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subject:"Time series analysis"
~subject:"Börsenkurs"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
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Time series analysis
Börsenkurs
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297
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297
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94
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78
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78
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46
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
353
Economics letters
339
International journal of forecasting
316
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
256
NBER working paper series
256
Working paper / National Bureau of Economic Research, Inc.
252
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249
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216
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191
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191
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162
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151
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150
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145
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136
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132
Discussion paper / Centre for Economic Policy Research
128
Journal of economic dynamics & control
128
Journal of financial economics
126
Applied economics letters
113
Journal of empirical finance
113
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
109
Finance research letters
108
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
107
Computational economics
101
Journal of applied econometrics
101
Working paper
97
International review of financial analysis
95
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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International review of economics & finance : IREF
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The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
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1
On testing for bubbles during hyperinflations
Morita, Rubens
;
Psaradakis, Zacharias G.
;
Sola, Martin
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 25-37
Persistent link: https://www.econbiz.de/10014506885
Saved in:
2
Modelling volatility dependence with score copula models
Alanya-Beltran, Willy
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
5
,
pp. 649-668
Persistent link: https://www.econbiz.de/10014506814
Saved in:
3
Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration
Murasawa, Yasutomo
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 387-415
Persistent link: https://www.econbiz.de/10013334834
Saved in:
4
Stock price prediction using multi-scale nonlinear ensemble of deep learning and evolutionary weighted support vector regression
Wang, Jujie
;
Zhuang, Zhenzhen
;
Gao, Dongming
;
Li, Yang
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
3
,
pp. 397-421
Persistent link: https://www.econbiz.de/10014372898
Saved in:
5
Optimization study of momentum investment strategies under asymmetric power-law distribution of return rate
Wu, Xu
;
Wang, Kun
;
Zhang, Linlin
;
Peng, Chong
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
5
,
pp. 687-704
Persistent link: https://www.econbiz.de/10014506859
Saved in:
6
Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets
Ayala, Astrid
;
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
5
,
pp. 705-731
Persistent link: https://www.econbiz.de/10014506866
Saved in:
7
Integrated variance of irregularly spaced high-frequency data : a state space approach based on pre-averaging
Alexeev, Vitali
;
Chen, Jun
;
Ignatieva, Ekaterina
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
5
,
pp. 733-763
Persistent link: https://www.econbiz.de/10014506869
Saved in:
8
Testing for random coefficient autoregressive and stochastic unit root models
Nagakura, Daisuke
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 117-129
Persistent link: https://www.econbiz.de/10014288865
Saved in:
9
Forecasting transaction counts with integer-valued GARCH models
Aknouche, Abdelhakim
;
Almohaimeed, Bader S.
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
4
,
pp. 529-539
Persistent link: https://www.econbiz.de/10013453761
Saved in:
10
Rescaled variance tests for seasonal stationarity
Gogebakan, Kemal Caglar
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
4
,
pp. 617-633
Persistent link: https://www.econbiz.de/10013453785
Saved in:
11
Consumption, aggregate wealth and expected stock returns : a quantile cointegration approach
Quineche, Ricardo
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
5
,
pp. 693-703
Persistent link: https://www.econbiz.de/10013554939
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12
Prediction of stock index of two-scale long short-term memory model based on multiscale nonlinear integration
Tang, Decai
;
Pan, Zhiwei
;
Bethel, Brandon J.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
5
,
pp. 723-735
Persistent link: https://www.econbiz.de/10013554949
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13
Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models
Kaldorf, Matthias
;
Wied, Dominik
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10013334611
Saved in:
14
Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries
Jaiswal, Shivam
;
Chaturvedi, Anoop
;
Bhatti, Muhammad Ishaq
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 25-34
Persistent link: https://www.econbiz.de/10013334612
Saved in:
15
A new bivariate Archimedean copula with application to the evaluation of VaR
Guloksuz, Cigdem Topcu
;
Kumar, Pranesh
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
2
,
pp. 273-285
Persistent link: https://www.econbiz.de/10013334726
Saved in:
16
Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity
Li, Mengheng
;
Mendieta-Muñoz, Ivan
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 337-359
Persistent link: https://www.econbiz.de/10013334751
Saved in:
17
Regulated seasonal unit root process
Eroğlu, Burak Alparslan
;
Pehlivan, Ayse Ozgur
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 361-385
Persistent link: https://www.econbiz.de/10013334753
Saved in:
18
Modelling and forecasting stock volatility and return : a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model
Tan, Shay Kee
;
Chan, Jennifer So Kuen
;
Kok Haur Ng
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 437-474
Persistent link: https://www.econbiz.de/10013334835
Saved in:
19
A monitoring procedure for detecting structural breaks in factor copula models
Manner, Hans
;
Stark, Florian
;
Wied, Dominik
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
4
,
pp. 171-192
Persistent link: https://www.econbiz.de/10012657681
Saved in:
20
Recovering cointegration via wavelets in the presence of non-linear patterns
Martínez Compains, Jorge
;
Rodríguez Carreño, Ignacio
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 255-265
Persistent link: https://www.econbiz.de/10012806528
Saved in:
21
Statistical characteristics of price impact in high-frequency trading
Jia, Can
;
Zhou, Tianmin
;
Li, Handong
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
3
,
pp. 19-34
Persistent link: https://www.econbiz.de/10012594148
Saved in:
22
Disentangling the source of non-stationarity in a panel of seasonal data
Hsu, Shih-hsun
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012437839
Saved in:
23
An effcient exact Bayesian method for state space models with stochastic volatility
Huang, Yu-Fan
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
2
,
pp. 1-10
Persistent link: https://www.econbiz.de/10012507436
Saved in:
24
Temporal aggregation of random walk processes and implications for economic analysis
Ahmad, Yamin S.
;
Payá, Ivan
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
24
(
2020
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10012198637
Saved in:
25
An explicit formula for the smoother weights of the Hodrick-Prescott filter
Yamada, Hiroshi
;
Jahra, Fatima Tuj
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-10
Persistent link: https://www.econbiz.de/10012198467
Saved in:
26
An intuitive skewness-based symmetry test applicable to stationary time series data
Hartigan, Luke
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012198490
Saved in:
27
A nonlinear model of asset returns with multiple shocks
Kahra, Hannu
;
Martin, Vance
;
Sarkar, Saikat
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
1
,
pp. 1-45
Persistent link: https://www.econbiz.de/10012054867
Saved in:
28
A unified framework jointly explaining business conditions, stock returns, volatility and "volatility feedback news" effects
Kim, Chang-jin
;
Kim, Yunmi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012054880
Saved in:
29
Flexible HAR model for realized volatility
Audrino, Francesco
;
Huang, Chen
;
Okhrin, Ostap
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012054897
Saved in:
30
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:
31
Markov-switching quantile autoregression : a Gibbs sampling approach
Liu, Xiaochun
;
Luger, Richard
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
2
,
pp. 1-33
Persistent link: https://www.econbiz.de/10011897360
Saved in:
32
Bayesian estimation of Gegenbauer long memory processes with stochastic volatility : methods and applications
Phillip, Andrew
;
Chan, Jennifer S. K.
;
Peiris, Shelton
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011897536
Saved in:
33
A hidden Markov regime-switching smooth transition model
Elliott, Robert J.
;
Siu, Tak Kuen
;
Lau, John W.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
4
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011965140
Saved in:
34
The rescaled VAR model with an application to mixed-frequency macroeconomic forecasting
Giusto, Andrea
;
İşcan, Talan Behçet
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
4
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011965177
Saved in:
35
A new method for specifying the tuning parameter of l1 trend filtering
Yamada, Hiroshi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
4
,
pp. 1-8
Persistent link: https://www.econbiz.de/10011965278
Saved in:
36
Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market
Escribano, Álvaro
;
Torrado, María
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
5
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011965358
Saved in:
37
Time-varying asymmetry and tail thickness in long series of daily financial returns
Mazur, Błażej
;
Pipień, Mateusz
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
5
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011965380
Saved in:
38
Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule
Nguyen, Anh D. M.
;
Pavlidis, Efthymios G.
;
Peel, David
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
5
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011966001
Saved in:
39
Using the hybrid Phillips curve with memory to forecast US infllation
Chu, Shiou-Yen
;
Shane, Christopher
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
4
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011755440
Saved in:
40
VEC-MSF models in Bayesian analysis of short- and long-run relationships
Pajor, Anna
;
Wróblewska, Justyna
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011708691
Saved in:
41
Detecting capital market convergence clubs
Beylunioglu, Fuat C.
;
Stengos, Thanasēs
;
Yazgan, …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011817732
Saved in:
42
Modeling threshold effects in stock price co-movements : a vector nonlinear cointegration approach
Chlibi, Souhir
;
Jawadi, Fredj
;
Sellami, Mohamed
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
1
,
pp. 47-63
Persistent link: https://www.econbiz.de/10011650219
Saved in:
43
A semiparametric nonlinear quantile regression model for financial returns
Avdulaj, Krenar
;
Barunik, Jozef
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10011650231
Saved in:
44
Outliers and persistence in threshold autoregressive processes
Ahmad, Yamin
;
Donayre, Luiggi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
1
,
pp. 37-56
Persistent link: https://www.econbiz.de/10011431114
Saved in:
45
Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients : detecting switching volatility regimes
Tzagkarakis, George
;
Dionysopoulos, Thomas
;
Achim, Alin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
1
,
pp. 75-96
Persistent link: https://www.econbiz.de/10011431136
Saved in:
46
Selecting the tuning parameter of the l1 trend filter
Yamada, Hiroshi
;
Yoon, Gawon
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
1
,
pp. 97-105
Persistent link: https://www.econbiz.de/10011431307
Saved in:
47
Structural VARs, deterministic and stochastic trends : how much detrending matters for shock identification
Varang Wiriyawit
;
Wong, Benjamin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
2
,
pp. 141-157
Persistent link: https://www.econbiz.de/10011507446
Saved in:
48
Structural changes in inflation dynamics : multiple breaks at different dates for different parameters
Eo, Yunjong
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
3
,
pp. 211-231
Persistent link: https://www.econbiz.de/10011507522
Saved in:
49
Price discovery in the markets for credit risk : a Markov switching approach
Dimpfl, Thomas
;
Peter, Franziska Julia
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
3
,
pp. 233-249
Persistent link: https://www.econbiz.de/10011507523
Saved in:
50
Information criteria for nonlinear time series models
Rinke, Saskia
;
Sibbertsen, Philipp
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
3
,
pp. 325-341
Persistent link: https://www.econbiz.de/10011507539
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