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A multivariate extension of th...
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Zeitreihenanalyse
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Franses, Philip Hans
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Gil-Alaña, Luis A.
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Caporale, Guglielmo Maria
101
Sibbertsen, Philipp
79
Lütkepohl, Helmut
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Koop, Gary
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70
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69
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Hallin, Marc
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Granger, C. W. J.
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Dijk, Herman K. van
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Feng, Yuanhua
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Lux, Thomas
48
Marcellino, Massimiliano
48
Bauwens, Luc
47
Engle, Robert F.
46
Timmermann, Allan
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Kapetanios, George
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Perron, Pierre
43
Proietti, Tommaso
43
Saikkonen, Pentti
43
Beran, Jan
42
Taylor, Robert
42
Dijk, Dick van
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Ghysels, Eric
41
Robinson, Peter M.
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Hendry, David F.
39
Mills, Terence C.
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Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
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Organisation for Economic Co-operation and Development
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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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Center for Economic Research <Tilburg>
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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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De Gruyter Oldenbourg
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Journal of econometrics
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International journal of forecasting
332
Economics letters
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of forecasting
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Econometric theory
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Discussion paper / Tinbergen Institute
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Econometric reviews
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Economic modelling
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Applied economics
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
104
Journal of applied econometrics
95
Working paper / Department of Econometrics and Business Statistics, Monash University
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Working paper
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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
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CREATES research paper
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Energy economics
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Journal of economic dynamics & control
67
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
60
NBER Working Paper
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Oxford bulletin of economics and statistics
59
CESifo working papers
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Cowles Foundation discussion paper
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Working paper / National Bureau of Economic Research, Inc.
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NBER working paper series
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The econometrics journal
53
Finance research letters
52
Journal of empirical finance
52
Série des documents de travail / Centre de Recherche en Économie et Statistique
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Tinbergen Institute Discussion Paper
50
Econometrics : open access journal
49
Discussion papers of interdisciplinary research project 373
47
European journal of operational research : EJOR
47
Technical Report
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EUI working paper / ECO
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ECONIS (ZBW)
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EconStor
325
USB Cologne (EcoSocSci)
7
ArchiDok
1
RePEc
1
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1
Multivariate multifractal models : estimation of parameters and applications to risk management
Liu, Ruipeng
-
2008
Persistent link: https://www.econbiz.de/10003778163
Saved in:
2
A multivariate innovations state space BeveridgeNelson decomposition
De Silva, Ashton
;
Hyndman, Rob J.
;
Snyder, Ralph D.
- In:
Economic modelling
26
(
2009
)
5
,
pp. 1067-1074
Persistent link: https://www.econbiz.de/10003871265
Saved in:
3
Business cycle analysis with multivariate Markov switching models
Anas, Jacques
;
Billio, Monica
;
Ferrara, Laurent
;
Lo …
- In:
Growth and cycle in the Euro-zone
,
(pp. 249-260)
.
2006
Persistent link: https://www.econbiz.de/10003412214
Saved in:
4
Business cycle analysis with multivariate Markov switching models
Anas, Jacques
;
Billio, Monica
;
Ferrara, Laurent
;
Lo …
-
2007
Persistent link: https://www.econbiz.de/10003912305
Saved in:
5
Long-term vs. short-term comovements in stock markets : the use of Markov-switching multifractal models
Idier, Julien
- In:
The European journal of finance
17
(
2011
)
1/2
,
pp. 27-48
Persistent link: https://www.econbiz.de/10009155466
Saved in:
6
Multivariate stochastic volatility with dynamic cross leverage
Trojan, Sebastian
-
2014
Persistent link: https://www.econbiz.de/10010437486
Saved in:
7
Fourth moment structure of markov switching multivariate GARCH models
Cavicchioli, Maddalena
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 565-582
Persistent link: https://www.econbiz.de/10012654989
Saved in:
8
Hierarchical Markov-switching models for multivariate integer-valued time-series
Catania, Leopoldo
;
Di Mari, Roberto
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 118-137
Persistent link: https://www.econbiz.de/10012618804
Saved in:
9
Hidden Markov and Semi-Markov models with multivariate leptokurtic-normal components for robust modeling of daily returns series
Maruotti, Antonello
;
Punzo, Antonio
;
Bagnato, Luca
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 91-117
Persistent link: https://www.econbiz.de/10012054429
Saved in:
10
Stationary vine copula models for multivariate time series
Nagler, Thomas
;
Krüger, Daniel
;
Min, Aleksey
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 305-324
Persistent link: https://www.econbiz.de/10013441987
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