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subject:"Time series analysis"
subject:"United States"
~isPartOf:"Discussion paper / Department of Economics, University of California San Diego"
~person:"Engle, Robert F."
~person:"Timmermann, Allan"
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Time series analysis
United States
Estimation
18
Schätzung
18
Theorie
10
Theory
10
Capital income
7
Kapitaleinkommen
7
USA
7
Forecasting model
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Option pricing theory
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1990-1991
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1897-1996
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1954-1997
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Engle, Robert F.
Timmermann, Allan
Granger, C. W. J.
3
Hamilton, James D.
2
Owyang, Michael T.
2
Ramey, Garey
2
Ramey, Valerie A.
2
Russell, Jeffrey R.
2
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1
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1
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1
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1
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1
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1
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1
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1
Jeon, Yongil
1
Lange, Joe
1
MacKinnon, James G.
1
Manganelli, Simone
1
Patton, Andrew J.
1
Pesaran, M. Hashem
1
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1
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1
Sullivan, Ryan
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Discussion paper / Department of Economics, University of California San Diego
Discussion paper / Centre for Economic Policy Research
8
Working paper / National Bureau of Economic Research, Inc.
7
Discussion paper series / LSE Financial Markets Group
4
The journal of finance : the journal of the American Finance Association
4
CESifo working papers
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Forecasting volatility in the financial markets
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of financial economics
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2
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Nonlinear dynamics and economics : proceedings of the Tenth Internat. Symposium in Economic Theory and Econometrics
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ECONIS (ZBW)
9
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1
Impacts of trades in an error-correction model of quote prices
Engle, Robert F.
;
Patton, Andrew J.
-
2000
Persistent link: https://www.econbiz.de/10001541189
Saved in:
2
Time and the price impact of a trade
Dufour, Alfonso
;
Engle, Robert F.
-
1999
Persistent link: https://www.econbiz.de/10001395161
Saved in:
3
Model instability and choice of observation window
Pesaran, M. Hashem
;
Timmermann, Allan
-
1999
Persistent link: https://www.econbiz.de/10001412208
Saved in:
4
CAViaR : conditional autoregressive value at risk by regression quantiles
Engle, Robert F.
;
Manganelli, Simone
-
1999
Persistent link: https://www.econbiz.de/10001441337
Saved in:
5
Dangers of data-driven inference : the case of calendar effects in stock returns
Sullivan, Ryan
;
Timmermann, Allan
;
White, Halbert
-
1998
Persistent link: https://www.econbiz.de/10000988757
Saved in:
6
Econometric analysis of discrete-valued irregulary-spaced financial transactions data using a new autoregressive conditional multinominal model
Russell, Jeffrey R.
;
Engle, Robert F.
-
1998
Persistent link: https://www.econbiz.de/10000988764
Saved in:
7
Measuring, forecasting and explaining time varying liquidity in the stock market
Engle, Robert F.
;
Lange, Joe
-
1997
Persistent link: https://www.econbiz.de/10000996023
Saved in:
8
Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
Engle, Robert F.
;
Russell, Jeffrey R.
-
1995
Persistent link: https://www.econbiz.de/10000929607
Saved in:
9
Non-synchronous common cycles
Vahid, Farshid
;
Engle, Robert F.
-
1993
Persistent link: https://www.econbiz.de/10000878060
Saved in:
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