conraria, Luís; Martins, Manuel Mota Freitas; … - In: Journal of economic dynamics & control 36 (2012) 12, pp. 1950-1970
Persistent link: https://www.econbiz.de/10009701904
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A dynamic autoregressive expectile for time-invariant portfolio protection strategies
Hamidi, Benjamin; Maillet, Bertrand; Prigent, Jean-Luc - In: Journal of economic dynamics & control 46 (2014), pp. 1-29
Persistent link: https://www.econbiz.de/10010474410
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Do TFP and the relative price of investment share a common I(1) component?
Benati, Luca - In: Journal of economic dynamics & control 45 (2014), pp. 239-261
Persistent link: https://www.econbiz.de/10010474428
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Correlated income shocks and excess smoothness of consumption
Hryshko, Dmytro - In: Journal of economic dynamics & control 48 (2014), pp. 41-62
Persistent link: https://www.econbiz.de/10010485838
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What does financial volatility tell us about macroeconomic fluctuations?
Chauvet, Marcelle; Senyuz, Zeynep; Yoldas, Emre - In: Journal of economic dynamics & control 52 (2015), pp. 340-360
Persistent link: https://www.econbiz.de/10011474221
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Conditional testing for unit-root bilinearity in financial time series : some theoretical and empirical results
Charemza, Wojciech; Lifshits, Mikhail; Makarova, Svetlana - In: Journal of economic dynamics & control 29 (2005) 1/2, pp. 63-96
Persistent link: https://www.econbiz.de/10002590137
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Forecasting in the presence of large shocks
Phillips, Robert F. - In: Journal of economic dynamics & control 20 (1996) 9, pp. 1581-1608
Persistent link: https://www.econbiz.de/10001209461
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A critique of the application of unit root tests
Cochrane, John H. - In: Journal of economic dynamics & control 15 (1991) 2, pp. 275-284
Persistent link: https://www.econbiz.de/10001099501
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A new statistic and practical guidelines for nonparametric Granger causality testing
Diks, Cees G. H.; Panchenko, Valentyn - In: Journal of economic dynamics & control 30 (2006) 9/10, pp. 1647-1669
Persistent link: https://www.econbiz.de/10003370351