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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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Structural breaks and GARCH models of exchange rate volatility
Rapach, David E.; Strauss, Jack - In: Journal of applied econometrics 23 (2008) 1, pp. 65-90
Persistent link: https://www.econbiz.de/10003682842
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The conditional heteroscedasticity of the yen-dollar exchange rate
Tse, Yiu Kuen - In: Journal of applied econometrics 13 (1998) 1, pp. 49-55
Persistent link: https://www.econbiz.de/10001237949
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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
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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
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Nonlinear granger causality : guidelines for multivariate analysis
Diks, Cees G. H.; Wolski, Marcin - In: Journal of applied econometrics 31 (2016) 7, pp. 1333-1351
Persistent link: https://www.econbiz.de/10011687494
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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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Robust tests of forward exchange market efficiency with empirical evidence from the 1920s
Phillips, Peter C. B. - In: Journal of applied econometrics 11 (1996) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10001196180
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Dynamic factor models with macro, frailty, and industry effects for US default counts : the credit crisis of 2008
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 4, pp. 521-532
Persistent link: https://www.econbiz.de/10009667047
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Anchoring the yield curve using survey expectations
Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - In: Journal of applied econometrics 32 (2017) 6, pp. 1055-1068
Persistent link: https://www.econbiz.de/10011862313