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Testing for linear autoregressive dynamics under heteroskedasticity

Hafner, Christian M.; Herwartz, Helmut - In: The econometrics journal 3 (2000) 2, pp. 177-197

Persistent link: https://www.econbiz.de/10001546181

Exact inference in diagnosing Value-at-Risk estimates : a Monte Carlo device

Herwartz, Helmut - In: Economics letters 103 (2009) 3, pp. 160-162

Persistent link: https://www.econbiz.de/10003854913

Testing the value of directional forecasts in the presence of serial correlation

Blaskowitz, Oliver Jim; Herwartz, Helmut - In: International journal of forecasting 30 (2013) 1, pp. 30-42

Persistent link: https://www.econbiz.de/10010243646

Testing for causality in variance using multivariate GARCH models

Hafner, Christian M.; Herwartz, Helmut - In: Annales d'économie et de statistique 89 (2008), pp. 215-241

Persistent link: https://www.econbiz.de/10003875586

A Lagrange multiplier test for causality in variance

Hafner, Christian M.; Herwartz, Helmut - In: Economics letters 93 (2006) 1, pp. 137-141

Persistent link: https://www.econbiz.de/10003380170

Anonymized firm data under test : evidence from a replication study

Wagner, Joachim - In: Jahrbücher für Nationalökonomie und Statistik 225 (2005) 5, pp. 584-591

This paper contributes to the literature on the use of anonymized firm level data by reporting results from a replication study. To test for the practical usefulness of anonymized data I selected two of my published papers based on different cross sections of firm data. The data used there were...

Persistent link: https://www.econbiz.de/10003101087

Performance of periodic time series models in forecasting

Herwartz, Helmut - In: Empirical economics : a journal of the Institute for … 24 (1999) 2, pp. 271-301

Persistent link: https://www.econbiz.de/10001388900

Does the plant size-wage differential increase with tenure? : affirming evidence from German panel data

Fackler, Daniel; Schank, Thorsten; Schnabel, Claus - In: Economics letters 135 (2015), pp. 9-11

Persistent link: https://www.econbiz.de/10011434753

Heteroskedasticity robust panel unit root testing under variance breaks in pooled regressions

Herwartz, Helmut; Siedenburg, Florian; Yabibal Mulualem … - In: Econometric reviews 35 (2016) 5/7, pp. 727-750

Persistent link: https://www.econbiz.de/10011589870

Multivariate volatility models

Fengler, Matthias; Herwartz, Helmut; Raters, F. H. C. - In: Applied quantitative finance, (pp. 25-37). 2017

Persistent link: https://www.econbiz.de/10011794951