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1
An econometric analysis of volatility discovery
Dias, Gustavo Fruet
;
Papailias, Fotis
;
Scherrer, Cristina
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
3
,
pp. 1095-1106
Persistent link: https://www.econbiz.de/10015053535
Saved in:
2
Bootstrap inference in cointegrating regressions : traditional and self-normalized test statistics
Reichold, Karsten
;
Jentsch, Carsten
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
3
,
pp. 970-983
Persistent link: https://www.econbiz.de/10015053513
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3
Adaptive testing for cointegration with nonstationary volatility
Boswijk, Herman Peter
;
Zu, Yang
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 744-755
Persistent link: https://www.econbiz.de/10013534484
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4
Large spillover networks of nonstationary systems
Chen, Shi
;
Schienle, Melanie
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
2
,
pp. 422-436
Persistent link: https://www.econbiz.de/10015053412
Saved in:
5
GDP solera : the ideal vintage mix
Almuzara, Martín
;
Amengual, Dante
;
Fiorentini, Gabriele
; …
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
3
,
pp. 984-997
Persistent link: https://www.econbiz.de/10015053515
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6
Counterfactual analysis and inference with nonstationary data
Masini, Ricardo
;
Medeiros, Marcelo C.
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 227-239
Persistent link: https://www.econbiz.de/10012804103
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7
On the identification of fractionally cointegrated VAR models with the F(d) condition
Carlini, Federico
;
Santucci de Magistris, Paolo
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
1
,
pp. 134-146
Persistent link: https://www.econbiz.de/10012176555
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8
The estimation and testing of the cointegration order based on the frequency domain
Souza, Igor Viveiros Melo
;
Reisen, Valdério Anselmo
; …
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
4
,
pp. 695-704
Persistent link: https://www.econbiz.de/10012249234
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9
A Bayesian approach to modeling time-varying cointegration and cointegrating rank
Chua, Chew Lian
;
Tsiaplias, Sarantis
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
2
,
pp. 267-277
Persistent link: https://www.econbiz.de/10011894727
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10
A new class of bivariate threshold cointegration models
Cai, Biqing
;
Gao, Jiti
;
Tjostheim, Dag
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
2
,
pp. 288-305
Persistent link: https://www.econbiz.de/10011704196
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11
Fractional cointegration rank estimation
Łasak, Katarzyna
;
Velasco, Carlos
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
2
,
pp. 241-254
Persistent link: https://www.econbiz.de/10011390032
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12
Long-run identification in a fractionally integrated system
Tschernig, Rolf
;
Weber, Enzo
;
Weigand, Roland
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
4
,
pp. 438-450
Persistent link: https://www.econbiz.de/10010337858
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13
Cointegration and long-run asset allocation
Bansal, Ravi
;
Kiku, Dana
- In:
Journal of business & economic statistics : JBES ; a …
29
(
2011
)
1
,
pp. 161-173
Persistent link: https://www.econbiz.de/10009159093
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14
Testing linearity in cointegrating relations with an application to purchasing power parity
Hong, Seung Hyun
;
Phillips, Peter C. B.
- In:
Journal of business & economic statistics : JBES ; a …
28
(
2010
)
1
,
pp. 96-114
Persistent link: https://www.econbiz.de/10003992805
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15
Structural vector autoregressions with nonnormal residuals
Lanne, Markku
;
Lütkepohl, Helmut
- In:
Journal of business & economic statistics : JBES ; a …
28
(
2010
)
1
,
pp. 159-168
Persistent link: https://www.econbiz.de/10003992825
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16
A pure-jump transaction-level price model yielding cointegration
Hurvich, Clifford M.
;
Wang, Yi
- In:
Journal of business & economic statistics : JBES ; a …
28
(
2010
)
4
,
pp. 539-558
Persistent link: https://www.econbiz.de/10008736141
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17
Testing for multiple structural changes iin cointegrated regression models
Kejriwal, Mohitosh
;
Perron, Pierre
- In:
Journal of business & economic statistics : JBES ; a …
28
(
2010
)
4
,
pp. 503-522
Persistent link: https://www.econbiz.de/10008736147
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18
Real-time prediction with UK monetary aggregates in the presence of model uncertainty
Garratt, Anthony
;
Koop, Gary
;
Mise, Emi
;
Vahey, Shaun P.
- In:
Journal of business & economic statistics : JBES ; a …
27
(
2009
)
4
,
pp. 480-491
Persistent link: https://www.econbiz.de/10003913414
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19
A note on common cycles, common trends and convergence
Carvalho, Vasco M.
;
Harvey, Andrew C.
;
Trimbur, Thomas
- In:
Journal of business & economic statistics : JBES ; a …
25
(
2007
)
1
,
pp. 12-20
Persistent link: https://www.econbiz.de/10003410120
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20
Common periodic correlation features and the interaction of stocks and flows in daily airport data
Haldrup, Niels
;
Hylleberg, Svend
;
Pons Rotger, Gabriel
; …
- In:
Journal of business & economic statistics : JBES ; a …
25
(
2007
)
1
,
pp. 21-32
Persistent link: https://www.econbiz.de/10003410137
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21
Local Whittle analysis of stationary fractional cointegration and the implied-realized volatility relation
Nielsen, Morten Ørregaard
- In:
Journal of business & economic statistics : JBES ; a …
25
(
2007
)
4
,
pp. 427-446
Persistent link: https://www.econbiz.de/10003566055
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22
Inference in panel cointegration models with long panels
Larsson, Rolf
;
Lyhagen, Johan
- In:
Journal of business & economic statistics : JBES ; a …
25
(
2007
)
4
,
pp. 473-483
Persistent link: https://www.econbiz.de/10003566064
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23
Tests for cointegration breakdown over a short time period
Andrews, Donald W. K.
;
Kim, Chae-yŏng
- In:
Journal of business & economic statistics : JBES ; a …
24
(
2006
)
4
,
pp. 379-394
Persistent link: https://www.econbiz.de/10003385126
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24
Stock market downswing and the stability of European Monetary Union money demand
Carstensen, Kai
- In:
Journal of business & economic statistics : JBES ; a …
24
(
2006
)
4
,
pp. 395-402
Persistent link: https://www.econbiz.de/10003385134
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25
Monetary policy in a Markov-switching vector error-correction model : implications for the cost of disinflation and the price puzzle
Francis, Neville
;
Owyang, Michael T.
- In:
Journal of business & economic statistics : JBES ; a …
23
(
2005
)
3
,
pp. 305-313
Persistent link: https://www.econbiz.de/10003012959
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26
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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27
Optimal power for testing potential cointegrating vectors with known parameters for nonstationarity
Elliott, Graham
;
Jansson, Michael
;
Pesavento, Elena
- In:
Journal of business & economic statistics : JBES ; a …
23
(
2005
)
1
,
pp. 34-48
Persistent link: https://www.econbiz.de/10002583950
Saved in:
28
Convergence rates to purchasing power parity for traded and nontraded goods : a structural error-correction model approach
Kim, Jaebeom
- In:
Journal of business & economic statistics : JBES ; a …
23
(
2005
)
1
,
pp. 76-86
Persistent link: https://www.econbiz.de/10002583982
Saved in:
29
Optimal residual-based tests for fractional cointegration and exchange rate dynamics
Nielsen, Morten Ørregaard
- In:
Journal of business & economic statistics : JBES ; a …
22
(
2004
)
3
,
pp. 331-345
Persistent link: https://www.econbiz.de/10002135512
Saved in:
30
Modeling regional interdependencies using a global error-correcting macroeconometric model
Pesaran, M. Hashem
;
Schuermann, Til
;
Weiner, Scott M.
- In:
Journal of business & economic statistics : JBES ; a …
22
(
2004
)
2
,
pp. 129-181
Persistent link: https://www.econbiz.de/10002037011
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31
Valid Bayesian estimation of the cointegrating error correction model
Strachan, Rodney W.
- In:
Journal of business & economic statistics : JBES ; a …
21
(
2003
)
1
,
pp. 185-195
Persistent link: https://www.econbiz.de/10001728895
Saved in:
32
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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33
Bayes estimates of Markov trends in possibly cointegrated series : an application to U.S. consumption and income
Paap, Richard
;
Dijk, Herman K. van
- In:
Journal of business & economic statistics : JBES ; a …
21
(
2003
)
4
,
pp. 547-563
Persistent link: https://www.econbiz.de/10001807014
Saved in:
34
Rank tests for nonlinear cointegration
Breitung, Jörg
- In:
Journal of business & economic statistics : JBES ; a …
19
(
2001
)
3
,
pp. 331-340
Persistent link: https://www.econbiz.de/10001603256
Saved in:
35
Cointegration and threshold adjustment
Enders, Walter
;
Siklos, Pierre L.
- In:
Journal of business & economic statistics : JBES ; a …
19
(
2001
)
2
,
pp. 166-176
Persistent link: https://www.econbiz.de/10001568815
Saved in:
36
Exchange-rate volatility and foreign trade : evidence from thirteen LDC's
Arize, Augustine Chuck
;
Osang, Thomas
;
Slottje, Daniel …
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
1
,
pp. 10-17
Persistent link: https://www.econbiz.de/10001441579
Saved in:
37
Residual-based tests for normality in autoregressions : asymptotic theory and simulation evidence
Kilian, Lutz
;
Demiroğlu, Ufuk
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
1
,
pp. 40-50
Persistent link: https://www.econbiz.de/10001441595
Saved in:
38
Strongly consistent determination of cointegrating rank via canonical correlations
Poskitt, Donald Stephen
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
1
,
pp. 77-90
Persistent link: https://www.econbiz.de/10001441609
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39
Estimating restricted cointegrating vectors
Elliott, Graham
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
1
,
pp. 91-99
Persistent link: https://www.econbiz.de/10001441611
Saved in:
40
Bootstrap testing linear restrictions on cointegrating vectors
Gredenhoff, Mikael P.
;
Jacobson, Tor
- In:
Journal of business & economic statistics : JBES ; a …
19
(
2001
)
1
,
pp. 63-72
Persistent link: https://www.econbiz.de/10001543449
Saved in:
41
Explaining long- and short-run interactions in time series data
Picci, Lucio
- In:
Journal of business & economic statistics : JBES ; a …
19
(
2001
)
1
,
pp. 85-94
Persistent link: https://www.econbiz.de/10001543454
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42
Confidence sets for cointegrating coefficients based on stationarity tests
Wright, Jonathan H.
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
2
,
pp. 211-222
Persistent link: https://www.econbiz.de/10001469686
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43
Testing for the cointegrating rank of a VAR process with structural shifts
Saikkonen, Pentti
;
Lütkepohl, Helmut
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
4
,
pp. 451-464
Persistent link: https://www.econbiz.de/10001521533
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44
Testing for a valid normalization of cointegrating vectors in vector autoregressive processes
Luukkonen, Ritva
;
Ripatti, Antti
;
Saikkonen, Penti
- In:
Journal of business & economic statistics : JBES ; a …
17
(
1999
)
2
,
pp. 195-204
Persistent link: https://www.econbiz.de/10001410679
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45
An asymmetry generator for error-correction mechanisms, with application to bank mortgage-rate dynamics
Frost, Denise
;
Bowden, Roger
- In:
Journal of business & economic statistics : JBES ; a …
17
(
1999
)
2
,
pp. 253-263
Persistent link: https://www.econbiz.de/10001410695
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