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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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1
Combining p-values for multivariate predictive ability testing
Spreng, Lars
;
Urga, Giovanni
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 765-777
Persistent link: https://www.econbiz.de/10014448433
Saved in:
2
The role of jumps in volatility spillovers in foreign exchange markets : meteor shower and heat waves revisited
Lahaye, Jérôme
;
Neely, Christopher J.
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 410-427
Persistent link: https://www.econbiz.de/10012262484
Saved in:
3
A Bayesian Markov-switching correlation model for contagion analysis on exchange rate markets
Casarin, Roberto
;
Sartore, Domenico
;
Tronzano, Marco
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
1
,
pp. 101-114
Persistent link: https://www.econbiz.de/10011894407
Saved in:
4
Buffered autoregressive models with conditional heteroscedasticity : an application to exchange rates
Zhu, Ke
;
Li, Wai Keung
;
Yu, Philip L. H.
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
4
,
pp. 528-542
Persistent link: https://www.econbiz.de/10011893733
Saved in:
5
A new Pearson-type QMLE for conditionally heteroscedastic models
Zhu, Ke
;
Li, Wai Keung
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
4
,
pp. 552-565
Persistent link: https://www.econbiz.de/10011403239
Saved in:
6
Principal volatility component analysis
Hu, Yu-Pin
;
Tsay, Ruey S.
- In:
Journal of business & economic statistics : JBES ; a …
32
(
2014
)
2
,
pp. 153-177
Persistent link: https://www.econbiz.de/10010410764
Saved in:
7
Testing the martingale hypothesis
Phillips, Peter C. B.
;
Jin, Sainan
- In:
Journal of business & economic statistics : JBES ; a …
32
(
2014
)
4
,
pp. 537-554
Persistent link: https://www.econbiz.de/10010488434
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8
True or spurious long memory? : a new test
Ohanissian, Arek
;
Russell, Jeffrey R.
;
Tsay, Ruey S.
- In:
Journal of business & economic statistics : JBES ; a …
26
(
2008
)
2
,
pp. 161-175
Persistent link: https://www.econbiz.de/10003675667
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9
Long swings in exchange rates : are they really in the data?
Klaassen, Franc
- In:
Journal of business & economic statistics : JBES ; a …
23
(
2005
)
1
,
pp. 87-95
Persistent link: https://www.econbiz.de/10002583998
Saved in:
10
Exchange rates and Markov switching dynamics
Cheung, Yin-Wong
;
Erlandsson, Ulf G.
- In:
Journal of business & economic statistics : JBES ; a …
23
(
2005
)
3
,
pp. 314-320
Persistent link: https://www.econbiz.de/10003012970
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11
Moment and memory properties of linear conditional heteroscedasticity models, and a new model
Davidson, James E. H.
- In:
Journal of business & economic statistics : JBES ; a …
22
(
2004
)
1
,
pp. 16-29
Persistent link: https://www.econbiz.de/10001891395
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12
Likelihood-based cointegration analysis in panels of vector error-correction models
Groen, Jan J. J.
;
Kleibergen, Frank
- In:
Journal of business & economic statistics : JBES ; a …
21
(
2003
)
2
,
pp. 295-318
Persistent link: https://www.econbiz.de/10001760364
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13
Martingale property of exchange rates and central bank interventions
Yılmaz, Kamil
- In:
Journal of business & economic statistics : JBES ; a …
21
(
2003
)
3
,
pp. 383-395
Persistent link: https://www.econbiz.de/10001785814
Saved in:
14
Variance shifts, structural breaks, and stationarity tests
Busetti, Fabio
;
Taylor, Robert
- In:
Journal of business & economic statistics : JBES ; a …
21
(
2003
)
4
,
pp. 510-531
Persistent link: https://www.econbiz.de/10001807005
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15
A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations
Tse, Yiu Kuen
;
Tsui, Albert K.
- In:
Journal of business & economic statistics : JBES ; a …
20
(
2002
)
3
,
pp. 351-362
Persistent link: https://www.econbiz.de/10001695276
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16
Volatility, momentum, and time-varying skewness in foreign exchange returns
Johnson, Timothy C.
- In:
Journal of business & economic statistics : JBES ; a …
20
(
2002
)
3
,
pp. 390-411
Persistent link: https://www.econbiz.de/10001695288
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17
Testing target-zone models using efficient method of moments
Chung, Chae-shick
;
Tauchen, George Eugene
- In:
Journal of business & economic statistics : JBES ; a …
19
(
2001
)
3
,
pp. 255-269
Persistent link: https://www.econbiz.de/10001603242
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18
Some reflections on analysis of high-frequency data
Andersen, Torben
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
2
,
pp. 146-153
Persistent link: https://www.econbiz.de/10001469560
Saved in:
19
Alternative variance-ratio tests using ranks and signs
Wright, Jonathan H.
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
1
,
pp. 1-9
Persistent link: https://www.econbiz.de/10001441577
Saved in:
20
Bayesian dynamic factor models and portfolio allocation
Aguilar, Omar
;
West, Mike
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
3
,
pp. 338-357
Persistent link: https://www.econbiz.de/10001493865
Saved in:
21
A new test for ARCH effects and its finite-sample performance
Hong, Yongmiao
- In:
Journal of business & economic statistics : JBES ; a …
17
(
1999
)
1
,
pp. 91-108
Persistent link: https://www.econbiz.de/10001253384
Saved in:
22
Analysis of exchange-rate target zones using a limited-dependent rational-expectations model with jumps
Pesaran, M. Hashem
- In:
Journal of business & economic statistics : JBES ; a …
17
(
1999
)
1
,
pp. 50-66
Persistent link: https://www.econbiz.de/10001253388
Saved in:
23
Estimation and testing in models containing both jumps and conditional heteroscedasticity
Drost, Feike C.
- In:
Journal of business & economic statistics : JBES ; a …
16
(
1998
)
2
,
pp. 237-243
Persistent link: https://www.econbiz.de/10001244002
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24
The risk premium of volatility implicit in currency options
Guo, Dajiang
- In:
Journal of business & economic statistics : JBES ; a …
16
(
1998
)
4
,
pp. 498-507
Persistent link: https://www.econbiz.de/10001251794
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25
Outlier detection in cointegration analysis
Franses, Philip Hans
- In:
Journal of business & economic statistics : JBES ; a …
16
(
1998
)
4
,
pp. 459-468
Persistent link: https://www.econbiz.de/10001251800
Saved in:
26
Consistent significance testing for nonparametric regression
Racine, Jeffrey
- In:
Journal of business & economic statistics : JBES ; a …
15
(
1997
)
3
,
pp. 369-376
Persistent link: https://www.econbiz.de/10001222709
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27
Measuring tail thickness to estimate the stable index a : a critique
McCulloch, J. Huston
- In:
Journal of business & economic statistics : JBES ; a …
15
(
1997
)
1
,
pp. 74-81
Persistent link: https://www.econbiz.de/10001214302
Saved in:
28
Joint variance-ratio tests of the martingale hypothesis for exchange rates
Fong, Wai-mun
- In:
Journal of business & economic statistics : JBES ; a …
15
(
1997
)
1
,
pp. 51-59
Persistent link: https://www.econbiz.de/10001214311
Saved in:
29
High-frequency data and volatility in foreign-exchange rates
Zhou, Bin
- In:
Journal of business & economic statistics : JBES ; a …
14
(
1996
)
1
,
pp. 45-52
Persistent link: https://www.econbiz.de/10001203182
Saved in:
30
Long memory in foreign-exchange rates
Cheung, Yin-Wong
- In:
Journal of business & economic statistics : JBES ; a …
11
(
1993
)
1
,
pp. 93-101
Persistent link: https://www.econbiz.de/10001137097
Saved in:
31
Premia in forward foreign exchange as unobserved components : a note
Nijman, Theodore E.
- In:
Journal of business & economic statistics : JBES ; a …
11
(
1993
)
3
,
pp. 361-365
Persistent link: https://www.econbiz.de/10001146824
Saved in:
32
The message in weekly exchange rates in the European Monetary System : mean reversion, conditional heteroscedasticity, and jumps
Vlaar, Peter J. G.
- In:
Journal of business & economic statistics : JBES ; a …
11
(
1993
)
3
,
pp. 351-360
Persistent link: https://www.econbiz.de/10001146825
Saved in:
33
Tail estimates of East European exchange rates
Koedijk, Kees
- In:
Journal of business & economic statistics : JBES ; a …
10
(
1992
)
1
,
pp. 83-96
Persistent link: https://www.econbiz.de/10001120242
Saved in:
34
A quasi-bayesian approach to estimating parameters for mixtures of normal distributions
Hamilton, James D.
- In:
Journal of business & economic statistics : JBES ; a …
9
(
1991
)
1
,
pp. 27-39
Persistent link: https://www.econbiz.de/10001100526
Saved in:
35
Exchange rates and import prices in the United States : a varying-parameter estimation of exchange-rate pass-through
Kim, Yoonbai
- In:
Journal of business & economic statistics : JBES ; a …
8
(
1990
)
3
,
pp. 305-315
Persistent link: https://www.econbiz.de/10001089544
Saved in:
36
Modeling heteroscedasticity in daily foreign-exchange rates
Hsieh, David A.
- In:
Journal of business & economic statistics : JBES ; a …
7
(
1989
)
3
,
pp. 307-317
Persistent link: https://www.econbiz.de/10001069384
Saved in:
37
The message in daily exchange rates : a conditional-variance tale
Baillie, Richard
- In:
Journal of business & economic statistics : JBES ; a …
7
(
1989
)
3
,
pp. 297-305
Persistent link: https://www.econbiz.de/10001069396
Saved in:
38
Does the Swiss National Bank stabilize the Swiss franc exchange rates?
Ungern-Sternberg, Thomas von
- In:
Journal of business & economic statistics : JBES ; a …
5
(
1987
)
1
,
pp. 105-113
Persistent link: https://www.econbiz.de/10001019321
Saved in:
39
A conditional variance model for daily deviations of an exchange rate
Milhøj, Anders
- In:
Journal of business & economic statistics : JBES ; a …
5
(
1987
)
1
,
pp. 99-103
Persistent link: https://www.econbiz.de/10001019322
Saved in:
40
Time-varying parameters and the out-of-sample forecasting performance of structural exchange rate models
Wolff, Christiaan Cornelis Petrus
- In:
Journal of business & economic statistics : JBES ; a …
5
(
1987
)
1
,
pp. 87-97
Persistent link: https://www.econbiz.de/10001019323
Saved in:
41
Forecasting wheat exports : do exchange rates matter?
Bessler, David A.
- In:
Journal of business & economic statistics : JBES ; a …
5
(
1987
)
3
,
pp. 397-406
Persistent link: https://www.econbiz.de/10001027306
Saved in:
42
Foreign-exchange rate dynamics : An empirical study using maximum entropy spectral analysis
Callen, Jeffrey L.
- In:
Journal of business & economic statistics : JBES ; a …
3
(
1985
)
2
,
pp. 149-155
Persistent link: https://www.econbiz.de/10001977213
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