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subject:"Zeitreihenanalyse"
~person:"Kapetanios, George"
~person:"McAleer, Michael"
~subject:"ARCH model"
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Zeitreihenanalyse
ARCH model
Theorie
358
Theory
336
Time series analysis
95
Volatilität
63
Volatility
60
ARCH-Modell
53
Schätztheorie
51
Estimation theory
47
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41
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128
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Kapetanios, George
McAleer, Michael
Franses, Philip Hans
143
Koopman, Siem Jan
129
Phillips, Peter C. B.
125
Gil-Alaña, Luis A.
107
Caporale, Guglielmo Maria
97
Teräsvirta, Timo
76
Härdle, Wolfgang
73
Lütkepohl, Helmut
72
Sibbertsen, Philipp
71
Koop, Gary
70
Engle, Robert F.
65
Pesaran, M. Hashem
65
Bauwens, Luc
63
Swanson, Norman R.
63
Herwartz, Helmut
59
Kunst, Robert M.
59
Feng, Yuanhua
58
Harvey, Andrew C.
57
Dijk, Herman K. van
56
Maravall Herrero, Agustín
55
Granger, C. W. J.
54
Lucas, André
53
Hassler, Uwe
52
Hafner, Christian M.
51
Marcellino, Massimiliano
50
Lux, Thomas
49
Hyndman, Rob J.
47
Saikkonen, Pentti
47
Ghysels, Eric
46
Hallin, Marc
46
Proietti, Tommaso
43
Taylor, Robert
42
Beran, Jan
41
Perron, Pierre
41
Robinson, Peter M.
41
Gao, Jiti
40
Hautsch, Nikolaus
40
Hendry, David F.
39
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Shakai-Keizai-Kenkyūsho <Osaka>
7
National Institute of Economic and Social Research
2
University of Canterbury / Dept. of Economics and Finance
2
Association of Asia-Pacific Business School's Academic Conference <2018, Hongkong>
1
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Papers in efficiency, effectiveness and international competitiveness
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Practical issues in cointegration analysis
1
Report / Econometric Institute, Erasmus University Rotterdam
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Report / Econometric Institute, Erasmus University Rotterdam / Econometric Institute, Erasmus University Rotterdam
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ECONIS (ZBW)
123
EconStor
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1
Testing nested and non-nested periodically integrated autoregressive models
Franses, Philip Hans
;
McAleer, Michael
-
1995
Persistent link: https://www.econbiz.de/10000907435
Saved in:
2
Cointegration and direct tests of the rational expectations hypothesis
McAleer, Michael
;
McKenzie, Colin
;
Pesaran, M. Hashem
-
1993
Persistent link: https://www.econbiz.de/10000872012
Saved in:
3
Testing for unit roots and non-linear transformations
Franses, Philip Hans
;
McAleer, Michael
-
1995
Persistent link: https://www.econbiz.de/10000924063
Saved in:
4
A Monte Carlo study of some tests of model adequacy in time series analysis
Hall, Anthony D.
;
McAleer, Michael
-
1987
-
Rev.
Persistent link: https://www.econbiz.de/10000724797
Saved in:
5
Cointegration analysis of seasonal time series
Franses, Philip Hans
;
McAleer, Michael
- In:
Journal of economic surveys
12
(
1998
)
5
,
pp. 651-678
Persistent link: https://www.econbiz.de/10001400867
Saved in:
6
A Monte Carlo study of some tests of model adequacy in time series analysis
Hall, Anthony D.
- In:
Journal of business & economic statistics : JBES ; a …
7
(
1989
)
1
,
pp. 95-106
Persistent link: https://www.econbiz.de/10001090237
Saved in:
7
Cointegration and direct tests of the rational expectations hypothesis
McAleer, Michael
- In:
Econometric reviews
13
(
1994
)
2
,
pp. 231-258
Persistent link: https://www.econbiz.de/10001163111
Saved in:
8
Further results on testing AR (1) against MA (1) disturbances in the linear regression model
King, Maxwell L.
- In:
The review of economic studies
54
(
1987
)
4
,
pp. 649-663
Persistent link: https://www.econbiz.de/10001084859
Saved in:
9
Cointegration and direct tests of the rational expectations hypothesis
McAleer, Michael
;
McKenzie, Colin
;
Pesaran, M. Hashem
-
1993
Persistent link: https://www.econbiz.de/10000142719
Saved in:
10
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
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