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~subject:"Time series analysis"
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Time series analysis
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Franses, Philip Hans
135
Phillips, Peter C. B.
125
Koopman, Siem Jan
121
Gil-Alaña, Luis A.
115
Caporale, Guglielmo Maria
94
Härdle, Wolfgang
73
Lütkepohl, Helmut
72
Koop, Gary
69
Pesaran, M. Hashem
69
Teräsvirta, Timo
61
McAleer, Michael
59
Sibbertsen, Philipp
59
Harvey, Andrew C.
56
Maravall Herrero, Agustín
56
Lucas, André
52
Swanson, Norman R.
52
Granger, C. W. J.
50
Hyndman, Rob J.
50
Kunst, Robert M.
50
Engle, Robert F.
49
Dijk, Herman K. van
47
Hassler, Uwe
47
Marcellino, Massimiliano
47
Hallin, Marc
46
Bauwens, Luc
43
Proietti, Tommaso
43
Taylor, Robert
42
Ghysels, Eric
41
Perron, Pierre
41
Gao, Jiti
40
Hendry, David F.
39
Mills, Terence C.
39
Robinson, Peter M.
39
Saikkonen, Pentti
39
Stock, James H.
39
Feng, Yuanhua
38
Kapetanios, George
37
Ravazzolo, Francesco
37
Timmermann, Allan
37
Dijk, Dick van
36
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National Bureau of Economic Research
67
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42
European University Institute / Department of Economics
31
Umeå universitet
11
Econometrisch Instituut <Rotterdam>
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Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
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Gottfried Wilhelm Leibniz Universität Hannover
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Escola de Pós-Graduação em Economia <Rio de Janeiro>
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Australian National University / Faculty of Economics and Commerce
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Organisation for Economic Co-operation and Development
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Shakai-Keizai-Kenkyūsho <Osaka>
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Studiecentrum voor Economisch en Sociaal Onderzoek / Vakgroep Macro-Economie
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University of Chicago / Center for Research in Security Prices
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Université de Montréal / Département de sciences économiques
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Australien / Bureau of Statistics
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Center for Economic Research <Tilburg>
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Conference Nonlinear Dynamics and Economics <1992, Florenz>
2
Conference on Applied Probability and Time Series Analysis <1995, Athen>
2
De Gruyter Oldenbourg
2
Econometric Society
2
Eric Cuvillier <Firma>
2
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Journal of econometrics
331
International journal of forecasting
321
Economics letters
276
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
240
Journal of forecasting
226
Econometric theory
190
Discussion paper / Tinbergen Institute
177
Econometric reviews
133
Economic modelling
116
Applied economics
105
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
103
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
99
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
97
Journal of applied econometrics
90
Working paper / Department of Econometrics and Business Statistics, Monash University
80
Computational economics
78
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
77
Working paper
75
CREATES research paper
73
Applied economics letters
72
Journal of economic dynamics & control
68
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
60
Energy economics
59
Journal of empirical finance
59
NBER Working Paper
57
Working paper / National Bureau of Economic Research, Inc.
56
Cowles Foundation discussion paper
55
NBER working paper series
54
CESifo working papers
53
Oxford bulletin of economics and statistics
53
Finance research letters
51
The econometrics journal
50
SFB 649 discussion paper
49
Série des documents de travail / Centre de Recherche en Économie et Statistique
49
European journal of operational research : EJOR
48
Discussion papers of interdisciplinary research project 373
46
EUI working paper / ECO
44
Econometrics : open access journal
44
Discussion paper / Center for Economic Research, Tilburg University
42
The review of economics and statistics
41
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ECONIS (ZBW)
12,808
RePEc
2
EconStor
1
ArchiDok
1
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1
Risk aggregation with copula for banking industry
Yoshiba, Toshinao
-
2015
Persistent link: https://www.econbiz.de/10011375924
Saved in:
2
Zeitreihenmodelle zur Schätzung des Value at Risk von Aktien : Beurteilung im Hinblick auf die bankenaufsichtsrechtlichen Bestimmungen
Neumann, Kristin
-
2000
Persistent link: https://www.econbiz.de/10001441505
Saved in:
3
Cyclicality and term structure of value‐at‐risk within a threshold autoregression setup
Bec, Frédérique
;
Gollier, Christian
-
2014
Persistent link: https://www.econbiz.de/10010415730
Saved in:
4
Quantification of spread risk by means of historical simulation
Frisch, Christoph
;
Knöchlein, Germar
- In:
Applied quantitative finance
,
(pp. 37-67)
.
2009
Persistent link: https://www.econbiz.de/10003745948
Saved in:
5
Quantification of spread risk by means of historical simulation
Frisch, Christoph
;
Knöchlein, Germar
- In:
Applied quantitative finance : theory and computational …
,
(pp. 51-83)
.
2002
Persistent link: https://www.econbiz.de/10001749973
Saved in:
6
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing
;
Ke, Yuan
;
Liao, Yuan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
Saved in:
7
Long vs. short term asymmetry in volatility and the term structure of risk
Lönnbark, Carl
- In:
Finance research letters
23
(
2017
),
pp. 202-209
Persistent link: https://www.econbiz.de/10011808396
Saved in:
8
Quantitative risk management : concepts, techniques and tools
McNeil, Alexander J.
;
Frey, Rüdiger
;
Embrechts, Paul
-
2005
Persistent link: https://www.econbiz.de/10002934295
Saved in:
9
Predicting and hedging credit portfolio risk with macroeconomic factors
Bär, Tobias
-
2002
Persistent link: https://www.econbiz.de/10001649713
Saved in:
10
Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
Jin, Xisong
;
Lehnert, Thorsten
-
2017
Persistent link: https://www.econbiz.de/10011817658
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