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subject:"United States"
~isPartOf:"Journal of empirical finance"
~subject:"Structural break"
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Search: subject_exact:"Time series analysis"
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United States
Structural break
Time series analysis
105
Zeitreihenanalyse
105
Theorie
52
Theory
52
Volatility
47
Volatilität
47
Capital income
37
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37
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Kim, Chang-Jin
2
Nelson, Charles R.
2
Berens, Tobias
1
Brooks, Robert
1
Caporin, Massimiliano
1
Chatzikonstanti, Vasiliki
1
Dijk, Ronald van
1
Ding, Zhuanxin
1
Du, Ding
1
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1
Engel, Charles
1
Engle, Robert F.
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
Lee, Bong-soo
1
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1
Malik, Farooq
1
Myers, Robert J.
1
Pedersen, Thomas Q.
1
Rodrigues, Paulo M. M.
1
Rubia, Antonio
1
Startz, Richard
1
Teterin, Pavel
1
Venetis, Ioannis A.
1
Wang, Jian-xin
1
Weiß, Gregor
1
Wied, Dominik
1
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Journal of empirical finance
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
103
Applied economics
75
Economics letters
68
Working paper / National Bureau of Economic Research, Inc.
59
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
55
Journal of econometrics
53
International journal of forecasting
51
Economic modelling
48
Journal of applied econometrics
43
Journal of macroeconomics
41
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
38
Applied economics letters
37
The review of economics and statistics
37
Discussion paper / Tinbergen Institute
36
Discussion paper / Centre for Economic Policy Research
33
Journal of money, credit and banking : JMCB
33
Working paper
32
CESifo working papers
30
Energy economics
30
The journal of futures markets
29
Journal of forecasting
28
The journal of finance : the journal of the American Finance Association
28
CREATES research paper
25
Journal of monetary economics
23
Oxford bulletin of economics and statistics
22
Econometric reviews
21
International review of economics & finance : IREF
20
Applied financial economics
19
Economics and finance working paper series
19
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
19
NBER working paper series
18
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
18
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
17
The review of financial studies
17
Journal of economic dynamics & control
16
Macroeconomic dynamics
16
American journal of agricultural economics
15
Finance and economics discussion series
15
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
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ECONIS (ZBW)
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1
Do structural breaks in volatility cause spurious volatility transmission?
Caporin, Massimiliano
;
Malik, Farooq
- In:
Journal of empirical finance
55
(
2020
),
pp. 60-82
Persistent link: https://www.econbiz.de/10012175260
Saved in:
2
Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets
Teterin, Pavel
;
Brooks, Robert
;
Enders, Walter
- In:
Journal of empirical finance
38
(
2016
),
pp. 22-36
Persistent link: https://www.econbiz.de/10011663220
Saved in:
3
Testing for structural breaks in correlations : does it improve Value-at-Risk forecasting?
Berens, Tobias
;
Weiß, Gregor
;
Wied, Dominik
- In:
Journal of empirical finance
32
(
2015
),
pp. 135-152
Persistent link: https://www.econbiz.de/10011556809
Saved in:
4
Long memory in log-range series : do structural breaks matter?
Chatzikonstanti, Vasiliki
;
Venetis, Ioannis A.
- In:
Journal of empirical finance
33
(
2015
),
pp. 104-113
Persistent link: https://www.econbiz.de/10011556856
Saved in:
5
Persistence in the banking industry : fractional integration and breaks in memory
Hassler, Uwe
;
Rodrigues, Paulo M. M.
;
Rubia, Antonio
- In:
Journal of empirical finance
29
(
2014
),
pp. 95-112
Persistent link: https://www.econbiz.de/10011300502
Saved in:
6
Another look at the cross-section and time-series of stock returns : 1951 to 2011
Du, Ding
- In:
Journal of empirical finance
20
(
2013
),
pp. 130-146
Persistent link: https://www.econbiz.de/10009717865
Saved in:
7
On the risk return relationship
Wang, Jian-xin
;
Yang, Minxian
- In:
Journal of empirical finance
21
(
2013
),
pp. 132-141
Persistent link: https://www.econbiz.de/10009745277
Saved in:
8
The dividend-price ratio does predict dividend growth : international evidence
Engsted, Tom
;
Pedersen, Thomas Q.
- In:
Journal of empirical finance
17
(
2010
)
4
,
pp. 585-605
Persistent link: https://www.econbiz.de/10009267268
Saved in:
9
Stock selection, style rotation, and risk
Lucas, André
;
Dijk, Ronald van
;
Kloek, Teunis
- In:
Journal of empirical finance
9
(
2002
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10001655776
Saved in:
10
Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization
Kim, Chang-Jin
;
Nelson, Charles R.
;
Startz, Richard
- In:
Journal of empirical finance
5
(
1998
)
2
,
pp. 131-154
Persistent link: https://www.econbiz.de/10001374883
Saved in:
1
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