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subject:"Zeitreihenanalyse"
~person:"Harvey, David I."
~subject:"Share price"
~type_genre:"Article in journal"
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Zeitreihenanalyse
Share price
Theorie
29
Theory
29
Einheitswurzeltest
14
Unit root test
14
Time series analysis
13
Estimation
8
Forecasting model
8
Prognoseverfahren
8
Schätzung
8
Bubbles
7
Börsenkurs
7
Spekulationsblase
7
Explosive autoregression
5
Statistical test
5
Statistischer Test
5
Structural break
5
Strukturbruch
5
Volatility
4
Volatilität
4
Cointegration
3
Kointegration
3
Regression analysis
3
Regressionsanalyse
3
rational bubble
3
Break date estimation
2
Capital income
2
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2
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2
G7 countries
2
G7-Staaten
2
Kapitaleinkommen
2
Persistence
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Predictive regression
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Probability theory
2
Rational bubble
2
Stochastic process
2
Stochastischer Prozess
2
USA
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Article
16
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Article in journal
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16
Arbeitspapier
5
Graue Literatur
5
Non-commercial literature
5
Working Paper
5
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English
16
Author
All
Harvey, David I.
Phillips, Peter C. B.
57
Franses, Philip Hans
53
Gil-Alaña, Luis A.
46
Taylor, Robert
30
Gupta, Rangan
29
Perron, Pierre
29
Caporale, Guglielmo Maria
28
Leybourne, Stephen James
27
Koopman, Siem Jan
26
Harvey, Andrew C.
23
Hecq, Alain W. J.
23
Koop, Gary
23
Lütkepohl, Helmut
22
Ghysels, Eric
21
Granger, C. W. J.
21
McAleer, Michael
21
Mills, Terence C.
21
Newbold, Paul
20
Hong, Yongmiao
19
Hassler, Uwe
18
Petropoulos, Fotios
18
Swanson, Norman R.
18
Teräsvirta, Timo
18
Hendry, David F.
17
Herwartz, Helmut
17
Hyndman, Rob J.
17
Peña, Daniel
17
Timmermann, Allan
17
Engle, Robert F.
16
Assimakopoulos, V.
15
Chan, Joshua
15
Haldrup, Niels
15
Makridakis, Spyros G.
15
Moosa, Imad A.
15
Pesaran, M. Hashem
15
Proietti, Tommaso
15
Saikkonen, Pentti
15
Yu, Jun
15
Hall, Stephen G.
14
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Econometric reviews
3
Applied economics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of empirical finance
2
Oxford bulletin of economics and statistics
2
Journal of econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of time series econometrics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The econometrics journal
1
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ECONIS (ZBW)
16
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1
Improved tests for stock return predictability
Harvey, David I.
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 834-861
Persistent link: https://www.econbiz.de/10014420348
Saved in:
2
Simple tests for stock return predictability with good size and power properties
Harvey, David I.
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 198-214
Persistent link: https://www.econbiz.de/10013275372
Saved in:
3
A bootstrap stationarity test for predictive regression invalidity
Georgiev, Iliyan
;
Harvey, David I.
;
Leybourne, Stephen James
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
3
,
pp. 528-541
Persistent link: https://www.econbiz.de/10012178194
Saved in:
4
Testing explosive bubbles with time-varying volatility
Harvey, David I.
;
Leybourne, Stephen James
;
Zu, Yang
- In:
Econometric reviews
38
(
2019
)
10
,
pp. 1131-1151
Persistent link: https://www.econbiz.de/10012181398
Saved in:
5
Testing for a unit root against ESTAR stationarity
Harvey, David I.
;
Leybourne, Stephen James
;
Whitehouse, …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011886659
Saved in:
6
Improving the accuracy of asset price bubble start and end date estimators
Harvey, David I.
;
Leybourne, Stephen James
;
Sollis, Robert
- In:
Journal of empirical finance
40
(
2017
),
pp. 121-138
Persistent link: https://www.econbiz.de/10011744469
Saved in:
7
Tests for an end-of-sample bubble in financial time series
Astill, Sam
;
Harvey, David I.
;
Leybourne, Stephen James
; …
- In:
Econometric reviews
36
(
2017
)
6/9
,
pp. 651-666
Persistent link: https://www.econbiz.de/10011795312
Saved in:
8
The impact of the initial condition on covariate augmented unit root tests
Aristidou, Chrystalleni
;
Harvey, David I.
;
Leybourne, …
- In:
Journal of time series econometrics
9
(
2017
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011671094
Saved in:
9
Tests for explosive financial bubbles in the presence of non-stationary volatility
Harvey, David I.
;
Leybourne, Stephen James
;
Sollis, Robert
- In:
Journal of empirical finance
38
(
2016
),
pp. 548-574
Persistent link: https://www.econbiz.de/10011663370
Saved in:
10
Recursive right-tailed unit root tests for an explosive asset price bubble
Harvey, David I.
;
Leybourne, Stephen James
;
Sollis, Robert
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 166-187
Persistent link: https://www.econbiz.de/10010519657
Saved in:
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