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~subject:"Time series analysis"
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Time series analysis
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Franses, Philip Hans
136
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127
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125
Koopman, Siem Jan
118
Caporale, Guglielmo Maria
99
Lütkepohl, Helmut
74
Härdle, Wolfgang
69
Koop, Gary
68
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64
McAleer, Michael
63
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61
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58
Harvey, Andrew C.
56
Maravall Herrero, Agustín
56
Swanson, Norman R.
52
Granger, C. W. J.
50
Hyndman, Rob J.
50
Kunst, Robert M.
50
Marcellino, Massimiliano
48
Dijk, Herman K. van
47
Engle, Robert F.
47
Lucas, André
47
Hallin, Marc
46
Hassler, Uwe
46
Bauwens, Luc
44
Proietti, Tommaso
43
Taylor, Robert
42
Ghysels, Eric
41
Perron, Pierre
41
Gao, Jiti
40
Mills, Terence C.
40
Hendry, David F.
39
Robinson, Peter M.
39
Saikkonen, Pentti
39
Stock, James H.
39
Kapetanios, George
38
Lux, Thomas
38
Timmermann, Allan
38
Feng, Yuanhua
37
Johansen, Søren
36
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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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Australien / Bureau of Statistics
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2
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
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Journal of econometrics
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International journal of forecasting
321
Economics letters
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
242
Journal of forecasting
224
Econometric theory
190
Discussion paper / Tinbergen Institute
171
Econometric reviews
134
Economic modelling
127
Energy economics
127
Applied economics
108
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
103
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
103
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
96
Journal of applied econometrics
89
Computational economics
79
Working paper / Department of Econometrics and Business Statistics, Monash University
79
Applied economics letters
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Working paper
78
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
76
CREATES research paper
70
Journal of economic dynamics & control
68
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
60
NBER Working Paper
59
Working paper / National Bureau of Economic Research, Inc.
57
Cowles Foundation discussion paper
55
NBER working paper series
55
Journal of empirical finance
54
Oxford bulletin of economics and statistics
54
CESifo working papers
53
Finance research letters
53
Série des documents de travail / Centre de Recherche en Économie et Statistique
50
European journal of operational research : EJOR
47
The econometrics journal
47
Discussion papers of interdisciplinary research project 373
46
Econometrics : open access journal
45
SFB 649 discussion paper
45
EUI working paper / ECO
44
Discussion paper / Center for Economic Research, Tilburg University
41
Journal of macroeconomics
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ECONIS (ZBW)
12,971
EconStor
1
ArchiDok
1
Other ZBW resources
1
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1
Predictability of aggregated time series
Ellwanger, Reinhard
;
Snudden, Stephen
-
2021
Persistent link: https://www.econbiz.de/10012617693
Saved in:
2
Forecasting crude oil market volatility : a Markov switching multifractal volatility approach
Wang, Yudong
;
Wu, Chongfeng
;
Li, Yang
- In:
International journal of forecasting
32
(
2016
)
1
,
pp. 1-9
Persistent link: https://www.econbiz.de/10011596312
Saved in:
3
Existence of long memory in crude oil and petroleum products : generalised Hurst exponent approach
Tiwari, Aviral Kumar
;
Umar, Zaghum
;
Alqahtani, Faisal
- In:
Research in international business and finance
57
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013332984
Saved in:
4
Time-frequency co-movements between oil prices and interest rates : evidence from a wavelet-based approach
Mensi, Walid
;
Ur Rehman, Mobeen
;
Al-Yahyaee, Khamis Hamed
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012658657
Saved in:
5
Volatility integration of crude oil, gold, and interest rates on the exchange rate : DCC GARCH and BEKK GARCH applications
Rastogi, Shailesh
;
Kanoujiya, Jagjeevan
;
Doifode, Adesh
- In:
Cogent business & management
11
(
2024
)
1
,
pp. 1-17
Literature is replete with evidence of market integration between crude oil, gold and interest rates (IR) with the exchange rate (ER) due to varied reasons. However, it is observed that the explored market integration is limited for the price and return volatilities. Bivariate GARCH models...
Persistent link: https://www.econbiz.de/10014543455
Saved in:
6
An asset pricing approach to testing general term structure models including Heath-Jarrow-Morton specifications and affine subclasses
Christensen, Bent Jesper
;
Wel, Michael van der
-
2010
Persistent link: https://www.econbiz.de/10003947812
Saved in:
7
Extending the Fama and French model with a long term memory factor
López-García, M. N.
;
Trinidad-Segovia, J. E.
; …
- In:
European journal of operational research : EJOR
291
(
2021
)
2
,
pp. 421-426
Persistent link: https://www.econbiz.de/10012495319
Saved in:
8
Quantitative corporate finance
Guerard, John Baynard
;
Saxena, Anureet
;
Gültekin, …
-
2021
-
Second edition
and the Cost of Funds -- Chapter 11. Investing in Assets:
Theory
of Investment Decision Making -- Chapter 12. Regression …
Persistent link: https://www.econbiz.de/10012203303
Saved in:
9
Predicting oil prices : an analysis of oil price volatility cycle and financial markets
Zhao, Lu-Tao
;
Wang, Zi-Jie
;
Wang, Shu-Ping
;
He, Ling-yun
- In:
Emerging markets, finance & trade : a journal of the …
57
(
2021
)
4
,
pp. 1068-1087
Persistent link: https://www.econbiz.de/10012483300
Saved in:
10
Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility
Tabak, Benjamin Miranda
;
Cajueiro, Daniel Oliveira
- In:
Energy economics
29
(
2007
)
1
,
pp. 28-36
Persistent link: https://www.econbiz.de/10003413296
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