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~isPartOf:"CREATES research paper"
~isPartOf:"Journal of economic dynamics & control"
~subject:"Zeitreihenanalyse"
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Zeitreihenanalyse
Modellierung
57
Scientific modelling
57
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30
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30
Time series analysis
17
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15
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12
Volatilität
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Johansen, Søren
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Teräsvirta, Timo
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CREATES research paper
Journal of economic dynamics & control
Journal of econometrics
26
Discussion paper / Tinbergen Institute
18
Econometric reviews
17
International journal of forecasting
13
Journal of forecasting
12
Working paper
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IHS economics series : working paper
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Econometric Institute research papers
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Applied economics
8
CAMA working paper series
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Reihe Ökonomie
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Department of Economics discussion paper series / University of Oxford
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Discussion papers / Helsinki Center of Economic Research : discussion paper
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Econometric theory
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Insurance / Mathematics & economics
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New directions in macromodelling
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School of Economics working papers / The University of Adelaide, School of Economics
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The North American journal of economics and finance : a journal of financial economics studies
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The econometrics journal
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ECONIS (ZBW)
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1
Times series : cointegration
Johansen, Søren
-
2014
Persistent link: https://www.econbiz.de/10010418999
Saved in:
2
Model complexity and out-of-sample performance : evidence from S&P 500 index returns
Kaeck, Andreas
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of economic dynamics & control
90
(
2018
),
pp. 1-29
Persistent link: https://www.econbiz.de/10011974016
Saved in:
3
Forecasting with the standardized self-perturbed kalman filter
Grassi, Stefano
;
Nonejad, Nima
;
Santucci de Magistris, Paolo
-
2014
Persistent link: https://www.econbiz.de/10010339076
Saved in:
4
Realized GARCH : a complete model of returns and realized measures of volatility
Hansen, Peter Reinhard
;
Huang, Zhuowei
;
Shek, Howard Howan
-
2010
Persistent link: https://www.econbiz.de/10003941851
Saved in:
5
First and second order non-linear cointegration models
Lange, Theis
-
2009
Persistent link: https://www.econbiz.de/10003849457
Saved in:
6
Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim
;
Sizova, Natalia
;
Tauchen, George Eugene
-
2009
Persistent link: https://www.econbiz.de/10003849492
Saved in:
7
The selection of ARIMA models with or without regressors
Johansen, Søren
;
Riani, Marco
;
Atkinson, Anthony C.
-
2012
Persistent link: https://www.econbiz.de/10009660743
Saved in:
8
The role of initial values in nonstationary fractional time series models
Johansen, Søren
;
Nielsen, Morten Ørregaard
-
2012
Persistent link: https://www.econbiz.de/10009667400
Saved in:
9
Unit root vector autoregression with volatility induced stationarity
Rahbek, Anders
;
Bohn Nielsen, Heino
-
2012
Persistent link: https://www.econbiz.de/10009546007
Saved in:
10
Out-of-sample comparison of copula specifications in multivariate density forecasts
Diks, Cees G. H.
;
Panchenko, Valentyn
;
Dijk, Dick van
- In:
Journal of economic dynamics & control
34
(
2010
)
9
,
pp. 1596-1609
Persistent link: https://www.econbiz.de/10009125848
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