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Non-parametric determination of real-time lag structure between two time series: The "optimal thermal causal path" method with applications to economic data

Zhou, Wei-Xing; Sornette, Didier - In: Journal of macroeconomics 28 (2006) 1, pp. 195-224

Persistent link: https://www.econbiz.de/10003291163

Essays in long memory and stock market volatility

Liu, Ming - 1996

Persistent link: https://www.econbiz.de/10001353978

Detection of lead-lag relationships using both time domain and time-frequency domain : an application to wealth-to-income ratio

Skoura, Angeliki - In: Economies : open access journal 7 (2019) 2/28, pp. 1-27

The objective of this paper is the joint application of two different methodological concepts for the detection of lead-lag relationships in economic time-series in order to investigate their consistency and their potential complementarity. The first methodology, a time domain analysis based on...

Persistent link: https://www.econbiz.de/10012021697

Decomposition of economic relationships by timescale using wavelets : money and income

Ramsey, James B.; Lampart, Camille - In: Macroeconomic dynamics 2 (1998) 1, pp. 49-71

Persistent link: https://www.econbiz.de/10001617050

Time irreversibility and business cycle asymmetry

Ramsey, James B. - In: Journal of money, credit and banking : JMCB 28 (1996) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10001199220

The decomposition of economic relationships by time scale using wavelets : expenditure and income

Ramsey, James B. (contributor); Lampart, Camille (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 3 (1998) 1, pp. 23-42

Persistent link: https://www.econbiz.de/10001769695

Measuring the impact of R&D on productivity from a econometric time series perspective

Balcombe, Kelvin G.; Bailey, Alastair; Fraser, Iain M. - In: Journal of productivity analysis 24 (2005) 1, pp. 49-72

Persistent link: https://www.econbiz.de/10003085129

Momentum, business cycle, and time-varying expected returns

Chordia, Tarun; Shivakumar, Lakshmanan - In: The journal of finance : the journal of the American … 57 (2002) 2, pp. 985-1019

Persistent link: https://www.econbiz.de/10001684740

Integration of stock markets using autoregressive distributed lag bounds test approach

Patel, Nikunj; Patel, Bhavesh - In: Global business & economics review 26 (2022) 1, pp. 37-64

Persistent link: https://www.econbiz.de/10012798071

Diesel and soybean price relationship in the USA : evidence from a quantile autoregressive distributed lag model

Pal, Debdatta; Mitra, Subrata Kumar - In: Empirical economics : a journal of the Institute for … 52 (2017) 4, pp. 1609-1626

Persistent link: https://www.econbiz.de/10011947327

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