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ECONIS (ZBW)
189
RePEc
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1
Time-varying unobserved heterogeneity in earnings shocks
Botosaru, Irene
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1378-1393
Persistent link: https://www.econbiz.de/10014471381
Saved in:
2
Jackknife estimation of a cluster-sample IV regression model with many weak instruments
Chao, John C.
;
Swanson, Norman R.
;
Woutersen, Tiemen
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1747-1769
Persistent link: https://www.econbiz.de/10014471426
Saved in:
3
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
4
Extensions to IVX methods of inference for return predictability
Demetrescu, Matei
;
Georgiev, Iliyan
;
Rodrigues, Paulo M. M.
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014471800
Saved in:
5
The synchronization between Korea's and Japan's business cycles
Lee, Keun-yeong
- In:
Asian economic journal : journal of the East Asian …
37
(
2023
)
4
,
pp. 435-465
Persistent link: https://www.econbiz.de/10014474313
Saved in:
6
Spillover effects in the presence of structural breaks, persistence and conditioned heteroscedasticity
Souza, Francisca Mendonça
;
Ramser, Claudia Aline de Souza
- In:
Annals of financial economics
18
(
2023
)
2
,
pp. 1-51
Persistent link: https://www.econbiz.de/10014442610
Saved in:
7
Have the effects of shocks to oil price expectations changed? : evidence from heteroskedastic proxy vector autoregressions
Bruns, Martin
;
Lütkepohl, Helmut
- In:
Economics letters
233
(
2023
),
pp. 1-5
Persistent link: https://www.econbiz.de/10014506905
Saved in:
8
Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model
Chen, Yu
;
Ma, Mengyuan
;
Sun, Hongfang
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 142-162
Persistent link: https://www.econbiz.de/10014317142
Saved in:
9
Feasible weighted projected principal component analysis for semi-parametric factor models
Choi, Sung Hoon
- In:
The econometrics journal
26
(
2023
)
2
,
pp. 215-234
Persistent link: https://www.econbiz.de/10014319342
Saved in:
10
A unified unit root test regardless of intercept
Yang, Bingduo
;
Liu, Xiaohui
;
Long, Wei
;
Peng, Liang
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 540-555
Persistent link: https://www.econbiz.de/10014305575
Saved in:
11
Unconventional monetary policy and the stock market
Rahman, Sajjadur
;
Serletis, Apostolos
- In:
Journal of economics and finance : JEF
47
(
2023
)
3
,
pp. 707-722
Persistent link: https://www.econbiz.de/10014380678
Saved in:
12
Finite-sample corrected inference for two-step GMM in time series
Hwang, Jungbin
;
Valdés, Gonzalo
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 327-352
Persistent link: https://www.econbiz.de/10014364895
Saved in:
13
Volatility spillovers across financial markets : the role of oil price uncertainty
Lee, Seojin
;
Kim, Young Min
- In:
Applied economics letters
30
(
2023
)
17
,
pp. 2342-2347
Persistent link: https://www.econbiz.de/10014365776
Saved in:
14
Estimation of treatment effects under endogenous heteroskedasticity
Abrevaya, Jason
;
Haiqing Xu
- In:
Journal of econometrics
234
(
2023
)
2
,
pp. 451-478
Persistent link: https://www.econbiz.de/10014434342
Saved in:
15
Costly information and sovereign risk
Gu, Grace Weishi
;
Stangebye, Zachary R.
- In:
International economic review
64
(
2023
)
4
,
pp. 1397-1429
Persistent link: https://www.econbiz.de/10014436840
Saved in:
16
Adaptive inference in heteroscedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 50-65
Persistent link: https://www.econbiz.de/10012804084
Saved in:
17
Testing overidentifying restrictions with many instruments and heteroscedasticity using regularised jackknife IV
Carrasco, Marine
;
Doukali, Mohamed
- In:
The econometrics journal
25
(
2022
)
1
,
pp. 71-97
Persistent link: https://www.econbiz.de/10012878896
Saved in:
18
SVAR identification from higher moments : has the simultaneous causality problem been solved?
Olea, José Luis Montiel
;
Plagborg-Møller, Mikkel
; …
- In:
AEA papers and proceedings
112
(
2022
),
pp. 481-485
Persistent link: https://www.econbiz.de/10013254288
Saved in:
19
Martingale effect of conventional vs. Islamic stock indices : evidence from the UAE
Marashdeh, Hazem
;
Ashraf, Sania
- In:
Afro-Asian Journal of Finance and Accounting : AAJFA
12
(
2022
)
3
,
pp. 279-290
Persistent link: https://www.econbiz.de/10013326345
Saved in:
20
Investigating heteroscedasticity using the over-dispersion parameter in a travel cost model
Pang, Arwin
- In:
Letters in spatial and resource sciences : LSRS
15
(
2022
)
3
,
pp. 507-516
Persistent link: https://www.econbiz.de/10013484866
Saved in:
21
Multiple testing of the forward rate unbiasedness hypothesis across currencies
Fu, Hsuan
;
Luger, Richard
- In:
Journal of empirical finance
68
(
2022
),
pp. 232-245
Persistent link: https://www.econbiz.de/10013464493
Saved in:
22
Recurrent conditional heteroskedasticity
Trong-Nghia Nguyen
;
Minh-Ngoc Tran
;
Kohn, Robert
- In:
Journal of applied econometrics
37
(
2022
)
5
,
pp. 1031-1054
Persistent link: https://www.econbiz.de/10013464647
Saved in:
23
Capturing the stock market volatility : a study of sectoral indices in India using symmetric GARCH models
Khera, Aastha
;
Goyal, Anisha
;
Yadav, Miklesh Prasad
- In:
International journal of management practice : IJMP
15
(
2022
)
6
,
pp. 820-833
Persistent link: https://www.econbiz.de/10013415146
Saved in:
24
Inflation targeting under inflation uncertainty : multi-economy evidence from a stochastic volatility model
Hartmann, Matthias
;
Herwartz, Helmut
;
Ulm, Maren
- In:
Macroeconomic dynamics
26
(
2022
)
5
,
pp. 1302-1337
Persistent link: https://www.econbiz.de/10013270236
Saved in:
25
Generalized separability and integrability : consumer demand with a price aggregator
Fally, Thibault
-
2022
Persistent link: https://www.econbiz.de/10013186239
Saved in:
26
Inference in misspecified GARCH-M models
Smallwood, Aaron D.
- In:
Oxford bulletin of economics and statistics
84
(
2022
)
2
,
pp. 334-355
Persistent link: https://www.econbiz.de/10013188544
Saved in:
27
Robust inference in models identified via heteroskedasticity
Lewis, Daniel J.
- In:
The review of economics and statistics
104
(
2022
)
3
,
pp. 510-524
Persistent link: https://www.econbiz.de/10013281462
Saved in:
28
Multifrequency-band tests for white noise under heteroscedasticity
Liu, Mengya
;
Zhu, Fukang
;
Zhu, Ke
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 799-814
Persistent link: https://www.econbiz.de/10013534533
Saved in:
29
Heteroscedastic proxy vector autoregressions
Lütkepohl, Helmut
;
Schlaak, Thore
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
3
,
pp. 1268-1281
Persistent link: https://www.econbiz.de/10013539510
Saved in:
30
Efficient estimation for models with nonlinear heteroscedasticity
Xu, Zhanxiong
;
Zhao, Zhibiao
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
4
,
pp. 1498-1508
Persistent link: https://www.econbiz.de/10013540367
Saved in:
31
Prediction of extremal expectile based on regression models with heteroscedastic extremes
Xu, Wen
;
Hou, Yanxi
;
Li, Deyuan
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 522-536
Persistent link: https://www.econbiz.de/10013533450
Saved in:
32
Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity
Li, Mengheng
;
Mendieta-Muñoz, Ivan
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 337-359
Persistent link: https://www.econbiz.de/10013334751
Saved in:
33
GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors
Jin, Fei
;
Wang, Yuqin
- In:
Econometric reviews
41
(
2022
)
6
,
pp. 652-674
Persistent link: https://www.econbiz.de/10013364900
Saved in:
34
Identification and estimation of a heteroskedastic censored regression model with random coefficient dummy endogenous regressors
Guo, Jing
;
Wang, Lei
;
Zhang, ZhengYu
- In:
Economic modelling
110
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013348383
Saved in:
35
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
36
Parsimony inducing priors for large scale state-space models
Lopes, Hedibert Freitas
;
McCulloch, Robert E.
;
Tsay, Ruey S.
- In:
Journal of econometrics
230
(
2022
)
1
,
pp. 39-61
Persistent link: https://www.econbiz.de/10013441913
Saved in:
37
Is interest rate uncertainty a predictor of investment volatility? : evidence from the wild bootstrap likelihood ratio approach
Olasehinde-Williams, Godwin
;
Özkan, Oktay
- In:
Journal of economics and finance : JEF
46
(
2022
)
3
,
pp. 507-521
Persistent link: https://www.econbiz.de/10013442205
Saved in:
38
Blended identification in structural VARS
Carriero, Andrea
;
Marcellino, Massimiliano
;
Tornese, Tommaso
-
2022
Persistent link: https://www.econbiz.de/10013426567
Saved in:
39
Identifying shocks via time-varying volatility
Lewis, Daniel J.
- In:
The review of economic studies : RES
88
(
2021
)
6
,
pp. 3086-3124
Persistent link: https://www.econbiz.de/10012694492
Saved in:
40
New nonlinear estimators of the gravity equation
Mnasri, Ayman
;
Nechi, Salem
- In:
Economic modelling
95
(
2021
),
pp. 192-202
Persistent link: https://www.econbiz.de/10012695982
Saved in:
41
Outliers and misleading leverage effect in asymmetric GARCH-type models
Carnero, M. Angeles
;
Pérez, Ana
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012437834
Saved in:
42
Testing identification via heteroskedasticity in structural vector autoregressive models
Lütkepohl, Helmut
;
Meitz, Mika
;
Netšunajev, Aleksei
; …
- In:
The econometrics journal
24
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012504441
Saved in:
43
Efficient estimation of heteroscedastic mixed geographically weighted regression models
Mei, Chang-Lin
;
Chen, Feng
;
Wang, Wen-Tao
;
Yang, Peng-Cheng
- In:
The annals of regional science : an international …
66
(
2021
)
1
,
pp. 185-206
Persistent link: https://www.econbiz.de/10012488807
Saved in:
44
Joint tests for dynamic and spatial effects in short panels with fixed effects and heteroskedasticity
Yang, Zhenlin
- In:
Empirical economics : a quarterly journal of the …
60
(
2021
)
1
,
pp. 51-92
Persistent link: https://www.econbiz.de/10012488887
Saved in:
45
Testing heteroskedasticity for predictive regressions with nonstationary regressors
Hong, Shaoxin
;
Zhang, Zhengyi
;
Cai, Zongwu
- In:
Economics letters
201
(
2021
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012607071
Saved in:
46
A heteroskedasticity robust test for cross-sectional correlation in a fixed effects panel data model
Bin, Peng
;
Yu, Junqi
;
Zhu, Yi
- In:
Economics letters
201
(
2021
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012607089
Saved in:
47
Mallows criterion for heteroskedastic linear regressions with many regressors
Anatolyev, Stanislav
- In:
Economics letters
203
(
2021
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012607362
Saved in:
48
Estimation of panel model with heteroskedasticity in both idiosyncratic and individual specific errors
Zhang, Ruohao
;
Kumbhakar, Subal
;
Lai, Hung-pin
- In:
Econometric reviews
40
(
2021
)
4
,
pp. 415-432
Persistent link: https://www.econbiz.de/10012515607
Saved in:
49
Fourth moment structure of markov switching multivariate GARCH models
Cavicchioli, Maddalena
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 565-582
Persistent link: https://www.econbiz.de/10012654989
Saved in:
50
Simple and trustworthy cluster-robust GMM inference
Hwang, Jungbin
- In:
Journal of econometrics
222
(
2021
)
2
,
pp. 993-1023
Persistent link: https://www.econbiz.de/10012619814
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