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Testing for seasonal unit roots by frequency domain regression
Chambers, Marcus J.; Ercolani, Joanne S.; Taylor, Robert - In: Journal of econometrics 178 (2014) 1, pp. 243-258
Persistent link: https://www.econbiz.de/10010256166
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Estimating DSGE models using seasonally adjusted and unadjusted data
Saijo, Hikaru - In: Journal of econometrics 173 (2013) 1, pp. 22-35
Persistent link: https://www.econbiz.de/10009719639
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Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli; Kang, Jian; Silvennoinen, Annastiina; … - In: Journal of econometrics 239 (2024) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10015073960
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Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand
Huang, Tai-hsin; Shen, Chung-hua - In: Journal of econometrics 111 (2002) 1, pp. 11-46
Persistent link: https://www.econbiz.de/10001703551
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Quantile cointegrating regression
Xiao, Zhijie - In: Journal of econometrics 150 (2009) 2, pp. 248-260
Persistent link: https://www.econbiz.de/10003858602
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Chasing volatility : a persistent multiplicative error model with jumps
Caporin, Massimiliano; Rossi, Eduardo; Santucci de … - In: Journal of econometrics 198 (2017) 1, pp. 122-145
Persistent link: https://www.econbiz.de/10011818372
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Economic tracking portfolios
Lamont, Owen A. - In: Journal of econometrics 105 (2001) 1, pp. 161-184
Persistent link: https://www.econbiz.de/10001617161
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Variance trading and market price of variance risk
Bondarenko, Oleg - In: Journal of econometrics 180 (2014) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
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A non-linear dynamic model of the variance risk premium
Eraker, Bjørn; Wang, Jiakou - In: Journal of econometrics 187 (2015) 2, pp. 547-556
Persistent link: https://www.econbiz.de/10011499758
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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