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Time series analysis
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Franses, Philip Hans
138
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122
McAleer, Michael
87
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79
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72
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68
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64
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57
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56
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54
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51
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51
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47
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47
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44
Dijk, Dick van
44
Gao, Jiti
43
Ghysels, Eric
43
Proietti, Tommaso
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Perron, Pierre
42
Feng, Yuanhua
41
Watson, Mark W.
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39
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39
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39
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Conference Nonlinear Dynamics and Economics <1992, Florenz>
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Conference on Applied Probability and Time Series Analysis <1995, Athen>
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2
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Journal of econometrics
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International journal of forecasting
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Economics letters
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Econometric reviews
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Applied economics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Energy economics
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
103
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
103
Journal of applied econometrics
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CREATES research paper
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Working paper / Department of Econometrics and Business Statistics, Monash University
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Computational economics
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Applied economics letters
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
79
Journal of empirical finance
76
Journal of economic dynamics & control
75
Finance research letters
61
NBER Working Paper
61
Working paper / National Bureau of Economic Research, Inc.
61
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
60
CESifo working papers
59
NBER working paper series
58
Cowles Foundation discussion paper
57
Oxford bulletin of economics and statistics
55
The econometrics journal
55
Econometrics : open access journal
52
SFB 649 discussion paper
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Série des documents de travail / Centre de Recherche en Économie et Statistique
50
Discussion papers of interdisciplinary research project 373
48
European journal of operational research : EJOR
48
International review of economics & finance : IREF
47
The North American journal of economics and finance : a journal of financial economics studies
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International review of financial analysis
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ECONIS (ZBW)
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RePEc
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EconStor
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1
Regression models for ordinal valued time series : estimation and applications in finance
Müller, Gernot
(
contributor
)
-
2004
Persistent link: https://www.econbiz.de/10002977333
Saved in:
2
Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic
volatility
Bos, Charles S.
-
2008
Persistent link: https://www.econbiz.de/10003645209
Saved in:
3
Interest rate models -
theory
and practice : with smile, inflation and credit ; with 131 tables
Brigo, Damiano
;
Mercurio, Fabio
-
2006
-
2. ed.
Persistent link: https://www.econbiz.de/10002116360
Saved in:
4
On some classes of continuous time series models and their use in financial economics
Surulescu, Nicolae Mircea
-
2010
Persistent link: https://www.econbiz.de/10008935502
Saved in:
5
Limit moves as censored observations of equilibrium futures price in GARCH processes
Morgan, Ieuan G.
;
Trevor, Robert G.
-
1997
Persistent link: https://www.econbiz.de/10000978435
Saved in:
6
Long term forecasts of
volatility
in the market for crude oil : do futures prices offer any clues?
Brochu, Stephen M.
-
2002
Persistent link: https://www.econbiz.de/10001875427
Saved in:
7
Limit moves as censored observations of equilibrium futures price in GARCH processes
Morgan, Ieuan G.
;
Trevor, Robert G.
- In:
Journal of business & economic statistics : JBES ; a …
17
(
1999
)
4
,
pp. 397-408
Persistent link: https://www.econbiz.de/10001412844
Saved in:
8
A functional time series analysis of forward curves derived from commodity futures
Horváth, Lajos
;
Liu, Zhenya
;
Rice, Gregory
;
Wang, Shixuan
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 646-665
Persistent link: https://www.econbiz.de/10012415316
Saved in:
9
Dynamic hedging with futures : a copula-based GARCH model with high-frequency data
Lai, Yu-Sheng
- In:
Review of derivatives research
21
(
2018
)
3
,
pp. 307-329
Persistent link: https://www.econbiz.de/10012055744
Saved in:
10
Ordinal- and continuous-response stochastic
volatility
models for price changes : an empirical comparison
Czado, Claudia
;
Müller, Gernot
;
Nguyen, Thi-Ngoc-Giau
- In:
Statistical modelling and regression structures : …
,
(pp. 301-320)
.
2010
Persistent link: https://www.econbiz.de/10003964492
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