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subject:"Zeitreihenanalyse"
isPartOf:"Journal of macroeconomics"
~isPartOf:"The econometrics journal"
~isPartOf:"CREATES research paper"
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Zeitreihenanalyse
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Johansen, Søren
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Journal of macroeconomics
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CREATES research paper
Journal of econometrics
326
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303
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275
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ECONIS (ZBW)
156
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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
Long and short memory in dynamic term structure models
Huseynov, Salman
-
2021
-
This version: 3 December 2021
Persistent link: https://www.econbiz.de/10012815974
Saved in:
4
Fractional integration and cointegration
Haulde, Javier
;
Nielsen, Morten Ørregaard
-
2021
Persistent link: https://www.econbiz.de/10012816374
Saved in:
5
Quantifying the uncertainty of long-term macroeconomic projections
Demirel, Ufuk Devrim
;
Otterson, James
- In:
Journal of macroeconomics
75
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014423949
Saved in:
6
Temperature anomalies, long memory, and aggregation
Vera-Valdés, J. Eduardo
-
2020
Persistent link: https://www.econbiz.de/10012433973
Saved in:
7
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:
8
Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli
;
Kang, Jian
;
Teräsvirta, Timo
;
Zhang, Shuhua
-
2019
Persistent link: https://www.econbiz.de/10012316892
Saved in:
9
Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors
Bennedsen, Mikkel
;
Hillebrand, Eric
;
Koopman, Siem Jan
-
2019
Persistent link: https://www.econbiz.de/10012316908
Saved in:
10
Assessing predictive accuracy in panel data models with long-range dependence
Borup, Daniel
;
Christensen, Bent Jesper
;
Ergemen, Yunus Emre
-
2019
Persistent link: https://www.econbiz.de/10011991275
Saved in:
11
Time-varying parameters : new test tailored to applications in finance and macroeconomics
Davidson, Russell
;
Grønborg, Niels S.
-
2018
Persistent link: https://www.econbiz.de/10011913753
Saved in:
12
State-space models on the Stiefel manifold with a new approach to nonlinear filtering
Yang, Yukai
;
Bauwens, Luc
-
2018
Persistent link: https://www.econbiz.de/10011946395
Saved in:
13
Forward inflation expectations : evidence from inflation caps and floors
Chipeniuk, Karsten O.
;
Walker, Todd B.
- In:
Journal of macroeconomics
70
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013274669
Saved in:
14
Testing for time-varying loadings in dynamic factor models
Mikkelsen, Jakob Guldbæk
-
2017
Persistent link: https://www.econbiz.de/10011706038
Saved in:
15
Radial basis functions neural networks for nonlinear time series analysis and time-varying effects of supply shocks
Kanazawa, Nobuyuki
- In:
Journal of macroeconomics
64
(
2020
),
pp. 1-32
Persistent link: https://www.econbiz.de/10012433748
Saved in:
16
Generalized efficient inference on factor models with long-range dependence
Ergemen, Yunus Emre
-
2016
Persistent link: https://www.econbiz.de/10011421769
Saved in:
17
Tightness of M-estimators for multiple linear regression in time series
Johansen, Søren
;
Nielsen, Bent
-
2016
Persistent link: https://www.econbiz.de/10011524093
Saved in:
18
A dynamic multi-level factor model with long-range dependence
Ergemen, Yunus Emre
;
Rodríguez-Caballero, Carlos Vladimir
-
2016
Persistent link: https://www.econbiz.de/10011524107
Saved in:
19
Comparing predictive accuracy under long memory : with an application to volatility forecasting
Kruse, Robinson
;
Leschinski, Christian
;
Will, Michael
-
2016
Persistent link: https://www.econbiz.de/10011474820
Saved in:
20
Does the ARFIMA really shift?
Delle Monache, Davide
;
Grassi, Stefano
;
Santucci de …
-
2016
Persistent link: https://www.econbiz.de/10011648629
Saved in:
21
Long memory, fractional integration, and cross-sectional aggregation
Haldrup, Niels
;
Valdés, J. Eduardo Vera
-
2015
Persistent link: https://www.econbiz.de/10011409110
Saved in:
22
Exponential smoothing, long memory and volatility prediction
Proietti, Tommaso
-
2015
Persistent link: https://www.econbiz.de/10011387619
Saved in:
23
On critical cases in limit theory for stationary increments Lévy driven moving averages
Basse-O'Connor, Andreas
;
Podolskij, Mark
-
2015
Persistent link: https://www.econbiz.de/10011398667
Saved in:
24
Testing for level shifts in fractionally integrated processes : a state space approach
Delle Monache, Davide
;
Grassi, Stefano
;
Santucci de …
-
2015
Persistent link: https://www.econbiz.de/10011296884
Saved in:
25
Forecasting the global mean sea level, a continuous-time state-space approach
Boldrini, Lorenzo
-
2015
Persistent link: https://www.econbiz.de/10011327705
Saved in:
26
Testing for news and noise in non-stationary time series subject to multiple historical revisions
Hecq, Alain W. J.
;
Jacobs, Jan
;
Stamatogiannis, Michalis P.
- In:
Journal of macroeconomics
60
(
2019
),
pp. 396-407
Persistent link: https://www.econbiz.de/10012243203
Saved in:
27
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
Saved in:
28
Forecasting recessions with time-varying models
Hwang, Youngjin
- In:
Journal of macroeconomics
62
(
2019
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012243476
Saved in:
29
Outlier detection algorithms for least squares time series regression
Johansen, Søren
;
Nielsen, Bent
-
2014
Persistent link: https://www.econbiz.de/10010418994
Saved in:
30
Forecasting medium and large datasets with Vector Autoregressive Moving Average (VARMA) models
Dias, Gustavo Fruet
;
Kapetanios, George
-
2014
Persistent link: https://www.econbiz.de/10010419000
Saved in:
31
Forecasting long memory series subject to structural change : a two-stage approach
Papailias, Fotis
;
Dias, Gustavo Fruet
-
2014
Persistent link: https://www.econbiz.de/10010442405
Saved in:
32
On spectral distribution of high dimensional covariation matrices
Heinrich, Claudio
;
Podolskij, Mark
-
2014
Persistent link: https://www.econbiz.de/10010442408
Saved in:
33
A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Dolatabadi, Sepideh
;
Nielsen, Morten Ørregaard
;
Xu, Ke
-
2014
Persistent link: https://www.econbiz.de/10010394599
Saved in:
34
Deterministic and stochastic trends in the Lee-Carter mortality model
Callot, Laurent
;
Haldrup, Niels
;
Kallestrup-Lamb, Malene
-
2014
Persistent link: https://www.econbiz.de/10010433248
Saved in:
35
Testing constancy of the error covariance matrix in vector models against parametric alternatives using a spectral decomposition
Yang, Yukai
-
2014
Persistent link: https://www.econbiz.de/10010339079
Saved in:
36
Outlier detection in structural time series models : the indicator saturation approach
Marczak, Martyna
;
Proietti, Tommaso
-
2014
Persistent link: https://www.econbiz.de/10010388026
Saved in:
37
Discriminating between fractional integration and spurious long memory
Haldrup, Niels
;
Kruse, Robinson
-
2014
Persistent link: https://www.econbiz.de/10010372529
Saved in:
38
Monetary policy shocks, inflation persistence, and long memory
Lovcha, Yuliya
;
Perez-Laborda, Alejandro
- In:
Journal of macroeconomics
55
(
2018
),
pp. 117-127
Persistent link: https://www.econbiz.de/10012127581
Saved in:
39
Common business cycles and volatilities in US states and MSAs : the role of economic uncertainty
Gupta, Rangan
;
Ma, Jun
;
Risse, Marian
;
Wohar, Mark E.
- In:
Journal of macroeconomics
57
(
2018
),
pp. 317-337
Persistent link: https://www.econbiz.de/10012127992
Saved in:
40
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:
41
Generalizing smooth transition autoregressions
Zanetti Chini, Emilio
-
2013
Persistent link: https://www.econbiz.de/10010190892
Saved in:
42
Particle Markov chain Monte Carlo Techniques of unobserved component time series models using Ox
Nonejad, Nima
-
2013
Persistent link: https://www.econbiz.de/10009782694
Saved in:
43
Long memory and structural breaks in realized volatility : an irreversible Markov switching approach
Nonejad, Nima
-
2013
Persistent link: https://www.econbiz.de/10009782698
Saved in:
44
A mixture innovation heterogeneous autoregressive model for structural breaks and long memory
Nonejad, Nima
-
2013
Persistent link: https://www.econbiz.de/10009782709
Saved in:
45
Parallel sequential Monte Carlo for efficient density combination : the Deco Matlab Toolbox
Casarin, Roberto
;
Grassi, Stefano
;
Ravazzolo, Francesco
; …
-
2013
Persistent link: https://www.econbiz.de/10009730084
Saved in:
46
Changes in persistence, spurious regressions and the Fisher hypothesis
Kruse, Robinson
;
Ventosa-Santaulària, Daniel
; …
-
2013
Persistent link: https://www.econbiz.de/10009733569
Saved in:
47
Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns
Gonc̜alves, Sílva
;
Hounyo, Ulrich
;
Meddahi, Nour
-
2013
Persistent link: https://www.econbiz.de/10009719165
Saved in:
48
On the miracle property of the adaptive LASSO in stationary and nonstationary autoregressions
Bredahl Kock, Anders
-
2012
Persistent link: https://www.econbiz.de/10009485767
Saved in:
49
Nonlinear Kalman filtering in affine term structure models
Christoffersen, Peter F.
;
Dorion, Christian
;
Jacobs, Kris
; …
-
2012
Persistent link: https://www.econbiz.de/10009667381
Saved in:
50
Factor-based forecasting in the presende of outliers : are factors better selected and estimated by the median than by the mean?
Kristensen, Johannes Tang
-
2012
Persistent link: https://www.econbiz.de/10009546012
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