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subject:"Time series analysis"
~isPartOf:"The econometrics journal"
~isPartOf:"Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria"
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The econometrics journal
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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326
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303
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275
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ECONIS (ZBW)
142
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1
Testing for parameter change epochs in GARCH time series
Richter, Stefan
;
Wang, Weining
;
Wu, Wei Biao
- In:
The econometrics journal
26
(
2023
)
3
,
pp. 467-491
Persistent link: https://www.econbiz.de/10014391712
Saved in:
2
Combining counterfactual outcomes and ARIMA models for policy evaluation
Menchetti, Fiammetta
;
Cipollini, Fabrizio
;
Mealli, Fabrizia
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10013543270
Saved in:
3
Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices
Casoli, Chiara
;
Lucchetti, Riccardo
- In:
The econometrics journal
25
(
2022
)
2
,
pp. 494-514
Persistent link: https://www.econbiz.de/10013253846
Saved in:
4
Forecasting with supervised factor models
Umbach, Simon Lineu
- In:
Empirical economics : a journal of the Institute for …
58
(
2020
)
1
,
pp. 169-190
Persistent link: https://www.econbiz.de/10012216370
Saved in:
5
Forecasting of recessions via dynamic probit for time series : replication and extension of Kauppi and Saikkonen (2008)
Park, Byeong U.
;
Simar, Léopold
;
Zelenyuk, Valentin
- In:
Empirical economics : a journal of the Institute for …
58
(
2020
)
1
,
pp. 379-392
Persistent link: https://www.econbiz.de/10012219002
Saved in:
6
Why are Bayesian trend-cycle decompositions of US real GDP so different?
Kim, Jaeho
;
Chon, Sora
- In:
Empirical economics : a journal of the Institute for …
58
(
2020
)
3
,
pp. 1339-1354
Persistent link: https://www.econbiz.de/10012219585
Saved in:
7
Modeling US historical time-series prices and inflation using alternative long-memory approaches
Canarella, Giorgio
;
Gil-Alaña, Luis A.
;
Gupta, Rangan
; …
- In:
Empirical economics : a journal of the Institute for …
58
(
2020
)
4
,
pp. 1491-1511
Persistent link: https://www.econbiz.de/10012219614
Saved in:
8
Real-time US GDP gap properties using Hamilton’s regression-based filter
Jönsson, Kristian
- In:
Empirical economics : a journal of the Institute for …
59
(
2020
)
1
,
pp. 307-314
Persistent link: https://www.econbiz.de/10012253213
Saved in:
9
Markov switching in exchange rate models : will more regimes help?
Stillwagon, Josh
;
Sullivan, Peter
- In:
Empirical economics : a journal of the Institute for …
59
(
2020
)
1
,
pp. 413-436
Persistent link: https://www.econbiz.de/10012253229
Saved in:
10
On real interest rate convergence among G7 countries
Riedel, Jana
- In:
Empirical economics : a journal of the Institute for …
59
(
2020
)
2
,
pp. 599-626
Persistent link: https://www.econbiz.de/10012258791
Saved in:
11
Prequential forecasting in the presence of structure breaks in natural gas spot markets
Duangnate, Kannika
;
Mjelde, James W.
- In:
Empirical economics : a journal of the Institute for …
59
(
2020
)
5
,
pp. 2363-2384
Persistent link: https://www.econbiz.de/10012314345
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12
Development of an efficient cluster-based portfolio optimization model under realistic market conditions
Massahi, Mahdi
;
Mahootchi, Masoud
;
Khamseh, Alireza Arshadi
- In:
Empirical economics : a journal of the Institute for …
59
(
2020
)
5
,
pp. 2423-2442
Persistent link: https://www.econbiz.de/10012315071
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13
Hide-and-Seek with time-series filters : a model-based Monte Carlo study
Kufenko, Vadim
- In:
Empirical economics : a journal of the Institute for …
59
(
2020
)
5
,
pp. 2335-2361
Persistent link: https://www.econbiz.de/10012313746
Saved in:
14
Statistical and economic evaluation of time series models for forecasting arrivals at call centers
Bastianin, Andrea
;
Galeotti, Marzio
;
Manera, Matteo
- In:
Empirical economics : a journal of the Institute for …
57
(
2019
)
3
,
pp. 923-955
Persistent link: https://www.econbiz.de/10012214837
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15
Market integration and the persistence of electricity prices
Pereira, João
;
Pesquita, Vasco
;
Rodrigues, Paulo M. M.
; …
- In:
Empirical economics : a journal of the Institute for …
57
(
2019
)
5
,
pp. 1495-1514
Persistent link: https://www.econbiz.de/10012215801
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16
A comment on "on inflation expectations in the NKPC model"
Lanne, Markku
;
Luoto, Jani
- In:
Empirical economics : a journal of the Institute for …
57
(
2019
)
6
,
pp. 1865-1867
Persistent link: https://www.econbiz.de/10012215900
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17
Quantile coherency : a general measure for dependence between cyclical economic variables
Baruník, Jozef
;
Kley, Tobias
- In:
The econometrics journal
22
(
2019
)
2
,
pp. 131-152
Persistent link: https://www.econbiz.de/10012166706
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18
Critical slowing down as an early warning signal for financial crises?
Diks, Cees G. H.
;
Hommes, Cars H.
;
Wang, Juanxi
- In:
Empirical economics : a journal of the Institute for …
57
(
2019
)
4
,
pp. 1201-1228
Persistent link: https://www.econbiz.de/10012115286
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19
Hysteresis in unemployment? : evidence from linear and nonlinear unit root tests and tests with non-normal errors
Meng, Ming
;
Strazicich, Mark
;
Lee, Junsoo
- In:
Empirical economics : a journal of the Institute for …
53
(
2017
)
4
,
pp. 1399-1414
Persistent link: https://www.econbiz.de/10012019373
Saved in:
20
Robust tests for deterministic seasonality and seasonal mean shifts
Astill, S.
;
Taylor, Robert
- In:
The econometrics journal
21
(
2018
)
3
,
pp. 277-297
Persistent link: https://www.econbiz.de/10012166629
Saved in:
21
Copula-based nonlinear modeling of the law of one price for lumber products
Goodwin, Barry K.
;
Holt, Matthew T.
;
Onel, Gulcan
; …
- In:
Empirical economics : a journal of the Institute for …
54
(
2018
)
3
,
pp. 1237-1265
Persistent link: https://www.econbiz.de/10011949514
Saved in:
22
Modeling dynamics of metal price series via state space approach with two common factors
Golosnoy, Vasyl
;
Rossen, Anja
- In:
Empirical economics : a journal of the Institute for …
54
(
2018
)
4
,
pp. 1477-1501
Persistent link: https://www.econbiz.de/10011949567
Saved in:
23
Exploring the influence of industries and randomness in stock prices
Contreras, Ivan
;
Hidalgo, José Ignacio
;
Nuñez, Laura
- In:
Empirical economics : a journal of the Institute for …
55
(
2018
)
2
,
pp. 713-729
Persistent link: https://www.econbiz.de/10011949899
Saved in:
24
Wavelet power spectrum and cross-coherency of Spanish economic variables
González-Concepción, Concepción
;
Candelaria …
- In:
Empirical economics : a journal of the Institute for …
55
(
2018
)
2
,
pp. 855-882
Persistent link: https://www.econbiz.de/10011949932
Saved in:
25
Driving economic fluctuations in Peru : the role of the terms of trade
Rodriguez, Gabriel
;
Villanueva Vega, Pierina
;
Castillo …
- In:
Empirical economics : a journal of the Institute for …
55
(
2018
)
3
,
pp. 1089-1119
Persistent link: https://www.econbiz.de/10011950096
Saved in:
26
Can oil prices help predict US stock market returns? : evidence using a dynamic model averaging (DMA) approach
Naser, Hanan
;
Alaali, Fatema
- In:
Empirical economics : a journal of the Institute for …
55
(
2018
)
4
,
pp. 1757-1777
Persistent link: https://www.econbiz.de/10011950311
Saved in:
27
Mixture periodic GARCH models : theory and applications
Hamdi, Fayçal
;
Souam, Saïd
- In:
Empirical economics : a journal of the Institute for …
55
(
2018
)
4
,
pp. 1925-1956
Persistent link: https://www.econbiz.de/10011950345
Saved in:
28
Restricted Hodrick-Prescott filtering in a state-space framework
Jönsson, Kristian
- In:
Empirical economics : a journal of the Institute for …
53
(
2017
)
3
,
pp. 1243-1251
Persistent link: https://www.econbiz.de/10011893027
Saved in:
29
A new approach to testing unemployment hysteresis
Furuoka, Fumitaka
- In:
Empirical economics : a journal of the Institute for …
53
(
2017
)
3
,
pp. 1253-1280
Persistent link: https://www.econbiz.de/10011893036
Saved in:
30
Monthly US business cycle indicators : a new multivariate approach based on a band-pass filter
Marczak, Martyna
;
Gómez, Víctor
- In:
Empirical economics : a journal of the Institute for …
52
(
2017
)
4
,
pp. 1379-1408
Persistent link: https://www.econbiz.de/10011944861
Saved in:
31
Measuring species concentration, diversification and dependency in a macro-fishery
Valle, Ikerne del
;
Astorkiza, Kepa
;
Díaz-Emparanza, Ignacio
- In:
Empirical economics : a journal of the Institute for …
52
(
2017
)
4
,
pp. 1689-1713
Persistent link: https://www.econbiz.de/10011947381
Saved in:
32
Determining the number of factors after stationary univariate transformations
Corona, Francisco
;
Poncela, Pilar
;
Ruiz, Esther
- In:
Empirical economics : a journal of the Institute for …
53
(
2017
)
1
,
pp. 351-372
Persistent link: https://www.econbiz.de/10011941375
Saved in:
33
Change point tests in functional factor models with application to Yield curves
Bardsley, Patrick
;
Horváth, Lajos
;
Kokoszka, Piotr
; …
- In:
The econometrics journal
20
(
2017
)
1
,
pp. 86-117
Persistent link: https://www.econbiz.de/10011719969
Saved in:
34
Spatial dependence in stock returns : local normalization and VaR forecasts
Schmitt, Thilo A.
;
Schäfer, Rudi
;
Wied, Dominik
;
Guhr, …
- In:
Empirical economics : a journal of the Institute for …
50
(
2016
)
3
,
pp. 1091-1109
Persistent link: https://www.econbiz.de/10011481381
Saved in:
35
Asymmetry with respect to the memory in stock market volatilities
Lönnbark, Carl
- In:
Empirical economics : a journal of the Institute for …
50
(
2016
)
4
,
pp. 1409-1419
Persistent link: https://www.econbiz.de/10011481716
Saved in:
36
Generalized dynamic factor models and volatilities : recovering the market volatility shocks
Barigozzi, Matteo
;
Hallin, Marc
- In:
The econometrics journal
19
(
2016
)
1
,
pp. 33-60
Persistent link: https://www.econbiz.de/10011487491
Saved in:
37
Cyclical non-stationarity in commodity prices
Oglend, Atle
;
Asche, Frank
- In:
Empirical economics : a journal of the Institute for …
51
(
2016
)
4
,
pp. 1465-1479
Persistent link: https://www.econbiz.de/10011647093
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38
The Beveridge-Nelson decomposition of mixed-frequency series : an application to simultaneous measurement of classical and deviation cycles
Murasawa, Yasutomo
- In:
Empirical economics : a journal of the Institute for …
51
(
2016
)
4
,
pp. 1415-1441
Persistent link: https://www.econbiz.de/10011643752
Saved in:
39
Evaluating the combined forecasts of the dynamic factor model and the artificial neural network model using linear and nonlinear combining methods
Babikir, Ali
;
Mwambi, Henry
- In:
Empirical economics : a journal of the Institute for …
51
(
2016
)
4
,
pp. 1541-1556
Persistent link: https://www.econbiz.de/10011661817
Saved in:
40
Forecasting Chilean inflation with international factors
Pincheira, Pablo
;
Gatty, Andrés
- In:
Empirical economics : a journal of the Institute for …
51
(
2016
)
3
,
pp. 981-1010
Persistent link: https://www.econbiz.de/10011554361
Saved in:
41
Evidence on copula-based double-hurdle models with flexible margins
Schwiebert, Jörg
- In:
Empirical economics : a journal of the Institute for …
51
(
2016
)
1
,
pp. 245-289
Persistent link: https://www.econbiz.de/10011516004
Saved in:
42
Price dynamics in agricultural commodity markets : a comparison of European and US markets
Statnik, Jean-Christophe
;
Verstraete, David
- In:
Empirical economics : a journal of the Institute for …
48
(
2015
)
3
,
pp. 1103-1117
Persistent link: https://www.econbiz.de/10011303516
Saved in:
43
Stochastic trends and seasonality in economic time series : new evidence from Bayesian stochastic model specification search
Proietti, Tommaso
;
Grassi, Stefano
- In:
Empirical economics : a journal of the Institute for …
48
(
2015
)
3
,
pp. 983-1011
Persistent link: https://www.econbiz.de/10011303554
Saved in:
44
Size distortions of the wild bootstrapped HCCME-based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity
Grobys, Klaus
- In:
Empirical economics : a journal of the Institute for …
48
(
2015
)
3
,
pp. 1189-1202
Persistent link: https://www.econbiz.de/10011304126
Saved in:
45
Mixed data kernel copulas
Racine, Jeffrey
- In:
Empirical economics : a journal of the Institute for …
48
(
2015
)
1
,
pp. 37-59
Persistent link: https://www.econbiz.de/10011285976
Saved in:
46
Forecasting major Asian exchange rates using a new semiparametric STAR model
Cai, Nan
;
Cai, Zongwu
;
Fang, Ying
;
Xu, Qiuhua
- In:
Empirical economics : a journal of the Institute for …
48
(
2015
)
1
,
pp. 407-426
Persistent link: https://www.econbiz.de/10011287504
Saved in:
47
Asset allocation under higher moments with the GARCH filter
Kinoshita, Ryo
- In:
Empirical economics : a journal of the Institute for …
49
(
2015
)
1
,
pp. 235-254
Persistent link: https://www.econbiz.de/10011325723
Saved in:
48
Asymmetric time aggregation and its potential benefits for forecasting annual data
Kunst, Robert M.
;
Franses, Philip Hans
- In:
Empirical economics : a journal of the Institute for …
49
(
2015
)
1
,
pp. 363-387
Persistent link: https://www.econbiz.de/10011326579
Saved in:
49
Common breaks in time trends for large panel data with a factor structure
Kim, Dukpa
- In:
The econometrics journal
17
(
2014
)
3
,
pp. 301-337
Persistent link: https://www.econbiz.de/10010498717
Saved in:
50
Generalized dynamic semi-parametric factor models for high-dimensional non-stationary time series
Song, Song
;
Härdle, Wolfgang
;
Ritov, Ya'acov
- In:
The econometrics journal
17
(
2014
)
2
,
pp. 101-131
Persistent link: https://www.econbiz.de/10010498722
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