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~subject:"Time series analysis"
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Time series analysis
Theorie
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30,572
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27,572
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17,054
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15,449
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15,123
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13,959
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Volatilität
13,581
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Wirtschaftswachstum
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Spieltheorie
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Zeitreihenanalyse
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Economic growth
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Experiment
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Asymmetrische Information
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Franses, Philip Hans
135
Phillips, Peter C. B.
125
Koopman, Siem Jan
118
Gil-Alaña, Luis A.
111
Caporale, Guglielmo Maria
89
Härdle, Wolfgang
72
Lütkepohl, Helmut
72
Koop, Gary
68
Pesaran, M. Hashem
64
McAleer, Michael
62
Teräsvirta, Timo
61
Harvey, Andrew C.
56
Maravall Herrero, Agustín
56
Sibbertsen, Philipp
56
Swanson, Norman R.
52
Granger, C. W. J.
50
Hyndman, Rob J.
50
Kunst, Robert M.
50
Lucas, André
49
Dijk, Herman K. van
47
Engle, Robert F.
47
Hallin, Marc
46
Hassler, Uwe
46
Marcellino, Massimiliano
45
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
Lux, Thomas
37
Timmermann, Allan
37
Johansen, Søren
36
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National Bureau of Economic Research
67
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45
Ekonomiska forskningsinstitutet <Stockholm>
42
European University Institute / Department of Economics
31
Umeå universitet
11
Econometrisch Instituut <Rotterdam>
8
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
7
Centre for Analytical Finance <Århus>
6
Escola de Pós-Graduação em Economia <Rio de Janeiro>
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Gottfried Wilhelm Leibniz Universität Hannover
6
Umeå Universitet / Institutionen för Nationalekonomi
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Centre for Quantitative Economics & Computing
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Christian-Albrechts-Universität zu Kiel
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London School of Economics and Political Science
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Ludwig-Maximilians-Universität München / Volkswirtschaftliche Fakultät
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University of Cambridge / Department of Applied Economics
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University of Strathclyde / Department of Economics
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Universität Basel / Institut für Statistik und Ökonometrie
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Aarhus Universitet / Afdeling for Nationaløkonomi
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Australian National University / Faculty of Economics and Commerce
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Birkbeck College / Department of Economics
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Norges Bank / Utredningsavdelingen
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Organisation for Economic Co-operation and Development
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Shakai-Keizai-Kenkyūsho <Osaka>
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Sonderforschungsbereich Komplexitätsreduktion in Multivariaten Datenstrukturen <Dortmund>
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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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University of Southampton / Department of Economics
3
Université de Montréal / Département de sciences économiques
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Australien / Bureau of Statistics
2
Center for Economic Research <Tilburg>
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
2
Eric Cuvillier <Firma>
2
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Journal of econometrics
347
International journal of forecasting
319
Economics letters
277
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
244
Journal of forecasting
224
Econometric theory
191
Discussion paper / Tinbergen Institute
173
Econometric reviews
133
Economic modelling
114
Applied economics
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
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
95
Journal of applied econometrics
89
Computational economics
79
Working paper / Department of Econometrics and Business Statistics, Monash University
79
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
71
Applied economics letters
69
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.
59
Energy economics
57
Cowles Foundation discussion paper
55
Journal of empirical finance
55
NBER working paper series
54
Oxford bulletin of economics and statistics
53
CESifo working papers
49
Série des documents de travail / Centre de Recherche en Économie et Statistique
49
Finance research letters
48
SFB 649 discussion paper
48
The econometrics journal
48
European journal of operational research : EJOR
47
Discussion papers of interdisciplinary research project 373
45
EUI working paper / ECO
44
Econometrics : open access journal
44
Discussion paper / Center for Economic Research, Tilburg University
41
The review of economics and statistics
41
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ECONIS (ZBW)
12,623
EconStor
1
ArchiDok
1
RePEc
1
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1
How does short selling affect
liquidity
in financial markets?
Blau, Benjamin
;
Whitby, Ryan J.
- In:
Finance research letters
25
(
2018
),
pp. 244-250
Persistent link: https://www.econbiz.de/10012003551
Saved in:
2
The determinanants of bid-ask spread in the Guyanese FX market
Khemraj, Tarron
;
Pasha, Sukrishnalall
- In:
The journal of developing areas
48
(
2014
)
2
,
pp. 39-62
Persistent link: https://www.econbiz.de/10010364679
Saved in:
3
The logarithmic ACD model : an application to the bid-ask quote process of the NYSE stocks
Bauwens, Luc
;
Giot, Pierre
- In:
Annales d'économie et de statistique
(
2000
),
pp. 117-149
Persistent link: https://www.econbiz.de/10001543399
Saved in:
4
Intraday trading invariancein the E-mini S&P 500 futures market
Andersen, Torben
;
Bondarenko, Oleg
;
Kyle, Albert S.
; …
-
2020
Persistent link: https://www.econbiz.de/10012494219
Saved in:
5
A SHARP model of bid-ask spread forecasts
Cattivelli, Luca
;
Pirino, Davide
- In:
International journal of forecasting
35
(
2019
)
4
,
pp. 1211-1225
Persistent link: https://www.econbiz.de/10012305253
Saved in:
6
A multivariate stochastic unit root model with an application to
derivative
pricing
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
Journal of econometrics
196
(
2017
)
1
,
pp. 99-110
Persistent link: https://www.econbiz.de/10011743783
Saved in:
7
Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying
Liquidity
in High-Frequency Data
Chen, Richard
-
2017
hidden Ito semimartingales, and discuss how to measure
liquidity
risk using high frequency financial data. In particular, we …. Besides it also enables us to empirically measure aggregate
liquidity
risks by these test statistics. As byproducts …
Persistent link: https://www.econbiz.de/10012970519
Saved in:
8
Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.
;
Squartini, T.
;
Kandhai, D.
;
Garlaschelli, D.
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
Saved in:
9
Intraday and intranight bid-ask spreads of American-style 3-year treasury bond options trading on the Sydney futures exchange
Jordan, Cara
;
Rose, Lawrence Craig
-
2001
Persistent link: https://www.econbiz.de/10001674891
Saved in:
10
Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 289-337
Persistent link: https://www.econbiz.de/10012302598
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