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ECONIS (ZBW)
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1
Modeling realized covariance measures with heterogeneous liquidity : a generalized matrix-variate Wishart state-space model
Gribisch, Bastian
;
Hartkopf, Jan Patrick
- In:
Journal of econometrics
235
(
2023
)
1
,
pp. 43-64
Persistent link: https://www.econbiz.de/10014434377
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2
The degree of RMB as an international anchor currency and its driving factors : an exchange rate perspective
Chen, Fengxian
;
Hao, Tianruo
- In:
Applied economics
56
(
2024
)
4
,
pp. 462-482
Persistent link: https://www.econbiz.de/10014440083
Saved in:
3
Stochastic properties of nonlinear locally-nonstationary filters
Blasques, Francisco
;
Nientker, Marc
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2082-2095
Persistent link: https://www.econbiz.de/10014471445
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4
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
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5
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
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6
National media and investor sentiment dynamics : evidence from China central television using a wavelet approach
Jiang, Yanhui
;
Hong, Yun
- In:
Applied economics
55
(
2023
)
47
,
pp. 5485-5503
Persistent link: https://www.econbiz.de/10014335281
Saved in:
7
Do gulf stock markets share time varying connectedness
Saeed, Tareq
;
Nautiyal, Neeraj
;
Ur Rehman, Mobeen
; …
- In:
Applied economics
55
(
2023
)
48
,
pp. 5700-5718
Persistent link: https://www.econbiz.de/10014335664
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8
Integration between emerging market equity and global markets : is it fundamental or noisy? : evidence from wavelet denoised volatility spillover analysis in time and frequency dom...
Jena, Sangram Keshari
;
Tiwari, Aviral Kumar
;
Abakah, …
- In:
Applied economics
55
(
2023
)
12
,
pp. 1312-1327
Persistent link: https://www.econbiz.de/10013554892
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9
Tail risk dependence, co-movement and predictability between green bond and green stocks
Tiwari, Aviral Kumar
;
Abakah, Emmanuel Joel Aikins
; …
- In:
Applied economics
55
(
2023
)
2
,
pp. 201-222
Persistent link: https://www.econbiz.de/10013494416
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10
Financial development and tourism : a century of evidence from Germany
Awaworyi Churchill, Sefa
;
Cai, Yifei
;
Erdiaw-Kwasie, …
- In:
Applied economics
55
(
2023
)
3
,
pp. 305-318
Persistent link: https://www.econbiz.de/10013494425
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11
How to go viral : a COVID-19 model with endogenously time-varying parameters
Ho, Paul
;
Lubik, Thomas A.
;
Matthes, Christian
- In:
Journal of econometrics
232
(
2023
)
1
,
pp. 70-86
Persistent link: https://www.econbiz.de/10013472838
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12
Language sentiment in fundamental and noise trading : evidence from crude oil
Alfano, Simon
;
Feuerriegel, Stefan
;
Neumann, Dirk
- In:
Applied economics
52
(
2020
)
49
,
pp. 5343-5363
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13
Term structure estimation with liquidity-adjusted Affine Nelson Siegel model : a nonlinear state space approach applied to the Indian bond market
Kumar, Sudarshan
;
Virmani, Vineet
- In:
Applied economics
54
(
2022
)
6
,
pp. 648-669
Persistent link: https://www.econbiz.de/10012874236
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14
A wavelet method for panel models with jump discontinuities in the parameters
Bada, Oualid
;
Kneip, Alois
;
Liebl, Dominik
;
Mensinger, Tim
- In:
Journal of econometrics
226
(
2022
)
2
,
pp. 399-422
Persistent link: https://www.econbiz.de/10013461818
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15
Bayesian estimation of long-run risk models using sequential Monte Carlo
Fulop, Andras
;
Heng, Jeremy
;
Li, Junye
;
Liu, Hening
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 62-84
Persistent link: https://www.econbiz.de/10013441725
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16
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
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17
Sparse HP filter : finding kinks in the COVID-19 contact rate
Lee, Sokbae
;
Liao, Yuan
;
Seo, Myung Hwan
;
Shin, Youngki
- In:
Journal of econometrics
220
(
2021
)
1
,
pp. 158-180
Persistent link: https://www.econbiz.de/10012618477
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18
The relationship between the Covid-19 media coverage and the Environmental, Social and Governance leaders equity volatility : a time-frequency wavelet analysis
Umar, Zaghum
;
Gubareva, Mariya
- In:
Applied economics
53
(
2021
)
27
,
pp. 3193-3206
Persistent link: https://www.econbiz.de/10012517082
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19
Efficient estimation and filtering for multivariate jump-diffusions
Guay, François
;
Schwenkler, Gustavo
- In:
Journal of econometrics
223
(
2021
)
1
,
pp. 251-275
Persistent link: https://www.econbiz.de/10012619970
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20
The time-frequency dependence of unemployment on real input prices : a wavelet coherency and partial coherency approach
Meng, Xiangcai
- In:
Applied economics
52
(
2020
)
10
,
pp. 1124-1140
Persistent link: https://www.econbiz.de/10012197519
Saved in:
21
The time-varying characteristics of the Chinese financial cycle and impact from the United States
Wang, Bo
;
Li, Haoran
- In:
Applied economics
52
(
2020
)
11
,
pp. 1200-1218
Persistent link: https://www.econbiz.de/10012197523
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22
On the role of domestic and international financial cyclical factors in driving economic growth
Billio, Monica
;
Donadelli, Michael
;
Livieri, G.
; …
- In:
Applied economics
52
(
2020
)
11
,
pp. 1272-1297
Persistent link: https://www.econbiz.de/10012197527
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23
Tax-spend, spend-tax, or fiscal synchronization : a wavelet analysis
Jaén García, Manuel
- In:
Applied economics
52
(
2020
)
28
,
pp. 3023-3034
Persistent link: https://www.econbiz.de/10012221474
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24
Reducing the state space dimension in a large TVP-VAR
Chan, Joshua
;
Eisenstat, Eric
;
Strachan, Rodney W.
- In:
Journal of econometrics
218
(
2020
)
1
,
pp. 105-118
Persistent link: https://www.econbiz.de/10012482932
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25
Likelihood ratio testing in linear state space models : an application to dynamic stochastic general equilibrium models
Komunjer, Ivana
;
Zhu, Yinchu
- In:
Journal of econometrics
218
(
2020
)
2
,
pp. 561-586
Persistent link: https://www.econbiz.de/10012483171
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26
Does economic policy uncertainty in the U.S. influence stock markets in China and India? : time-frequency evidence
Li, Rong
;
Li, Sufang
;
Yuan, Di
;
Yu, Keming
- In:
Applied economics
52
(
2020
)
39
,
pp. 4300-4316
Persistent link: https://www.econbiz.de/10012259034
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27
The natural rate of interest: information derived from a shadow rate model
Ajevskis, Viktors
- In:
Applied economics
52
(
2020
)
47
,
pp. 5129-5138
Persistent link: https://www.econbiz.de/10012306572
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28
Long-term forecasting of El Niño events via dynamic factor simulations
Li, Mengheng
;
Koopman, Siem Jan
;
Lit, Rutger
;
Petrova, …
- In:
Journal of econometrics
214
(
2020
)
1
,
pp. 46-66
Persistent link: https://www.econbiz.de/10012438104
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29
Identification of house price bubbles using user cost in a state space model
Zhang, Hanxiong
;
Hudson, Robert
;
Metcalf, Hugh
; …
- In:
Applied economics
47
(
2015
)
55/57
,
pp. 6088-6101
Persistent link: https://www.econbiz.de/10011381027
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30
The Indian inflation-growth relationship revisited : robust evidence from time-frequency analysis
Tiwari, Aviral Kumar
;
Olayeni, Richard O.
;
Olofin, …
- In:
Applied economics
51
(
2019
)
51
,
pp. 5559-5576
Persistent link: https://www.econbiz.de/10012197258
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31
Bayesian estimation of dynamic asset pricing models with informative observations
Fulop, Andras
;
Li, Junye
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 114-138
Persistent link: https://www.econbiz.de/10012302530
Saved in:
32
Tempered particle filtering
Herbst, Edward P.
;
Schorfheide, Frank
- In:
Journal of econometrics
210
(
2019
)
1
,
pp. 26-44
Persistent link: https://www.econbiz.de/10012303367
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33
Achieving shrinkage in a time-varying parameter model framework
Bitto, Angela
;
Frühwirth-Schnatter, Sylvia
- In:
Journal of econometrics
210
(
2019
)
1
,
pp. 75-97
Persistent link: https://www.econbiz.de/10012303379
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34
Term structure analysis with big data : one-step estimation using bond prices
Andreasen, Martin Møller
;
Christensen, Jens H. E.
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 26-46
Persistent link: https://www.econbiz.de/10012303862
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35
Identification and wavelet estimation of weighted ATE under discontinuous and kink incentive assignment mechanisms
Chen, Heng
;
Fan, Yanqin
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 476-502
Persistent link: https://www.econbiz.de/10012304074
Saved in:
36
A spectral EM algorithm for dynamic factor models
Fiorentini, Gabriele
;
Galesi, Alessandro
;
Sentana, Enrique
- In:
Journal of econometrics
205
(
2018
)
1
,
pp. 249-279
Persistent link: https://www.econbiz.de/10012110263
Saved in:
37
Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu
;
Zhang, Zhengjun
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 470-487
Persistent link: https://www.econbiz.de/10012110325
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38
Attribution of hedge fund returns using a Kalman filter
Thomson, Daniel
;
Van Vuuren, Gary
- In:
Applied economics
50
(
2018
)
9
,
pp. 1043-1058
Persistent link: https://www.econbiz.de/10011848239
Saved in:
39
A Bayesian approach to estimation of dynamic models with small and large number of heterogeneous players and latent serially correlated states
Gallant, A. Ronald
;
Hong, Han
;
Khwaja, Ahmed
- In:
Journal of econometrics
203
(
2018
)
1
,
pp. 19-32
Persistent link: https://www.econbiz.de/10011974601
Saved in:
40
Nowcasting sales growth of manufacturing companies in India
Sanyal, Anirban
;
Das, Abhiman
- In:
Applied economics
50
(
2018
)
5
,
pp. 510-526
Persistent link: https://www.econbiz.de/10011847016
Saved in:
41
State space models for the exchange rate pass-through : determinants and null/full pass-through hypotheses
Martins de Souza, Rafael
;
Maciel, Luiz Felipe Pires
; …
- In:
Applied economics
45
(
2013
)
34/36
,
pp. 5062-5075
Persistent link: https://www.econbiz.de/10010226437
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42
Large time-varying parameter VARs
Koop, Gary
;
Korobilis, Dimitris
- In:
Journal of econometrics
177
(
2013
)
2
,
pp. 185-198
Persistent link: https://www.econbiz.de/10010254877
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43
Are exchange rates interdependent? : evidence using wavelet analysis
Kumar, Satish
;
Pathak, Rajesh
;
Tiwari, Aviral Kumar
; …
- In:
Applied economics
49
(
2017
)
31/33
,
pp. 3231-3245
Persistent link: https://www.econbiz.de/10011774731
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44
Modelling the relationship between future energy intraday volatility and trading volume with wavelet
Ftiti, Zied
;
Jawadi, Fredj
;
Louhichi, Waël
- In:
Applied economics
49
(
2017
)
20
,
pp. 1981-1993
Persistent link: https://www.econbiz.de/10011817029
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45
Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Shephard, Neil G.
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
1
,
pp. 19-42
Persistent link: https://www.econbiz.de/10011917413
Saved in:
46
Bayesian estimation of state space models using moment conditions
Gallant, A. Ronald
;
Giacomini, Raffaella
;
Ragusa, Giuseppe
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 198-211
Persistent link: https://www.econbiz.de/10011918691
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47
Mixture of distribution hypothesis : analyzing daily liquidity frictions and information flows
Darolles, Serge
;
LeFol, Gaëlle
;
Mero, Gulten
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 367-383
Persistent link: https://www.econbiz.de/10011920520
Saved in:
48
Time-frequency relationship between US output with commodity and asset prices
Tiwari, Aviral Kumar
;
Albulescu, Claudiu Tiberiu
; …
- In:
Applied economics
48
(
2016
)
1/3
,
pp. 227-242
Persistent link: https://www.econbiz.de/10011412694
Saved in:
49
Improving GDP measurement : a measurement-error perspective
Aruoba, S. Borağan
;
Diebold, Francis X.
;
Nalewaik, Jeremy
- In:
Journal of econometrics
191
(
2016
)
2
,
pp. 384-397
Persistent link: https://www.econbiz.de/10011610607
Saved in:
50
Structural fiscal balances of the UK : a state-space DSGE approach
Liu, Kai
- In:
Applied economics
48
(
2016
)
46/48
,
pp. 4447-4461
Persistent link: https://www.econbiz.de/10011640109
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