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Testing cointegration relationship in a semiparametric varying coefficient model
Gu, Jingping; Liang, Zhongwen - In: Journal of econometrics 178 (2014) 1, pp. 57-70
Persistent link: https://www.econbiz.de/10010255469
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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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Simple tests for stock return predictability with good size and power properties
Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 224 (2021) 1, pp. 198-214
Persistent link: https://www.econbiz.de/10013275372
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Testing for non-correlation between price and volatility jumps
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot - In: Journal of econometrics 197 (2017) 2, pp. 284-297
Persistent link: https://www.econbiz.de/10011818360
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Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros; Titsias, Michalis K.; Petrova, Katerina - In: Journal of econometrics 232 (2023) 2, pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
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Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik; Dijk, Dick van - In: Journal of econometrics 236 (2023) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
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Testing for a slowly changing level with special reference to stochastic volatility
Harvey, Andrew C. - In: Journal of econometrics 87 (1998) 1, pp. 167-189
Persistent link: https://www.econbiz.de/10001248302
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Score-driven models for realized volatility
Harvey, Andrew C.; Palumbo, Dario - In: Journal of econometrics 237 (2023) 2,2, pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
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Instrumental variables estimation of a nearly nonstationary, heterogenous error component model
Choi, In - In: Journal of econometrics 109 (2002) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10001663891
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Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
Busetti, Fabio; Taylor, Robert - In: Journal of econometrics 117 (2003) 1, pp. 21-53
Persistent link: https://www.econbiz.de/10001787600