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A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
Marcellino, Massimiliano; Stock, James H.; Watson, Mark W. - In: Journal of econometrics 135 (2006) 1/2, pp. 499-526
Persistent link: https://www.econbiz.de/10003376109
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Low-frequency robust cointegration testing
Müller, Ulrich K.; Watson, Mark W. - In: Journal of econometrics 174 (2013) 2, pp. 66-81
Persistent link: https://www.econbiz.de/10009751249
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Consistent factor estimation in dynamic factor models with structural instability
Bates, Brandon J.; Plagborg-Møller, Mikkel; Stock, James H. - In: Journal of econometrics 177 (2013) 2, pp. 289-304
Persistent link: https://www.econbiz.de/10010255145
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Estimating turning points using large data sets
Stock, James H.; Watson, Mark W. - In: Journal of econometrics 178 (2014) 1, pp. 368-381
Persistent link: https://www.econbiz.de/10010256839
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Inference in structural Vector Autoregressions identified with an external instrument
Olea, José Luis Montiel; Stock, James H.; Watson, Mark W. - In: Journal of econometrics 225 (2021) 1, pp. 74-87
Persistent link: https://www.econbiz.de/10013279009
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Financial econometrics: a new discipline with new methods
Engle, Robert F. - In: Journal of econometrics 100 (2001) 1, pp. 53-56
Persistent link: https://www.econbiz.de/10001546140
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Asset pricing with a factor-ARCH covariance structure : empirical estimates for treasury bills
Engle, Robert F. - In: Journal of econometrics 45 (1990) 1, pp. 213-237
Persistent link: https://www.econbiz.de/10001332074
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ARCH models in finance
Engle, Robert F. (contributor) - In: Journal of econometrics 52 (1992) 1, pp. 1-311
Persistent link: https://www.econbiz.de/10001121076
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A multiple indicators model for volatility using intra-daily data
Engle, Robert F.; Gallo, Giampiero M. - In: Journal of econometrics 131 (2006) 1/2, pp. 3-27
Persistent link: https://www.econbiz.de/10003298558
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A long-run pure variance common features model for the common volatilities of the Dow Jones
Engle, Robert F.; Marcucci, Juri - In: Journal of econometrics 132 (2006) 1, pp. 7-42
Persistent link: https://www.econbiz.de/10003320235