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Consumption, aggregate wealth and expected stock returns : an FCVAR approach
Quineche, Ricardo - In: Journal of time series econometrics 13 (2021) 1, pp. 21-42
Persistent link: https://www.econbiz.de/10012437824
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Testing for a change in mean under fractional integration
Iacone, Fabrizio; Leybourne, Stephen James; Taylor, Robert - In: Journal of time series econometrics 9 (2017) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10011671125
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On identifying structural VAR models via ARCH effects
Milunovich, George; Yang, Minxian - In: Journal of time series econometrics 5 (2013) 2, pp. 117-131
Persistent link: https://www.econbiz.de/10010225458
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Forecasting volatility and the risk-return tradeoff : an application on the Fama-French benchmark market return
Vafiadis, Nikolaos - In: Journal of time series econometrics 7 (2015) 2, pp. 181-216
Persistent link: https://www.econbiz.de/10011291298
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Methods for computing numerical standard errors : review and application to value-at-risk estimation
Ardia, David; Bluteau, Keven; Hoogerheide, Lennart - In: Journal of time series econometrics 10 (2018) 2, pp. 1-9
Persistent link: https://www.econbiz.de/10011898020