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source:"econis"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
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Search: subject_exact:"Time series analysis"
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Time series analysis
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
661
International journal of forecasting
550
Economics letters
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International Journal of Energy Economics and Policy : IJEEP
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Journal of time series econometrics
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International journal of economics and financial issues : IJEFI
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Journal of money, credit and banking : JMCB
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1
Modeling systemic risk : time-varying tail dependence when forecasting marginal expected shortfall
Eckernkemper, Tobias
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
1
,
pp. 63-117
Persistent link: https://www.econbiz.de/10011987686
Saved in:
2
Measuring the frequency dynamics of financial connectedness and systemic risk
Baruník, Jozef
;
Křehlík, Tomáš
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 271-296
Persistent link: https://www.econbiz.de/10011987767
Saved in:
3
Structural volatility impulse response function and asymptotic inference
Liu, Xiaochun
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 316-339
Persistent link: https://www.econbiz.de/10011987769
Saved in:
4
Dynamic functional regression with application to the cross-section of returns
Kokoszka, Piotr
;
Miao, Hong
;
Reimherr, Matthew
; …
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
3
,
pp. 461-485
Persistent link: https://www.econbiz.de/10011987795
Saved in:
5
Fractionally integrated COGARCH processes
Haug, Stephan
;
Klüppelberg, Claudia
;
Straub, German
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
4
,
pp. 599-628
Persistent link: https://www.econbiz.de/10011988000
Saved in:
6
Testing for parameter instability across different modeling frameworks
Calvori, Francesco
;
Creal, Drew
;
Koopman, Siem Jan
; …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 223-246
Persistent link: https://www.econbiz.de/10011987424
Saved in:
7
Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Gagliardini, Patrick
;
Ghysels, Eric
;
Rubin, M.
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 509-560
Persistent link: https://www.econbiz.de/10011987633
Saved in:
8
Real-Time GARCH
Smetanina, Ekaterina
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 561-601
Persistent link: https://www.econbiz.de/10011987644
Saved in:
9
Smoothing it out : empirical and simulation results for disentangled realized covariances
Vander Elst, Harry
;
Veredas, David
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
1
,
pp. 106-138
Persistent link: https://www.econbiz.de/10011658742
Saved in:
10
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
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