Anders Rahbek
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob St{ae}rk-{O}stergaard, 2021.
"Bootstrap Inference for Hawkes and General Point Processes,"
Papers
2104.03122, arXiv.org, revised Sep 2021.
- Cavaliere, Giuseppe & Lu, Ye & Rahbek, Anders & Stærk-Østergaard, Jacob, 2023. "Bootstrap inference for Hawkes and general point processes," Journal of Econometrics, Elsevier, vol. 235(1), pages 133-165.
- Cavaliere, Giuseppe & Lu,Ye & Rahbek, Anders & Staerk-Ostergaard, J, 2021. "Bootstrap Inference For Hawkes And General Point Processes," Working Papers 2021-05, University of Sydney, School of Economics.
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob Stærk-Østergaard, 2021. "Bootstrap inference for Hawkes and general point processes," Discussion Papers 21-05, University of Copenhagen. Department of Economics.
Cited by:
- Cavaliere, Giuseppe & Mikosch, Thomas & Rahbek, Anders & Vilandt, Frederik, 2024. "Tail behavior of ACD models and consequences for likelihood-based estimation," Journal of Econometrics, Elsevier, vol. 238(2).
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & Iliyan Georgiev, 2021.
"Bootstrapping Non-Stationary Stochastic Volatility,"
Papers
2101.03562, arXiv.org.
- Boswijk, H. Peter & Cavaliere, Giuseppe & Georgiev, Iliyan & Rahbek, Anders, 2021. "Bootstrapping non-stationary stochastic volatility," Journal of Econometrics, Elsevier, vol. 224(1), pages 161-180.
- Peter Boswijk & Giuseppe Cavaliere & Iliyan Georgiev & Anders Rahbek, 2019. "Bootstrapping Non-Stationary Stochastic Volatility," Tinbergen Institute Discussion Papers 19-083/III, Tinbergen Institute.
Cited by:
- Wang, Bin & Zheng, Xu, 2022. "Testing for the presence of jump components in jump diffusion models," Journal of Econometrics, Elsevier, vol. 230(2), pages 483-509.
- Enzo D’Innocenzo & André Lucas & Bernd Schwaab & Xin Zhang, 2024.
"Modeling Extreme Events: Time-Varying Extreme Tail Shape,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 903-917, July.
- Bernd Schwaab & Xin Zhang & Andre Lucas, 2020. "Modeling extreme events: time-varying extreme tail shape," Tinbergen Institute Discussion Papers 20-076/III, Tinbergen Institute.
- Schwaab, Bernd & Zhang, Xin & Lucas, André & D’Innocenzo, Enzo, 2020. "Modeling extreme events:time-varying extreme tail shape," Working Paper Series 399, Sveriges Riksbank (Central Bank of Sweden), revised 01 Jun 2023.
- Schwaab, Bernd & Zhang, Xin & Lucas, André, 2021. "Modeling extreme events: time-varying extreme tail shape," Working Paper Series 2524, European Central Bank.
- H. Peter Boswijk & Jun Yu & Yang Zu, 2024.
"Testing for an Explosive Bubble using High-Frequency Volatility,"
Papers
2405.02087, arXiv.org.
- H. Peter Boswijk & Jun Yu & Yang Zu, 2024. "Testing for an Explosive Bubble using High-Frequency Volatility," Working Papers 202402, University of Macau, Faculty of Business Administration.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2020.
"An Introduction To Bootstrap Theory In Time Series Econometrics,"
Discussion Papers
20-02, University of Copenhagen. Department of Economics.
Cited by:
- Breitenlechner, Max & Georgiadis, Georgios & Schumann, Ben, 2022.
"What goes around comes around: How large are spillbacks from US monetary policy?,"
Journal of Monetary Economics, Elsevier, vol. 131(C), pages 45-60.
- Max Breitenlechner & Georgios Georgiadis & Ben Schumann, 2021. "What goes around comes around: How large are spillbacks from US monetary policy?," GRU Working Paper Series GRU_2021_003, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
- Breitenlechner, Max & Georgiadis, Georgios & Schumann, Ben, 2021. "What goes around comes around: How large are spillbacks from US monetary policy?," Working Paper Series 2613, European Central Bank.
- Max Breitenlechner & Georgios Georgiadis & Ben Schumann, 2021. "What goes around comes around: How large are spillbacks from US monetary policy?," Working Papers 2021-05, Faculty of Economics and Statistics, Universität Innsbruck.
- Breitenlechner, Max & Georgiadis, Georgios & Schumann, Ben, 2022.
"What goes around comes around: How large are spillbacks from US monetary policy?,"
Journal of Monetary Economics, Elsevier, vol. 131(C), pages 45-60.
- Roman Frydman & Soren Johansen & Anders Rahbek & Morten Tabor, 2019.
"The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth`s Consistency Constraint in Modeling Aggregate Outcomes,"
Working Papers Series
92, Institute for New Economic Thinking.
Cited by:
- Magnus Henrekson & Dan Johansson & Johan Karlsson, 2024.
"To Be or Not to Be: The Entrepreneur in Neo-Schumpeterian Growth Theory,"
Entrepreneurship Theory and Practice, , vol. 48(1), pages 104-140, January.
- Henrekson, Magnus & Johansson, Dan & Karlsson, Johan, 2022. "To Be or Not to Be: The Entrepreneur in Neo-Schumpeterian Growth Theory," Working Paper Series 1441, Research Institute of Industrial Economics, revised 13 Feb 2023.
- Henrekson, Magnus & Johansson, Dan & Karlsson, Johan, 2021. "To Be or Not to Be: The Entrepreneur in Neo-Schumpeterian Growth Theory," Working Papers 2021:3, Örebro University, School of Business, revised 13 Feb 2023.
- Henrekson, Magnus & Johansson, Dan & Karlsson, Johan, 2022. "To Be or Not to Be: The Entrepreneur in Neo-Schumpeterian Growth Theory," IZA Discussion Papers 15605, Institute of Labor Economics (IZA).
- Annalisa Cristini & Piero Ferri, 2021. "Nonlinear models of the Phillips curve," Journal of Evolutionary Economics, Springer, vol. 31(4), pages 1129-1155, September.
- Matthias J. Feiler & Thibaut Ajdler, 2019. "Model uncertainty in financial forecasting," Papers 1912.10813, arXiv.org.
- Magnus Henrekson & Dan Johansson & Johan Karlsson, 2024.
"To Be or Not to Be: The Entrepreneur in Neo-Schumpeterian Growth Theory,"
Entrepreneurship Theory and Practice, , vol. 48(1), pages 104-140, January.
- Simon Hetland & Rasmus Søndergaard Pedersen & Anders Rahbek, 2019.
"Dynamic Conditional Eigenvalue GARCH,"
Discussion Papers
19-13, University of Copenhagen. Department of Economics.
Cited by:
- Simon Hetland, 2020. "Spectral Targeting Estimation of $\lambda$-GARCH models," Papers 2007.02588, arXiv.org.
- Roman Frydman & Soeren Johansen & Anders Rahbek & Morten Nyboe Tabor, 2019.
"The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth�s Consistency Constraint in Modeling Aggregate Outcomes,"
Discussion Papers
19-02, University of Copenhagen. Department of Economics.
Cited by:
- Magnus Henrekson & Dan Johansson & Johan Karlsson, 2024.
"To Be or Not to Be: The Entrepreneur in Neo-Schumpeterian Growth Theory,"
Entrepreneurship Theory and Practice, , vol. 48(1), pages 104-140, January.
- Henrekson, Magnus & Johansson, Dan & Karlsson, Johan, 2022. "To Be or Not to Be: The Entrepreneur in Neo-Schumpeterian Growth Theory," Working Paper Series 1441, Research Institute of Industrial Economics, revised 13 Feb 2023.
- Henrekson, Magnus & Johansson, Dan & Karlsson, Johan, 2021. "To Be or Not to Be: The Entrepreneur in Neo-Schumpeterian Growth Theory," Working Papers 2021:3, Örebro University, School of Business, revised 13 Feb 2023.
- Henrekson, Magnus & Johansson, Dan & Karlsson, Johan, 2022. "To Be or Not to Be: The Entrepreneur in Neo-Schumpeterian Growth Theory," IZA Discussion Papers 15605, Institute of Labor Economics (IZA).
- Annalisa Cristini & Piero Ferri, 2021. "Nonlinear models of the Phillips curve," Journal of Evolutionary Economics, Springer, vol. 31(4), pages 1129-1155, September.
- Matthias J. Feiler & Thibaut Ajdler, 2019. "Model uncertainty in financial forecasting," Papers 1912.10813, arXiv.org.
- Magnus Henrekson & Dan Johansson & Johan Karlsson, 2024.
"To Be or Not to Be: The Entrepreneur in Neo-Schumpeterian Growth Theory,"
Entrepreneurship Theory and Practice, , vol. 48(1), pages 104-140, January.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Rasmus Søndergaard Pedersen & Anders Rahbek, 2018.
"Bootstrap Inference On The Boundary Of The Parameter Space With Application To Conditional Volatility Models,"
Discussion Papers
18-10, University of Copenhagen. Department of Economics.
- Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2022. "Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models," Journal of Econometrics, Elsevier, vol. 227(1), pages 241-263.
Cited by:
- Gregory Fletcher Cox, 2024. "A Simple and Adaptive Confidence Interval when Nuisance Parameters Satisfy an Inequality," Papers 2409.09962, arXiv.org.
- Francq, Christian & Zakoian, Jean-Michel, 2019.
"Testing the existence of moments for GARCH processes,"
MPRA Paper
98892, University Library of Munich, Germany.
- Francq, Christian & Zakoïan, Jean-Michel, 2022. "Testing the existence of moments for GARCH processes," Journal of Econometrics, Elsevier, vol. 227(1), pages 47-64.
- Paul M. Beaumont & Aaron D. Smallwood, 2024. "Conditional sum of squares estimation of k-factor GARMA models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 108(3), pages 501-543, September.
- Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2018.
"A Residual Bootstrap for Conditional Value-at-Risk,"
Papers
1808.09125, arXiv.org, revised Aug 2023.
- Beutner, Eric & Heinemann, Alexander & Smeekes, Stephan, 2024. "A residual bootstrap for conditional Value-at-Risk," Journal of Econometrics, Elsevier, vol. 238(2).
- Xuanling Yang & Dong Li, 2022. "Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(6), pages 938-963, November.
- Giuseppe Cavaliere & Anders Rahbek, 2019. "A Primer On Bootstrap Testing Of Hypotheses In Time Series Models: With An Application To Double Autoregressive Models," Discussion Papers 19-03, University of Copenhagen. Department of Economics.
- Alexander Heinemann, 2019. "A Bootstrap Test for the Existence of Moments for GARCH Processes," Papers 1902.01808, arXiv.org, revised Jul 2019.
- Heino Bohn Nielsen & Anders Rahbek, 2023. "Penalized Quasi-likelihood Estimation and Model Selection in Time Series Models with Parameters on the Boundary," Papers 2302.02867, arXiv.org.
- Roman Frydman & Søren Johansen & Anders Rahbek & Morten Nyboe Tabor, 2017.
"The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment,"
CREATES Research Papers
2017-23, Department of Economics and Business Economics, Aarhus University.
- Roman Frydman & Soren Johansen & Anders Rahbek & Morten Tabor, 2017. "The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment," Working Papers Series 59, Institute for New Economic Thinking.
- Roman Frydman & Soeren Johansen & Anders Rahbek & Morten Nyboe, 2017. "The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations Of Market Forecasts, And Sentiment," Discussion Papers 17-10, University of Copenhagen. Department of Economics.
Cited by:
- Frydman, Roman & Stillwagon, Joshua R., 2018. "Fundamental factors and extrapolation in stock-market expectations: The central role of structural change," Journal of Economic Behavior & Organization, Elsevier, vol. 148(C), pages 189-198.
- Rasmus Soendergaard Pedersen & Anders Rahbek, 2017.
"Testing Garch-X Type Models,"
Discussion Papers
17-15, University of Copenhagen. Department of Economics.
- Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2019. "Testing Garch-X Type Models," Econometric Theory, Cambridge University Press, vol. 35(5), pages 1012-1047, October.
Cited by:
- F. Blasques & Christian Francq & Sébastien Laurent, 2023.
"Quasi score-driven models,"
Post-Print
hal-04069143, HAL.
- Blasques, F. & Francq, Christian & Laurent, Sébastien, 2023. "Quasi score-driven models," Journal of Econometrics, Elsevier, vol. 234(1), pages 251-275.
- Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2022.
"Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models,"
Journal of Econometrics, Elsevier, vol. 227(1), pages 241-263.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Rasmus Søndergaard Pedersen & Anders Rahbek, 2018. "Bootstrap Inference On The Boundary Of The Parameter Space With Application To Conditional Volatility Models," Discussion Papers 18-10, University of Copenhagen. Department of Economics.
- Rémy Garnier, 2022. "Concurrent neural network: a model of competition between times series," Annals of Operations Research, Springer, vol. 313(2), pages 945-964, June.
- Francisco Blasques & Christian Francq & Sébastien Laurent, 2020. "A New Class of Robust Observation-Driven Models," Tinbergen Institute Discussion Papers 20-073/III, Tinbergen Institute.
- Hetland, Simon & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2023. "Dynamic conditional eigenvalue GARCH," Journal of Econometrics, Elsevier, vol. 237(2).
- Yao, Yuan & Zhao, Yang & Li, Yan, 2022. "A volatility model based on adaptive expectations: An improvement on the rational expectations model," International Review of Financial Analysis, Elsevier, vol. 82(C).
- M. Karanasos & S. Yfanti & J. Hunter, 2022. "Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises," Annals of Operations Research, Springer, vol. 313(2), pages 1077-1116, June.
- M. Karanasos & S. Yfanti & A. Christopoulos, 2021. "The long memory HEAVY process: modeling and forecasting financial volatility," Annals of Operations Research, Springer, vol. 306(1), pages 111-130, November.
- Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti, 2019. "Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility," CESifo Working Paper Series 8000, CESifo.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2016.
"On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space,"
Quaderni di Dipartimento
6, Department of Statistics, University of Bologna.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2017. "On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(4), pages 513-534, July.
Cited by:
- Gregory Fletcher Cox, 2024. "A Simple and Adaptive Confidence Interval when Nuisance Parameters Satisfy an Inequality," Papers 2409.09962, arXiv.org.
- Jiang, Feiyu & Li, Dong & Zhu, Ke, 2020. "Non-standard inference for augmented double autoregressive models with null volatility coefficients," Journal of Econometrics, Elsevier, vol. 215(1), pages 165-183.
- Paul M. Beaumont & Aaron D. Smallwood, 2024. "Conditional sum of squares estimation of k-factor GARMA models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 108(3), pages 501-543, September.
- Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2022.
"Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models,"
Journal of Econometrics, Elsevier, vol. 227(1), pages 241-263.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Rasmus Søndergaard Pedersen & Anders Rahbek, 2018. "Bootstrap Inference On The Boundary Of The Parameter Space With Application To Conditional Volatility Models," Discussion Papers 18-10, University of Copenhagen. Department of Economics.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & Iliyan Georgiev, 2021.
"Bootstrapping Non-Stationary Stochastic Volatility,"
Papers
2101.03562, arXiv.org.
- Peter Boswijk & Giuseppe Cavaliere & Iliyan Georgiev & Anders Rahbek, 2019. "Bootstrapping Non-Stationary Stochastic Volatility," Tinbergen Institute Discussion Papers 19-083/III, Tinbergen Institute.
- Boswijk, H. Peter & Cavaliere, Giuseppe & Georgiev, Iliyan & Rahbek, Anders, 2021. "Bootstrapping non-stationary stochastic volatility," Journal of Econometrics, Elsevier, vol. 224(1), pages 161-180.
- Giuseppe Cavaliere & Rasmus Søndergaard Pedersen & Anders Rahbek, 2018. "The Fixed Volatility Bootstrap for a Class of Arch(q) Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 920-941, November.
- Heino Bohn Nielsen & Anders Rahbek, 2023. "Penalized Quasi-likelihood Estimation and Model Selection in Time Series Models with Parameters on the Boundary," Papers 2302.02867, arXiv.org.
- Feiyu Jiang & Dong Li & Ke Zhu, 2019. "Non-standard inference for augmented double autoregressive models with null volatility coefficients," Papers 1905.01798, arXiv.org.
- Luiza S. C. Piancastelli & Wagner Barreto‐Souza & Hernando Ombao, 2023. "Flexible bivariate INGARCH process with a broad range of contemporaneous correlation," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(2), pages 206-222, March.
- Giovanni Angelini & Giuseppe Cavaliere & Luca Fanelli, 2022. "Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 3-22, January.
- Giannerini, Simone & Goracci, Greta & Rahbek, Anders, 2024. "The validity of bootstrap testing for threshold autoregression," Journal of Econometrics, Elsevier, vol. 239(1).
- Cavaliere, G & De Angelis, L & Rahbek, A & Taylor, AMR, 2016.
"Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order,"
Essex Finance Centre Working Papers
17454, University of Essex, Essex Business School.
- Cavaliere, Giuseppe & De Angelis, Luca & Rahbek, Anders & Robert Taylor, A.M., 2018. "Determining The Cointegration Rank In Heteroskedastic Var Models Of Unknown Order," Econometric Theory, Cambridge University Press, vol. 34(2), pages 349-382, April.
Cited by:
- Motegi, Kaiji & Iitsuka, Yoshitaka, 2023. "Inter-regional dependence of J-REIT stock prices: A heteroscedasticity-robust time series approach," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
- Gianluca Cubadda & Marco Mazzali, 2024.
"The vector error correction index model: representation, estimation and identification,"
The Econometrics Journal, Royal Economic Society, vol. 27(1), pages 126-150.
- Gianluca Cubadda & Marco Mazzali, 2023. "The Vector Error Correction Index Model: Representation, Estimation and Identification," CEIS Research Paper 556, Tor Vergata University, CEIS, revised 04 Apr 2023.
- H. Peter Boswijk & Giuseppe Cavaliere & Luca De Angelis & A. M. Robert Taylor, 2023.
"Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models,"
Econometric Reviews, Taylor & Francis Journals, vol. 42(9-10), pages 725-757, November.
- H. Peter Boswijk & Giuseppe Cavaliere & Luca De Angelis & A. M. Robert Taylor, 2022. "Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models," Papers 2202.02532, arXiv.org.
- Boswijk, H Peter & Cavaliere, Giuseppe & De Angelis, Luca & Taylor, AM Robert, 2022. "Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models," Essex Finance Centre Working Papers 33707, University of Essex, Essex Business School.
- Gianluca Cubadda & Alain Hecq, 2022.
"Dimension Reduction for High Dimensional Vector Autoregressive Models,"
CEIS Research Paper
534, Tor Vergata University, CEIS, revised 24 Mar 2022.
- Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
- Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High‐Dimensional Vector Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1123-1152, October.
- Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2024.
"Inference in Heavy-Tailed Nonstationary Multivariate Time Series,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 119(545), pages 565-581, January.
- Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2021. "Inference in heavy-tailed non-stationary multivariate time series," Papers 2107.13894, arXiv.org.
- Guillermo Carlomagno & Antoni Espasa, 2021. "Discovering Specific Common Trends in a Large Set of Disaggregates: Statistical Procedures, their Properties and an Empirical Application," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 641-662, June.
- Martin Bruns & Helmut Lutkepohl, 2024. "Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions," University of East Anglia School of Economics Working Paper Series 2024-06, School of Economics, University of East Anglia, Norwich, UK..
- Gianluca Cubadda, 2024. "VAR models with an index structure: A survey with new results," Papers 2412.11278, arXiv.org.
- Martin Bruns & Helmut Lütkepohl, 2024. "Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions," Discussion Papers of DIW Berlin 2103, DIW Berlin, German Institute for Economic Research.
- Helmut Lütkepohl & Aleksei Netsunajev, 2018.
"The Relation between Monetary Policy and the Stock Market in Europe,"
Discussion Papers of DIW Berlin
1729, DIW Berlin, German Institute for Economic Research.
- Helmut Lütkepohl & Aleksei Netšunajev, 2018. "The Relation between Monetary Policy and the Stock Market in Europe," Econometrics, MDPI, vol. 6(3), pages 1-14, August.
- She, Rui & Ling, Shiqing, 2020. "Inference in heavy-tailed vector error correction models," Journal of Econometrics, Elsevier, vol. 214(2), pages 433-450.
- Anna Pajor & Justyna Wróblewska, 2022. "Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 427-448, September.
- Arianna Agosto & Giuseppe Cavaliere & Dennis Kristensen & Anders Rahbek, 2015.
"Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX),"
CREATES Research Papers
2015-11, Department of Economics and Business Economics, Aarhus University.
- Agosto, Arianna & Cavaliere, Giuseppe & Kristensen, Dennis & Rahbek, Anders, 2016. "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 640-663.
Cited by:
- Giada Adelfio & Arianna Agosto & Marcello Chiodi & Paolo Giudici, 2021. "Financial contagion through space-time point processes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(2), pages 665-688, June.
- Stefano Cabras, 2021. "A Bayesian-Deep Learning Model for Estimating COVID-19 Evolution in Spain," Mathematics, MDPI, vol. 9(22), pages 1-18, November.
- Weiß, Christian H. & Zhu, Fukang, 2024. "Conditional-mean multiplicative operator models for count time series," Computational Statistics & Data Analysis, Elsevier, vol. 191(C).
- Yang, Kai & Yu, Xinyang & Zhang, Qingqing & Dong, Xiaogang, 2022. "On MCMC sampling in self-exciting integer-valued threshold time series models," Computational Statistics & Data Analysis, Elsevier, vol. 169(C).
- Rasmus Soendergaard Pedersen & Anders Rahbek, 2017.
"Testing Garch-X Type Models,"
Discussion Papers
17-15, University of Copenhagen. Department of Economics.
- Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2019. "Testing Garch-X Type Models," Econometric Theory, Cambridge University Press, vol. 35(5), pages 1012-1047, October.
- Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2022.
"Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models,"
Journal of Econometrics, Elsevier, vol. 227(1), pages 241-263.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Rasmus Søndergaard Pedersen & Anders Rahbek, 2018. "Bootstrap Inference On The Boundary Of The Parameter Space With Application To Conditional Volatility Models," Discussion Papers 18-10, University of Copenhagen. Department of Economics.
- Brownlees, Christian & Llorens-Terrazas, Jordi, 2024. "Empirical risk minimization for time series: Nonparametric performance bounds for prediction," Journal of Econometrics, Elsevier, vol. 244(1).
- Mengya Liu & Qi Li & Fukang Zhu, 2020. "Self-excited hysteretic negative binomial autoregression," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(3), pages 385-415, September.
- Escribano, Ana & Maggi, Mario, 2019. "Intersectoral default contagion: A multivariate Poisson autoregression analysis," Economic Modelling, Elsevier, vol. 82(C), pages 376-400.
- Huaping Chen, 2023. "A New Soft-Clipping Discrete Beta GARCH Model and Its Application on Measles Infection," Stats, MDPI, vol. 6(1), pages 1-19, February.
- Maia, Gisele de Oliveira & Barreto-Souza, Wagner & Bastos, Fernando de Souza & Ombao, Hernando, 2021. "Semiparametric time series models driven by latent factor," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1463-1479.
- Arianna Agosto & Paolo Giudici, 2020.
"A Poisson autoregressive model to understand COVID-19 contagion dynamics,"
DEM Working Papers Series
185, University of Pavia, Department of Economics and Management.
- Arianna Agosto & Paolo Giudici, 2020. "A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics," Risks, MDPI, vol. 8(3), pages 1-8, July.
- Cavaliere, Giuseppe & Lu, Ye & Rahbek, Anders & Stærk-Østergaard, Jacob, 2023.
"Bootstrap inference for Hawkes and general point processes,"
Journal of Econometrics, Elsevier, vol. 235(1), pages 133-165.
- Cavaliere, Giuseppe & Lu,Ye & Rahbek, Anders & Staerk-Ostergaard, J, 2021. "Bootstrap Inference For Hawkes And General Point Processes," Working Papers 2021-05, University of Sydney, School of Economics.
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob Stærk-Østergaard, 2021. "Bootstrap inference for Hawkes and general point processes," Discussion Papers 21-05, University of Copenhagen. Department of Economics.
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob St{ae}rk-{O}stergaard, 2021. "Bootstrap Inference for Hawkes and General Point Processes," Papers 2104.03122, arXiv.org, revised Sep 2021.
- Arianna Agosto & Paolo Giudici, 2020. "COVID-19 contagion and digital finance," Digital Finance, Springer, vol. 2(1), pages 159-167, September.
- Huaping Chen & Qi Li & Fukang Zhu, 2023. "A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 86(7), pages 805-826, October.
- Giuseppe Cavaliere & Indeewara Perera & Anders Rahbek, 2021.
"Specification tests for GARCH processes,"
Papers
2105.14081, arXiv.org.
- Giuseppe Cavaliere & Indeewara Perera & Anders Rahbek, 2021. "Specification tests for GARCH processes," Discussion Papers 21-06, University of Copenhagen. Department of Economics.
- Aknouche, Abdelhakim & Francq, Christian, 2018.
"Count and duration time series with equal conditional stochastic and mean orders,"
MPRA Paper
90838, University Library of Munich, Germany.
- Aknouche, Abdelhakim & Francq, Christian, 2021. "Count And Duration Time Series With Equal Conditional Stochastic And Mean Orders," Econometric Theory, Cambridge University Press, vol. 37(2), pages 248-280, April.
- Rémy Garnier, 2022. "Concurrent neural network: a model of competition between times series," Annals of Operations Research, Springer, vol. 313(2), pages 945-964, June.
- Geir D. Berentsen & Jan Bulla & Antonello Maruotti & Bård Støve, 2022. "Modelling clusters of corporate defaults: Regime‐switching models significantly reduce the contagion source," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 71(3), pages 698-722, June.
- Huaping Chen & Qi Li & Fukang Zhu, 2022. "A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 106(2), pages 243-270, June.
- Giovanni Angelini & Giuseppe Cavaliere & Enzo D'Innocenzo & Luca De Angelis, 2022. "Time-Varying Poisson Autoregression," Papers 2207.11003, arXiv.org.
- Zambon, Lorenzo & Agosto, Arianna & Giudici, Paolo & Corani, Giorgio, 2024. "Properties of the reconciled distributions for Gaussian and count forecasts," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1438-1448.
- Giovanni Angelini & Luca De Angelis, 2017.
"PARX model for football match predictions,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(7), pages 795-807, November.
- Giovanni Angelini & Luca De Angelis, 2016. "PARX model for football matches predictions," Quaderni di Dipartimento 2, Department of Statistics, University of Bologna.
- Dennis Kristensen & Young Jun Lee, 2019. "Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models," Papers 1904.05209, arXiv.org, revised Aug 2023.
- Randal Douc & François Roueff & Tepmony Sim, 2021. "Necessary and sufficient conditions for the identifiability of observation‐driven models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(2), pages 140-160, March.
- Wang, Xiaoting & Hou, Siyuan & Shen, Jie, 2021. "Default clustering of the nonfinancial sector and systemic risk: Evidence from China," Economic Modelling, Elsevier, vol. 96(C), pages 196-208.
- Gagliardini, Patrick & Gouriéroux, Christian, 2019. "Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects," Journal of Econometrics, Elsevier, vol. 208(2), pages 613-637.
- Truquet, Lionel, 2023. "Strong mixing properties of discrete-valued time series with exogenous covariates," Stochastic Processes and their Applications, Elsevier, vol. 160(C), pages 294-317.
- Christis Katsouris, 2024. "Robust Estimation in Network Vector Autoregression with Nonstationary Regressors," Papers 2401.04050, arXiv.org.
- Gorgi, P. & Koopman, S.J., 2023.
"Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects,"
Journal of Econometrics, Elsevier, vol. 237(2).
- Paolo Gorgi & Siem Jan Koopman, 2020. "Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects," Tinbergen Institute Discussion Papers 20-004/III, Tinbergen Institute.
- Lu, Ye & Suthaharan, Neyavan, 2023. "Electricity price spike clustering: A zero-inflated GARX approach," Energy Economics, Elsevier, vol. 124(C).
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013.
"Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions,"
Discussion Papers
13-13, University of Copenhagen. Department of Economics.
- Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016. "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Tinbergen Institute Discussion Papers 13-187/III, Tinbergen Institute.
Cited by:
- Paulo M.M. Rodrigues & Marina Balboa, 2021.
"Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume,"
Working Papers
w202102, Banco de Portugal, Economics and Research Department.
- Balboa, Marina & Rodrigues, Paulo MM & Rubia, Antonio & Taylor, AM Robert, 2021. "Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume," Essex Finance Centre Working Papers 29777, University of Essex, Essex Business School.
- Marina Balboa & Paulo M. M. Rodrigues & Antonio Rubia & A. M. Robert Taylor, 2021. "Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 544-565, August.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2016.
"On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space,"
Quaderni di Dipartimento
6, Department of Statistics, University of Bologna.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2017. "On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(4), pages 513-534, July.
- Motegi, Kaiji & Iitsuka, Yoshitaka, 2023. "Inter-regional dependence of J-REIT stock prices: A heteroscedasticity-robust time series approach," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
- Lukasz Gatarek & Søren Johansen, 2017.
"The role of cointegration for optimal hedging with heteroscedastic error term,"
CREATES Research Papers
2017-12, Department of Economics and Business Economics, Aarhus University.
- Lukasz Gatarek & Soeren Johansen, 2017. "The role of cointegration for optimal hedging with heteroscedastic error term," Discussion Papers 17-03, University of Copenhagen. Department of Economics.
- Stan Hurn & Peter C B Phillips & Shuping Shi, 2015.
"Change Detection and the Casual Impact of the Yield Curve,"
NCER Working Paper Series
107, National Centre for Econometric Research.
- Stan Hurn & Peter C. B. Phillips & Shu-Ping Shi, 2016. ""Change Detection and the Causal Impact of the Yield Curve," Cowles Foundation Discussion Papers 2058, Cowles Foundation for Research in Economics, Yale University.
- Shuping Shi & Peter C. B. Phillips & Stan Hurn, 2018. "Change Detection and the Causal Impact of the Yield Curve," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 966-987, November.
- H. Peter Boswijk & Giuseppe Cavaliere & Luca De Angelis & A. M. Robert Taylor, 2023.
"Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models,"
Econometric Reviews, Taylor & Francis Journals, vol. 42(9-10), pages 725-757, November.
- H. Peter Boswijk & Giuseppe Cavaliere & Luca De Angelis & A. M. Robert Taylor, 2022. "Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models," Papers 2202.02532, arXiv.org.
- Boswijk, H Peter & Cavaliere, Giuseppe & De Angelis, Luca & Taylor, AM Robert, 2022. "Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models," Essex Finance Centre Working Papers 33707, University of Essex, Essex Business School.
- Skrobotov Anton & Cavaliere Giuseppe & Taylor Robert, 2016.
"Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility,"
Working Papers
wpaper-2016-269, Gaidar Institute for Economic Policy, revised 2016.
- Giuseppe Cavaliere & Anton Skrobotov & A. M. Robert Taylor, 2019. "Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility," Econometric Reviews, Taylor & Francis Journals, vol. 38(5), pages 509-532, May.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & Iliyan Georgiev, 2021.
"Bootstrapping Non-Stationary Stochastic Volatility,"
Papers
2101.03562, arXiv.org.
- Peter Boswijk & Giuseppe Cavaliere & Iliyan Georgiev & Anders Rahbek, 2019. "Bootstrapping Non-Stationary Stochastic Volatility," Tinbergen Institute Discussion Papers 19-083/III, Tinbergen Institute.
- Boswijk, H. Peter & Cavaliere, Giuseppe & Georgiev, Iliyan & Rahbek, Anders, 2021. "Bootstrapping non-stationary stochastic volatility," Journal of Econometrics, Elsevier, vol. 224(1), pages 161-180.
- Georgiev, I & Harvey, DI & Leybourne, SJ & Taylor, AM, 2018.
"Testing for Parameter Instability in Predictive Regression Models,"
Essex Finance Centre Working Papers
21162, University of Essex, Essex Business School.
- Georgiev, Iliyan & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2018. "Testing for parameter instability in predictive regression models," Journal of Econometrics, Elsevier, vol. 204(1), pages 101-118.
- Paulo M.M. Rodrigues & Matei Demetrescu, 2019.
"Testing for Episodic Predictability in Stock Returns,"
Working Papers
w201906, Banco de Portugal, Economics and Research Department.
- Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2022. "Testing for episodic predictability in stock returns," Journal of Econometrics, Elsevier, vol. 227(1), pages 85-113.
- Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo MM & Taylor, AM Robert, 2019. "Testing for Episodic Predictability in Stock Returns," Essex Finance Centre Working Papers 24137, University of Essex, Essex Business School.
- Otilia Boldea & Adriana Cornea-Madeira & Alastair R. Hall, 2018.
"Bootstrapping Structural Change Tests,"
Papers
1811.04125, arXiv.org.
- Boldea, Otilia & Cornea-Madeira, Adriana & Hall, Alastair R., 2019. "Bootstrapping structural change tests," Journal of Econometrics, Elsevier, vol. 213(2), pages 359-397.
- Otilia Boldea & Adriana Cornea-Madeira & Alastair R. Hall, 2017. "Bootstrapping Structural Change Tests," Economics Discussion Paper Series 1704, Economics, The University of Manchester.
- Michal Ksawery Popiel, 2016.
"Interest Rate Pass-through: A Nonlinear Vector Error-correction Approach,"
Working Paper
1352, Economics Department, Queen's University.
- Popiel Michal Ksawery, 2017. "Interest rate pass-through: a nonlinear vector error-correction approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(5), pages 1-20, December.
- H. Peter Boswijk & Yang Zu, 2022.
"Adaptive Testing for Cointegration With Nonstationary Volatility,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(2), pages 744-755, April.
- Peter Boswijk & Yang Zu, 2019. "Adaptive Testing for Cointegration with Nonstationary Volatility," Tinbergen Institute Discussion Papers 19-043/III, Tinbergen Institute.
- Kemal Çag̃lar Gög̃ebakan & Burak Alparslan Eroglu, 2022. "Non-parametric seasonal unit root tests under periodic non-stationary volatility," Computational Statistics, Springer, vol. 37(5), pages 2581-2636, November.
- Rustam Ibragimov & Jihyun Kim & Anton Skrobotov, 2020. "New robust inference for predictive regressions," Papers 2006.01191, arXiv.org, revised Mar 2023.
- Canepa Alessandra, 2022.
"Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors,"
Journal of Time Series Econometrics, De Gruyter, vol. 14(1), pages 51-85, January.
- Canepa, Alessandra, 2021. "Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202108, University of Turin.
- Takamitsu Kurita & Bent Nielsen, 2019. "Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms," Econometrics, MDPI, vol. 7(4), pages 1-35, October.
- Graziano Moramarco, 2020. "Measuring Global Macroeconomic Uncertainty," Working Papers wp1148, Dipartimento Scienze Economiche, Universita' di Bologna.
- Skrobotov, Anton, 2022. "On robust testing for trend," Economics Letters, Elsevier, vol. 212(C).
- Takamitsu Kurita & B. Nielsen, 2018. "Partial cointegrated vector autoregressive models with structural breaks in deterministic terms," Economics Papers 2018-W03, Economics Group, Nuffield College, University of Oxford.
- Giuseppe Cavaliere & Luca De Angelis & Anders Rahbek & A.M.Robert Taylor, 2013.
"A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models,"
Quaderni di Dipartimento
4, Department of Statistics, University of Bologna.
- Giuseppe Cavaliere & Luca De Angelis & Anders Rahbek & A. M. Robert Taylor, 2015. "A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(1), pages 106-128, February.
Cited by:
- Gianluca Cubadda & Marco Mazzali, 2024.
"The vector error correction index model: representation, estimation and identification,"
The Econometrics Journal, Royal Economic Society, vol. 27(1), pages 126-150.
- Gianluca Cubadda & Marco Mazzali, 2023. "The Vector Error Correction Index Model: Representation, Estimation and Identification," CEIS Research Paper 556, Tor Vergata University, CEIS, revised 04 Apr 2023.
- H. Peter Boswijk & Giuseppe Cavaliere & Luca De Angelis & A. M. Robert Taylor, 2023.
"Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models,"
Econometric Reviews, Taylor & Francis Journals, vol. 42(9-10), pages 725-757, November.
- H. Peter Boswijk & Giuseppe Cavaliere & Luca De Angelis & A. M. Robert Taylor, 2022. "Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models," Papers 2202.02532, arXiv.org.
- Boswijk, H Peter & Cavaliere, Giuseppe & De Angelis, Luca & Taylor, AM Robert, 2022. "Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models," Essex Finance Centre Working Papers 33707, University of Essex, Essex Business School.
- Gianluca Cubadda & Alain Hecq, 2022.
"Dimension Reduction for High Dimensional Vector Autoregressive Models,"
CEIS Research Paper
534, Tor Vergata University, CEIS, revised 24 Mar 2022.
- Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
- Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High‐Dimensional Vector Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1123-1152, October.
- Gianluca Cubadda, 2024. "VAR models with an index structure: A survey with new results," Papers 2412.11278, arXiv.org.
- Pajor Anna & Wróblewska Justyna, 2017. "VEC-MSF models in Bayesian analysis of short- and long-run relationships," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(3), pages 1-22, June.
- Anna Pajor & Justyna Wróblewska, 2022. "Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 427-448, September.
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2012.
"Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models,"
Discussion Papers
12-11, University of Copenhagen. Department of Economics.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2014. "Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models," Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 606-650, August.
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2012. "Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models," CREATES Research Papers 2012-36, Department of Economics and Business Economics, Aarhus University.
Cited by:
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013.
"Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions,"
Discussion Papers
13-13, University of Copenhagen. Department of Economics.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Tinbergen Institute Discussion Papers 13-187/III, Tinbergen Institute.
- Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016. "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
- Jurgen A. Doornik, 2017. "Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions," Econometrics, MDPI, vol. 5(2), pages 1, May.
- Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014.
"Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets,"
CREATES Research Papers
2014-22, Department of Economics and Business Economics, Aarhus University.
- Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2015. "Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets," Journal of Econometrics, Elsevier, vol. 187(2), pages 557-579.
- Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor, 2013. "Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets," Working Paper 1309, Economics Department, Queen's University.
- Luca Benati & Robert E. Lucas Jr. & Juan Pablo Nicolini & Warren Weber, 2020.
"International Evidence on Long-Run Money Demand,"
Diskussionsschriften
dp2021, Universitaet Bern, Departement Volkswirtschaft.
- Warren E. Weber & Robert Lucas & Juan Pablo Nicolini & Luca Benati, 2017. "International Evidence on Long Run Money Demand," 2017 Meeting Papers 1154, Society for Economic Dynamics.
- Luca Benati & Robert E. Lucas & Juan Pablo Nicolini & Warren E. Weber, 2019. "International Evidence on Long-Run Money Demand," Staff Report 587, Federal Reserve Bank of Minneapolis.
- Luca Benati & Robert E. Lucas & Juan Pablo Nicolini & Warren E. Weber, 2017. "International Evidence on Long-Run Money Demand," Working Papers 737, Federal Reserve Bank of Minneapolis.
- Luca Benati & Robert E. Lucas, Jr. & Juan Pablo Nicolini & Warren Weber, 2016. "International Evidence on Long Run Money Demand," NBER Working Papers 22475, National Bureau of Economic Research, Inc.
- Benati, Luca & Lucas, Robert E. & Nicolini, Juan Pablo & Weber, Warren, 2021. "International evidence on long-run money demand," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 43-63.
- Luca Benati & Robert Lucas, Jr. & Juan Nicolini & Warren Weber, 2016. "International Evidence on Long Run Money Demand," Working Papers id:11152, eSocialSciences.
- Stan Hurn & Peter C B Phillips & Shuping Shi, 2015.
"Change Detection and the Casual Impact of the Yield Curve,"
NCER Working Paper Series
107, National Centre for Econometric Research.
- Stan Hurn & Peter C. B. Phillips & Shu-Ping Shi, 2016. ""Change Detection and the Causal Impact of the Yield Curve," Cowles Foundation Discussion Papers 2058, Cowles Foundation for Research in Economics, Yale University.
- Shuping Shi & Peter C. B. Phillips & Stan Hurn, 2018. "Change Detection and the Causal Impact of the Yield Curve," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 966-987, November.
- Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler, 2015.
"Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(5), pages 740-759, October.
- Cavaliere, Giuseppe & Taylor, A. M. Robert & Trenkler, Carsten, 2013. "Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates," Working Papers 32993, University of Mannheim, Department of Economics.
- H. Peter Boswijk & Giuseppe Cavaliere & Luca De Angelis & A. M. Robert Taylor, 2023.
"Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models,"
Econometric Reviews, Taylor & Francis Journals, vol. 42(9-10), pages 725-757, November.
- H. Peter Boswijk & Giuseppe Cavaliere & Luca De Angelis & A. M. Robert Taylor, 2022. "Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models," Papers 2202.02532, arXiv.org.
- Boswijk, H Peter & Cavaliere, Giuseppe & De Angelis, Luca & Taylor, AM Robert, 2022. "Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models," Essex Finance Centre Working Papers 33707, University of Essex, Essex Business School.
- Luca Benati, 2017. "Cointegration Tests and the Classical Dichotomy," Diskussionsschriften dp1704, Universitaet Bern, Departement Volkswirtschaft.
- Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Carsten Jentsch & Dimitris N. Politis & Efstathios Paparoditis, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 416-441, May.
- Hanck, Christoph & Demetrescu, Matei & Tarcolea, Adina, 2012.
"IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance,"
VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century
62072, Verein für Socialpolitik / German Economic Association.
- Matei Demetrescu & Christoph Hanck & Adina I. Tarcolea, 2014. "Iv-Based Cointegration Testing In Dependent Panels With Time-Varying Variance," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(5), pages 393-406, August.
- Sven Schreiber, 2019. "On (bootstrapped) cointegration tests in partial systems," IMK Working Paper 199-2019, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Jentsch, Carsten & Paparoditis, Efstathios & Politis, Dimitris N., 2014. "Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes," Working Papers 14-18, University of Mannheim, Department of Economics.
- Marcus J. Chambers, 2015. "A Jackknife Correction to a Test for Cointegration Rank," Econometrics, MDPI, vol. 3(2), pages 1-21, May.
- Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek, 2015.
"Recent developments in bootstrap methods for dependent data,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 269-271, May.
- Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 272-289, May.
- Ingrid Groessl & Artur Tarassow, 2018.
"A Microfounded Model of Money Demand Under Uncertainty, and some Empirical Evidence,"
Macroeconomics and Finance Series
201802, University of Hamburg, Department of Socioeconomics.
- Ingrid Groessl & Artur Tarassow, 2015. "A Microfounded Model of Money Demand Under Uncertainty, and some Empirical Evidence," Macroeconomics and Finance Series 201504, University of Hamburg, Department of Socioeconomics, revised Jan 2018.
- Giuseppe Cavaliere & Anders Rahbek, 2019. "A Primer On Bootstrap Testing Of Hypotheses In Time Series Models: With An Application To Double Autoregressive Models," Discussion Papers 19-03, University of Copenhagen. Department of Economics.
- Phillips, Peter C.B. & Magdalinos, Tassos, 2013.
"Inconsistent Var Regression With Common Explosive Roots,"
Econometric Theory, Cambridge University Press, vol. 29(4), pages 808-837, August.
- Peter C.B. Phillips & Tassos Magdalinos, 2011. "Inconsistent VAR Regression with Common Explosive Roots," Cowles Foundation Discussion Papers 1777, Cowles Foundation for Research in Economics, Yale University.
- Belongia, Michael T. & Ireland, Peter N., 2019.
"The demand for Divisia Money: Theory and evidence,"
Journal of Macroeconomics, Elsevier, vol. 61(C), pages 1-1.
- Michael T. Belongia & Peter N. Ireland, 2017. "The Demand for Divisia Money: Theory and Evidence," Boston College Working Papers in Economics 937, Boston College Department of Economics.
- Al-Sadoon, Majid M., 2017. "A unifying theory of tests of rank," Journal of Econometrics, Elsevier, vol. 199(1), pages 49-62.
- Anne Lundgaard Hansen, 2018. "Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling," Discussion Papers 18-12, University of Copenhagen. Department of Economics.
- Jesus Otero & Theodore Panagiotidis & Georgios Papapanagiotou, 2020.
"Multivariate cointegration and temporal aggregation: some further simulation results,"
Discussion Paper Series
2020_05, Department of Economics, University of Macedonia, revised Oct 2020.
- Jesús Otero & Theodore Panagiotidis & Georgios Papapanagiotou, 2022. "Multivariate Cointegration and Temporal Aggregation: Some Further Simulation Results," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 59-70, January.
- Burak Eroglu, 2017. "Wavelet Variance Ratio Test And Wavestrapping For The Determination Of The Cointegration Rank," Working Papers 1706, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
- Marçal, Emerson & Simões, Oscar Rodrigues, 2024. "Current account and real effective exchange rate dynamics: the role of non-linear dynamics in Brazil," Textos para discussão 571, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Eroğlu, Burak Alparslan, 2019. "Wavelet variance ratio cointegration test and wavestrapping," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 298-319.
- Anders Rahbek & Heino Bohn Nielsen, 2012.
"Unit Root Vector Autoregression with volatility Induced Stationarity,"
CREATES Research Papers
2012-29, Department of Economics and Business Economics, Aarhus University.
- Anders Rahbek & Heino Bohn Nielsen, 2012. "Unit root vector autoregression with volatility induced stationarity," Discussion Papers 12-02, University of Copenhagen. Department of Economics.
- Nielsen, Heino Bohn & Rahbek, Anders, 2014. "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
- Niklas Ahlgren & Paul Catani, 2017. "Wild bootstrap tests for autocorrelation in vector autoregressive models," Statistical Papers, Springer, vol. 58(4), pages 1189-1216, December.
- Gkillas, Konstantinos & Konstantatos, Christoforos & Floros, Christos & Tsagkanos, Athanasios, 2021. "Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis," International Review of Financial Analysis, Elsevier, vol. 74(C).
- Luca Benati, 2015.
"The Long-Run Phillips Curve: A Structural VAR Investigation,"
2015 Meeting Papers
929, Society for Economic Dynamics.
- Benati, Luca, 2015. "The long-run Phillips curve: A structural VAR investigation," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 15-28.
- Andreas Hetland & Simon Hetland, 2017. "Short-Term Expectation Formation Versus Long-Term Equilibrium Conditions: The Danish Housing Market," Econometrics, MDPI, vol. 5(3), pages 1, September.
- Rasmus Søndergaard Pedersen & Anders Rahbek, 2012.
"Multivariate Variance Targeting in the BEKK-GARCH Model,"
CREATES Research Papers
2012-53, Department of Economics and Business Economics, Aarhus University.
- Rasmus S. Pedersen & Anders Rahbek, 2014. "Multivariate variance targeting in the BEKK–GARCH model," Econometrics Journal, Royal Economic Society, vol. 17(1), pages 24-55, February.
- Rasmus Søndergaard Pedersen & Anders Rahbek, 2012. "Multivariate Variance Targeting in the BEKK-GARCH Model," Discussion Papers 12-23, University of Copenhagen. Department of Economics.
Cited by:
- Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2020.
"Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing,"
IRTG 1792 Discussion Papers
2020-020, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2021. "Long- and short-run components of factor betas: Implications for stock pricing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
- Thieu, Le Quyen, 2016. "Variance targeting estimation of the BEKK-X model," MPRA Paper 75572, University Library of Munich, Germany.
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"A dynamic component model for forecasting high-dimensional realized covariance matrices,"
Econometrics and Statistics, Elsevier, vol. 1(C), pages 40-61.
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"Targeting estimation of CCC-Garch models with infinite fourth moments,"
Discussion Papers
14-04, University of Copenhagen. Department of Economics.
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"MGARCH models: Trade-off between feasibility and flexibility,"
International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
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"Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 340-349, April.
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- Asai Manabu & So Mike K. P., 2023. "Realized BEKK-CAW Models," Journal of Time Series Econometrics, De Gruyter, vol. 15(1), pages 49-77, January.
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"Variance Targeting Estimation of Multivariate GARCH Models,"
Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 353-382.
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"Inference and testing on the boundary in extended constant conditional correlation GARCH models,"
Journal of Econometrics, Elsevier, vol. 196(1), pages 23-36.
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"On the tail behavior of a class of multivariate conditionally heteroskedastic processes,"
Papers
1701.05091, arXiv.org, revised Dec 2017.
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"Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas,"
CEIS Research Paper
510, Tor Vergata University, CEIS, revised 11 Mar 2021.
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- Stefano Grassi & Francesco Violante, 2021. "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," CREATES Research Papers 2021-05, Department of Economics and Business Economics, Aarhus University.
- Hetland, Simon & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2023. "Dynamic conditional eigenvalue GARCH," Journal of Econometrics, Elsevier, vol. 237(2).
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"Multivariate Rotated ARCH Models,"
Economics Papers
2012-W01, Economics Group, Nuffield College, University of Oxford.
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"Networks in risk spillovers: a multivariate GARCH perspective,"
Working Papers
2016:03, Department of Economics, University of Venice "Ca' Foscari".
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- Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2020. "Networks in risk spillovers: A multivariate GARCH perspective," Working Papers 2020:16, Department of Economics, University of Venice "Ca' Foscari".
- Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2023. "Networks in risk spillovers: A multivariate GARCH perspective," Econometrics and Statistics, Elsevier, vol. 28(C), pages 1-29.
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"Next Generation Models for Portfolio Risk Management: An Approach Using Financial Big Data,"
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2102.12783, arXiv.org, revised Feb 2022.
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"Unit Root Vector Autoregression with volatility Induced Stationarity,"
CREATES Research Papers
2012-29, Department of Economics and Business Economics, Aarhus University.
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Cited by:
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"Testing for strict stationarity in a random coefficient autoregressive model,"
Discussion Papers
18/02, University of Nottingham, Granger Centre for Time Series Econometrics.
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"Stationary bubble equilibria in rational expectation models,"
Journal of Econometrics, Elsevier, vol. 218(2), pages 714-735.
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"On the tail behavior of a class of multivariate conditionally heteroskedastic processes,"
Papers
1701.05091, arXiv.org, revised Dec 2017.
- Rasmus Søndergaard Pedersen & Olivier Wintenberger, 2017. "On the tail behavior of a class of multivariate conditionally heteroskedastic processes," Post-Print hal-01436267, HAL.
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- Hetland, Simon & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2023. "Dynamic conditional eigenvalue GARCH," Journal of Econometrics, Elsevier, vol. 237(2).
- Giuseppe Cavaliere & Anders Rahbek, 2019. "A Primer On Bootstrap Testing Of Hypotheses In Time Series Models: With An Application To Double Autoregressive Models," Discussion Papers 19-03, University of Copenhagen. Department of Economics.
- Anne Lundgaard Hansen, 2018. "Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling," Discussion Papers 18-12, University of Copenhagen. Department of Economics.
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"Mixed Causal-Noncausal Ar Processes And The Modelling Of Explosive Bubbles,"
Econometric Theory, Cambridge University Press, vol. 35(6), pages 1234-1270, December.
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"Bootstrap determination of the co-integration rank in VAR models,"
Quaderni di Dipartimento
9, Department of Statistics, University of Bologna.
Cited by:
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"Times Series: Cointegration,"
Discussion Papers
14-24, University of Copenhagen. Department of Economics.
- Søren Johansen, 2014. "Times Series: Cointegration," CREATES Research Papers 2014-38, Department of Economics and Business Economics, Aarhus University.
- Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler, 2015.
"Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(5), pages 740-759, October.
- Cavaliere, Giuseppe & Taylor, A. M. Robert & Trenkler, Carsten, 2013. "Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates," Working Papers 32993, University of Mannheim, Department of Economics.
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"The cointegrated vector autoregressive model with general deterministic terms,"
Discussion Papers
16-07, University of Copenhagen. Department of Economics.
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- Søren Johansen & Morten Ørregaard Nielsen, 2016. "The cointegrated vector autoregressive model with general deterministic terms," CREATES Research Papers 2016-22, Department of Economics and Business Economics, Aarhus University.
- Schreiber, Sven, 2018. "Are bootstrapped cointegration test findings unreliable?," Discussion Papers 2018/8, Free University Berlin, School of Business & Economics.
- Anders Rahbek & Heino Bohn Nielsen, 2012.
"Unit Root Vector Autoregression with volatility Induced Stationarity,"
CREATES Research Papers
2012-29, Department of Economics and Business Economics, Aarhus University.
- Anders Rahbek & Heino Bohn Nielsen, 2012. "Unit root vector autoregression with volatility induced stationarity," Discussion Papers 12-02, University of Copenhagen. Department of Economics.
- Nielsen, Heino Bohn & Rahbek, Anders, 2014. "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
- Søren Johansen, 2014.
"Times Series: Cointegration,"
Discussion Papers
14-24, University of Copenhagen. Department of Economics.
- Guiseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2010.
"Bootstrap Sequential Determination of the Co-integration Rank in VAR Models,"
CREATES Research Papers
2010-07, Department of Economics and Business Economics, Aarhus University.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2010. "Bootstrap Sequential Determination of the Co-integration Rank in VAR Models," Discussion Papers 10-07, University of Copenhagen. Department of Economics.
Cited by:
- Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler, 2015.
"Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(5), pages 740-759, October.
- Cavaliere, Giuseppe & Taylor, A. M. Robert & Trenkler, Carsten, 2013. "Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates," Working Papers 32993, University of Mannheim, Department of Economics.
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"Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order,"
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- Dennis Kristensen & Anders Rahbek, 2010.
"Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models,"
Discussion Papers
10-25, University of Copenhagen. Department of Economics.
- Kristensen, Dennis & Rahbek, Anders, 2013. "Testing And Inference In Nonlinear Cointegrating Vector Error Correction Models," Econometric Theory, Cambridge University Press, vol. 29(6), pages 1238-1288, December.
- Dennis Kristensen & Anders Rahbek, 2010. "Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models," CREATES Research Papers 2010-68, Department of Economics and Business Economics, Aarhus University.
Cited by:
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013.
"Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions,"
Discussion Papers
13-13, University of Copenhagen. Department of Economics.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Tinbergen Institute Discussion Papers 13-187/III, Tinbergen Institute.
- Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016. "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
- Line Elvstrøm Ekner & Emil Nejstgaard, 2013. "Parameter Identification in the Logistic STAR Model," Discussion Papers 13-07, University of Copenhagen. Department of Economics.
- Keilbar, Georg & Zhang, Yanfen, 2020.
"On Cointegration and Cryptocurrency Dynamics,"
IRTG 1792 Discussion Papers
2020-012, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Georg Keilbar & Yanfen Zhang, 2021. "On cointegration and cryptocurrency dynamics," Digital Finance, Springer, vol. 3(1), pages 1-23, March.
- Michal Ksawery Popiel, 2016.
"Interest Rate Pass-through: A Nonlinear Vector Error-correction Approach,"
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1352, Economics Department, Queen's University.
- Popiel Michal Ksawery, 2017. "Interest rate pass-through: a nonlinear vector error-correction approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(5), pages 1-20, December.
- Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
- Giuseppe Cavaliere & Anders Rahbek, 2019. "A Primer On Bootstrap Testing Of Hypotheses In Time Series Models: With An Application To Double Autoregressive Models," Discussion Papers 19-03, University of Copenhagen. Department of Economics.
- Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
- Skrobotov, Anton, 2021. "Structural breaks in cointegration models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 63, pages 117-141.
- Marçal, Emerson & Simões, Oscar Rodrigues, 2024. "Current account and real effective exchange rate dynamics: the role of non-linear dynamics in Brazil," Textos para discussão 571, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
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- Andreas Hetland, 2018. "The Stochastic Stationary Root Model," Econometrics, MDPI, vol. 6(3), pages 1-33, August.
- Chlibi Souhir & Jawadi Fredj & Sellami Mohamed, 2017. "Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 47-63, February.
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2009.
"Co-integration Rank Testing under Conditional Heteroskedasticity,"
CREATES Research Papers
2009-22, Department of Economics and Business Economics, Aarhus University.
- Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Cointegration Rank Testing Under Conditional Heteroskedasticity," Econometric Theory, Cambridge University Press, vol. 26(6), pages 1719-1760, December.
Cited by:
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013.
"Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions,"
Discussion Papers
13-13, University of Copenhagen. Department of Economics.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Tinbergen Institute Discussion Papers 13-187/III, Tinbergen Institute.
- Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016. "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
- Erick Lahura, 2017.
"Monetary Aggregates and Monetary Policy in Peru,"
BCAM Working Papers
1704, Birkbeck Centre for Applied Macroeconomics.
- Lahura, Erick, 2017. "Monetary Aggregates and Monetary Policy in Peru," Working Papers 2017-003, Banco Central de Reserva del Perú.
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- Guiseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2010.
"Bootstrap Sequential Determination of the Co-integration Rank in VAR Models,"
CREATES Research Papers
2010-07, Department of Economics and Business Economics, Aarhus University.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2010. "Bootstrap Sequential Determination of the Co-integration Rank in VAR Models," Discussion Papers 10-07, University of Copenhagen. Department of Economics.
- Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler, 2010.
"Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion,"
Discussion Papers
10/04, University of Nottingham, Granger Centre for Time Series Econometrics.
- Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler, 2013. "Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion," Econometric Reviews, Taylor & Francis Journals, vol. 32(7), pages 814-847, October.
- Lukasz Gatarek & Søren Johansen, 2017.
"The role of cointegration for optimal hedging with heteroscedastic error term,"
CREATES Research Papers
2017-12, Department of Economics and Business Economics, Aarhus University.
- Lukasz Gatarek & Soeren Johansen, 2017. "The role of cointegration for optimal hedging with heteroscedastic error term," Discussion Papers 17-03, University of Copenhagen. Department of Economics.
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"Change Detection and the Casual Impact of the Yield Curve,"
NCER Working Paper Series
107, National Centre for Econometric Research.
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- Shuping Shi & Peter C. B. Phillips & Stan Hurn, 2018. "Change Detection and the Causal Impact of the Yield Curve," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 966-987, November.
- Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler, 2015.
"Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(5), pages 740-759, October.
- Cavaliere, Giuseppe & Taylor, A. M. Robert & Trenkler, Carsten, 2013. "Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates," Working Papers 32993, University of Mannheim, Department of Economics.
- Mezgebo, Taddese, 2009. "A multivariate approach for identification of optimal locations with in Ethiopia’s wheat market to tackle soaring inflation on food price (Extended version)," MPRA Paper 17960, University Library of Munich, Germany.
- Cavusoglu, Nevin & Goldberg, Michael D. & Stillwagon, Josh, 2021. "Currency returns and downside risk: Debt, volatility, and the gap from benchmark values," Journal of Macroeconomics, Elsevier, vol. 68(C).
- Eduardo Rossi & Paolo Santucci de Magistris, 2009. "A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility," CREATES Research Papers 2009-31, Department of Economics and Business Economics, Aarhus University.
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- Aknouche, Abdelhakim & Gouveia, Sonia & Scotto, Manuel, 2023. "Random multiplication versus random sum: auto-regressive-like models with integer-valued random inputs," MPRA Paper 119518, University Library of Munich, Germany, revised 18 Dec 2023.
- Wagner Barreto‐Souza & Hernando Ombao, 2022. "The negative binomial process: A tractable model with composite likelihood‐based inference," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(2), pages 568-592, June.
- Yunwei Cui & Rongning Wu & Qi Zheng, 2021. "Estimation of change‐point for a class of count time series models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(4), pages 1277-1313, December.
- Cui, Yunwei & Wu, Rongning, 2016. "On conditional maximum likelihood estimation for INGARCH(p,q) models," Statistics & Probability Letters, Elsevier, vol. 118(C), pages 1-7.
- Konstantinos Fokianos & Dag Tjøstheim, 2012. "Nonlinear Poisson autoregression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(6), pages 1205-1225, December.
- Heidar Eyjolfsson & Dag Tj{o}stheim, 2021. "Multivariate self-exciting jump processes with applications to financial data," Papers 2108.10176, arXiv.org.
- Pedeli, Xanthi & Karlis, Dimitris, 2013. "Some properties of multivariate INAR(1) processes," Computational Statistics & Data Analysis, Elsevier, vol. 67(C), pages 213-225.
- Chen, Cathy W.S. & Lee, Sangyeol, 2016. "Generalized Poisson autoregressive models for time series of counts," Computational Statistics & Data Analysis, Elsevier, vol. 99(C), pages 51-67.
- Yan Cui & Qi Li & Fukang Zhu, 2020. "Flexible bivariate Poisson integer-valued GARCH model," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(6), pages 1449-1477, December.
- Simon Nik, 2024. "Marginal analysis of count time series in the presence of missing observations," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 33(4), pages 1105-1128, December.
- Huiyu Mao & Fukang Zhu & Yan Cui, 2020. "A generalized mixture integer-valued GARCH model," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(3), pages 527-552, September.
- Christian H. Weiß & Sebastian Schweer, 2015. "Detecting overdispersion in INARCH(1) processes," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 69(3), pages 281-297, August.
- Younghoon Kim & Marie-Christine Duker & Zachary F. Fisher & Vladas Pipiras, 2023. "Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series," Papers 2307.10454, arXiv.org, revised Jul 2024.
- Lu, Ye & Suthaharan, Neyavan, 2023. "Electricity price spike clustering: A zero-inflated GARX approach," Energy Economics, Elsevier, vol. 124(C).
- Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos & Touche, Nassim, 2019. "Integer-valued stochastic volatility," MPRA Paper 91962, University Library of Munich, Germany, revised 04 Feb 2019.
- Scotto, Manuel G. & Weiß, Christian H. & Silva, Maria Eduarda & Pereira, Isabel, 2014. "Bivariate binomial autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 125(C), pages 233-251.
- Kai Yang & Yiwei Zhao & Han Li & Dehui Wang, 2023. "On bivariate threshold Poisson integer-valued autoregressive processes," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 86(8), pages 931-963, November.
- Fukang Zhu & Shuangzhe Liu & Lei Shi, 2016. "Local influence analysis for Poisson autoregression with an application to stock transaction data," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 70(1), pages 4-25, February.
- Anne Leucht & Michael Neumann, 2013. "Degenerate $$U$$ - and $$V$$ -statistics under ergodicity: asymptotics, bootstrap and applications in statistics," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(2), pages 349-386, April.
- Jiwon Kang & Sangyeol Lee, 2014. "Parameter Change Test for Poisson Autoregressive Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(4), pages 1136-1152, December.
- Fokianos, Konstantinos & Moysiadis, Theodoros, 2017. "Binary time series models driven by a latent process," Econometrics and Statistics, Elsevier, vol. 2(C), pages 117-130.
- Fokianos, Konstantinos & Fried, Roland & Kharin, Yuriy & Voloshko, Valeriy, 2022. "Statistical analysis of multivariate discrete-valued time series," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
- E. Gonçalves & N. Mendes-Lopes & F. Silva, 2015. "Infinitely Divisible Distributions in Integer-Valued Garch Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(4), pages 503-527, July.
- Yang Lu, 2020. "A simple parameter‐driven binary time series model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 187-199, March.
- Mirko Armillotta & Konstantinos Fokianos, 2024. "Count network autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 45(4), pages 584-612, July.
- Luis E. Nieto-Barajas, 2022. "Dependence on a collection of Poisson random variables," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(1), pages 21-39, March.
- Luiza S. C. Piancastelli & Wagner Barreto‐Souza & Hernando Ombao, 2023. "Flexible bivariate INGARCH process with a broad range of contemporaneous correlation," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(2), pages 206-222, March.
- Malte Jahn, 2023. "Artificial neural networks and time series of counts: A class of nonlinear INGARCH models," Papers 2304.01025, arXiv.org.
- Yan Cui & Fukang Zhu, 2018. "A new bivariate integer-valued GARCH model allowing for negative cross-correlation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(2), pages 428-452, June.
- Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos, 2024. "Volatility models versus intensity models: analogy and differences," MPRA Paper 122528, University Library of Munich, Germany.
- Fokianos, Konstantinos & Truquet, Lionel, 2019. "On categorical time series models with covariates," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3446-3462.
- Youngmi Lee & Sangyeol Lee & Dag Tjøstheim, 2018. "Asymptotic normality and parameter change test for bivariate Poisson INGARCH models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(1), pages 52-69, March.
- Kang, Jiwon & Lee, Sangyeol, 2014. "Minimum density power divergence estimator for Poisson autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 80(C), pages 44-56.
- Youngmi Lee & Sangyeol Lee, 2019. "CUSUM test for general nonlinear integer-valued GARCH models: comparison study," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(5), pages 1033-1057, October.
- Vurukonda Sathish & Siuli Mukhopadhyay & Rashmi Tiwari, 2022. "Autoregressive and moving average models for zero‐inflated count time series," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 76(2), pages 190-218, May.
- Aknouche, Abdelhakim & Bentarzi, Wissam & Demouche, Nacer, 2017. "On periodic ergodicity of a general periodic mixed Poisson autoregression," MPRA Paper 79650, University Library of Munich, Germany.
- Svetunkov, Ivan & Boylan, John E., 2023. "iETS: State space model for intermittent demand forecasting," International Journal of Production Economics, Elsevier, vol. 265(C).
- Li, Qi & Lian, Heng & Zhu, Fukang, 2016. "Robust closed-form estimators for the integer-valued GARCH (1,1) model," Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 209-225.
- Bracher, Johannes & Held, Leonhard, 2022. "Endemic-epidemic models with discrete-time serial interval distributions for infectious disease prediction," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1221-1233.
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008.
"The ACR model: a multivariate dynamic mixture autoregression,"
THEMA Working Papers
2008-11, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR Model: A Multivariate Dynamic Mixture Autoregression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 583-618, October.
Cited by:
- Deborah Gefang, 2012. "Money‐output Causality Revisited – A Bayesian Logistic Smooth Transition VECM Perspective," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(1), pages 131-151, February.
- Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger, 2018.
"Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models,"
Post-Print
hal-01377971, HAL.
- F Blasques & P Gorgi & S Koopman & O Wintenberger, 2016. "Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models," Papers 1610.02863, arXiv.org.
- Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2007.
"Multivariate contemporaneous threshold autoregressive models,"
Working Papers
2007-019, Federal Reserve Bank of St. Louis.
- Dueker, Michael J. & Psaradakis, Zacharias & Sola, Martin & Spagnolo, Fabio, 2011. "Multivariate contemporaneous-threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 160(2), pages 311-325, February.
- Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009. "Multivariate Contemporaneous Threshold Autoregressive Models," Department of Economics Working Papers 2009-03, Universidad Torcuato Di Tella.
- Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2010. "Multivariate Contemporaneous-Threshold Autoregressive Models," UFAE and IAE Working Papers 817.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Leena Kalliovirta & Mika Meitz & Pentti Saikkonen, 2015. "A Gaussian Mixture Autoregressive Model for Univariate Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(2), pages 247-266, March.
- Line Elvstrøm Ekner & Emil Nejstgaard, 2013. "Parameter Identification in the Logistic STAR Model," Discussion Papers 13-07, University of Copenhagen. Department of Economics.
- Luca Di Persio & Samuele Vettori, 2014. "Markov Switching Model Analysis of Implied Volatility for Market Indexes with Applications to S&P 500 and DAX," Journal of Mathematics, Hindawi, vol. 2014, pages 1-17, December.
- Meitz, Mika & Saikkonen, Pentti, 2022.
"Subgeometrically Ergodic Autoregressions,"
Econometric Theory, Cambridge University Press, vol. 38(5), pages 959-985, October.
- Mika Meitz & Pentti Saikkonen, 2019. "Subgeometrically ergodic autoregressions," Papers 1904.07089, arXiv.org, revised Mar 2020.
- Søren Johansen & Theis Lange, 2011.
"Some Econometric Results for the Blanchard-Watson Bubble Model,"
Discussion Papers
11-15, University of Copenhagen. Department of Economics.
- Søren Johansen & Theis Lange, 2011. "Some econometric results for the Blanchard-Watson bubble model," CREATES Research Papers 2011-17, Department of Economics and Business Economics, Aarhus University.
- Bec Frederique & Othman Bouabdallah & Laurent Ferrara, 2011.
"The possible shapes of recoveries in Markov-Switching models,"
THEMA Working Papers
2011-02, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Bec, F. & Bouabdallah, O. & Ferrara, L., 2011. "The possible shapes of recoveries in Markov-switching models," Working papers 321, Banque de France.
- Frédérique BEC & Othman BOUABDALLAH & Laurent FERRARA, 2011. "The Possible Shapes of Recoveries in Markov-Switching Models," Working Papers 2011-02, Center for Research in Economics and Statistics.
- Jumah, Adusei & Kunst, Robert M., 2008.
"Optimizing Time-series Forecasts for Inflation and Interest Rates Using Simulation and Model Averaging,"
Economics Series
231, Institute for Advanced Studies.
- Adusei Jumah & Robert M. Kunst, 2016. "Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging," Applied Economics, Taylor & Francis Journals, vol. 48(45), pages 4366-4378, September.
- Jan Pablo Burgard & Matthias Neuenkirch & Matthias Nöckel, 2016.
"State-Dependent Transmission of Monetary Policy in the Euro Area,"
Research Papers in Economics
2016-15, University of Trier, Department of Economics.
- Jan Pablo Burgard & Matthias Neuenkirch & Matthias Nöckel, 2018. "State-Dependent Transmission of Monetary Policy in the Euro Area," CESifo Working Paper Series 7074, CESifo.
- Jan Pablo Burgard & Matthias Neuenkirch & Matthias Nöckel, 2019. "State‐Dependent Transmission of Monetary Policy in the Euro Area," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(7), pages 2053-2070, October.
- Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger, 2016. "Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models," Tinbergen Institute Discussion Papers 16-082/III, Tinbergen Institute.
- Daiki Maki, 2013. "Detecting cointegration relationships under nonlinear models: Monte Carlo analysis and some applications," Empirical Economics, Springer, vol. 45(1), pages 605-625, August.
- Zacharias Psaradakis & Martin Sola & Nicola Spagnolo & Patricio Yunis, 2024. "Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions," Department of Economics Working Papers 2024_02, Universidad Torcuato Di Tella.
- Jiti Gao & Dag Tjøstheim & Jiying Yin, 2011.
"Estimation in threshold autoregressive models with a stationary and a unit root regime,"
Monash Econometrics and Business Statistics Working Papers
21/11, Monash University, Department of Econometrics and Business Statistics.
- Gao, Jiti & Tjøstheim, Dag & Yin, Jiying, 2013. "Estimation in threshold autoregressive models with a stationary and a unit root regime," Journal of Econometrics, Elsevier, vol. 172(1), pages 1-13.
- Kalliovirta, Leena & Meitz, Mika & Saikkonen, Pentti, 2016. "Gaussian mixture vector autoregression," Journal of Econometrics, Elsevier, vol. 192(2), pages 485-498.
- Frédéric BEC & Alain GUAY, 2020.
"A simple unit root test consistent against any stationary alternative,"
Working Papers
2020-28, Center for Research in Economics and Statistics.
- Frédérique Bec & Alain Guay, 2020. "A simple unit root test consistent against any stationary alternative," Working Papers halshs-03010256, HAL.
- Frédérique Bec & Alain Guay, 2020. "A simple unit root test consistent against any stationary alternative," THEMA Working Papers 2020-10, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Kung-Sik Chan & Simone Giannerini & Greta Goracci & Howell Tong, 2020. "Testing for threshold regulation in presence of measurement error with an application to the PPP hypothesis," Papers 2002.09968, arXiv.org, revised Nov 2021.
- Gary Koop & Simon Potter, 2010.
"A flexible approach to parametric inference in nonlinear and time varying time series models,"
Post-Print
hal-00732535, HAL.
- Koop, Gary & Potter, Simon, 2010. "A flexible approach to parametric inference in nonlinear and time varying time series models," Journal of Econometrics, Elsevier, vol. 159(1), pages 134-150, November.
- Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2016. "Bayesian Vector Autoregressions with Non-Gaussian Shocks," CReMFi Discussion Papers 5, CReMFi, School of Economics and Finance, QMUL.
- Mika Meitz & Pentti Saikkonen, 2017.
"Testing for observation-dependent regime switching in mixture autoregressive models,"
Papers
1711.03959, arXiv.org.
- Meitz, Mika & Saikkonen, Pentti, 2021. "Testing for observation-dependent regime switching in mixture autoregressive models," Journal of Econometrics, Elsevier, vol. 222(1), pages 601-624.
- Anders Rahbek & Heino Bohn Nielsen, 2012.
"Unit Root Vector Autoregression with volatility Induced Stationarity,"
CREATES Research Papers
2012-29, Department of Economics and Business Economics, Aarhus University.
- Anders Rahbek & Heino Bohn Nielsen, 2012. "Unit root vector autoregression with volatility induced stationarity," Discussion Papers 12-02, University of Copenhagen. Department of Economics.
- Nielsen, Heino Bohn & Rahbek, Anders, 2014. "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
- Frederique Bec & Alain Guay, 2020. "A Simple Unit Root Test Consistent Against Any Stationary Alternative," Working Papers 20-20, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
- Andreas Hetland, 2018. "The Stochastic Stationary Root Model," Econometrics, MDPI, vol. 6(3), pages 1-33, August.
- Dias, José G. & Vermunt, Jeroen K. & Ramos, Sofia, 2015. "Clustering financial time series: New insights from an extended hidden Markov model," European Journal of Operational Research, Elsevier, vol. 243(3), pages 852-864.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2007.
"Testing for co-integration in vector autoregressions with non-stationary volatility,"
Discussion Papers
07/02, University of Nottingham, Granger Centre for Time Series Econometrics.
- Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Testing for co-integration in vector autoregressions with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 158(1), pages 7-24, September.
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," CREATES Research Papers 2008-50, Department of Economics and Business Economics, Aarhus University.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," Discussion Papers 08-34, University of Copenhagen. Department of Economics.
Cited by:
- Li, Muyi & Zhang, Yanfen, 2022. "Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors," Computational Statistics & Data Analysis, Elsevier, vol. 165(C).
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013.
"Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions,"
Discussion Papers
13-13, University of Copenhagen. Department of Economics.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Tinbergen Institute Discussion Papers 13-187/III, Tinbergen Institute.
- Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016. "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
- Bec, Frédérique & Gollier, Christian, 2014.
"Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup,"
IDEI Working Papers
835, Institut d'Économie Industrielle (IDEI), Toulouse.
- Frédérique Bec, 2015. "Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup," Post-Print hal-02980012, HAL.
- Bec, Frédérique & Gollier, Christian, 2014. "Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup," TSE Working Papers 14-523, Toulouse School of Economics (TSE).
- Hanck, Christoph & Demetrescu, Matei & Kruse, Robinson, 2015. "Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112916, Verein für Socialpolitik / German Economic Association.
- Hanck, Christoph & Czudaj, Robert, 2013.
"Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation,"
Ruhr Economic Papers
434, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Christoph Hanck & Robert Czudaj, 2015. "Nonstationary-volatility robust panel unit root tests and the great moderation," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 99(2), pages 161-187, April.
- Czudaj, Robert & Hanck, Christoph, 2013. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79734, Verein für Socialpolitik / German Economic Association.
- Xu, Ke-Li, 2016. "Multivariate trend function testing with mixed stationary and integrated disturbances," Journal of Multivariate Analysis, Elsevier, vol. 147(C), pages 38-57.
- Matei Demetrescu & Christoph Hanck, 2013. "Nonlinear IV panel unit root testing under structural breaks in the error variance," Statistical Papers, Springer, vol. 54(4), pages 1043-1066, November.
- Daniela Osterrieder, 2013. "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers 2013-17, Department of Economics and Business Economics, Aarhus University.
- Guiseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2010.
"Bootstrap Sequential Determination of the Co-integration Rank in VAR Models,"
CREATES Research Papers
2010-07, Department of Economics and Business Economics, Aarhus University.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2010. "Bootstrap Sequential Determination of the Co-integration Rank in VAR Models," Discussion Papers 10-07, University of Copenhagen. Department of Economics.
- Xu, Ke-Li, 2012. "Robustifying multivariate trend tests to nonstationary volatility," Journal of Econometrics, Elsevier, vol. 169(2), pages 147-154.
- Smeekes, S. & Urbain, J.R.Y.J., 2014. "A multivariate invariance principle for modified wild bootstrap methods with an application to unit root testing," Research Memorandum 008, Maastricht University, Graduate School of Business and Economics (GSBE).
- Demetrescu, Matei & Rodrigues, Paulo M.M., 2022.
"Residual-augmented IVX predictive regression,"
Journal of Econometrics, Elsevier, vol. 227(2), pages 429-460.
- Paulo M.M. Rodrigues & Matei Demetrescu, 2016. "Residual-augmented IVX predictive regression," Working Papers w201605, Banco de Portugal, Economics and Research Department.
- Constantin ANGHELACHE & Ioan Constantin DIMA & Mãdãlina-Gabriela ANGHEL, 2016. "Using the Autoregressive Model for the Economic Forecast during the Period 2014- 2018," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(1), pages 21-31, January.
- Christian M. Hafner & Helmut Herwartz, 2009. "Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 63(3), pages 294-323, August.
- Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler, 2015.
"Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(5), pages 740-759, October.
- Cavaliere, Giuseppe & Taylor, A. M. Robert & Trenkler, Carsten, 2013. "Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates," Working Papers 32993, University of Mannheim, Department of Economics.
- Mahdi Barakchian, S., 2015. "Transmission of US monetary policy into the Canadian economy: A structural cointegration analysis," Economic Modelling, Elsevier, vol. 46(C), pages 11-26.
- H. Peter Boswijk & Giuseppe Cavaliere & Luca De Angelis & A. M. Robert Taylor, 2023.
"Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models,"
Econometric Reviews, Taylor & Francis Journals, vol. 42(9-10), pages 725-757, November.
- H. Peter Boswijk & Giuseppe Cavaliere & Luca De Angelis & A. M. Robert Taylor, 2022. "Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models," Papers 2202.02532, arXiv.org.
- Boswijk, H Peter & Cavaliere, Giuseppe & De Angelis, Luca & Taylor, AM Robert, 2022. "Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models," Essex Finance Centre Working Papers 33707, University of Essex, Essex Business School.
- Helmut Herwartz & Martin Plödt, 2016. "Simulation Evidence on Theory-based and Statistical Identification under Volatility Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(1), pages 94-112, February.
- Skrobotov Anton & Cavaliere Giuseppe & Taylor Robert, 2016.
"Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility,"
Working Papers
wpaper-2016-269, Gaidar Institute for Economic Policy, revised 2016.
- Giuseppe Cavaliere & Anton Skrobotov & A. M. Robert Taylor, 2019. "Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility," Econometric Reviews, Taylor & Francis Journals, vol. 38(5), pages 509-532, May.
- Herwartz, Helmut & Plödt, Martin, 2014. "Sign restrictions and statistical identification under volatility breaks -- Simulation based evidence and an empirical application to monetary policy analysis," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100326, Verein für Socialpolitik / German Economic Association.
- Christian Kascha & Carsten Trenkler, 2009.
"Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order,"
Working Paper
2009/12, Norges Bank.
- Kascha, Christian & Trenkler, Carsten, 2011. "Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order," Computational Statistics & Data Analysis, Elsevier, vol. 55(2), pages 1008-1017, February.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & Iliyan Georgiev, 2021.
"Bootstrapping Non-Stationary Stochastic Volatility,"
Papers
2101.03562, arXiv.org.
- Peter Boswijk & Giuseppe Cavaliere & Iliyan Georgiev & Anders Rahbek, 2019. "Bootstrapping Non-Stationary Stochastic Volatility," Tinbergen Institute Discussion Papers 19-083/III, Tinbergen Institute.
- Boswijk, H. Peter & Cavaliere, Giuseppe & Georgiev, Iliyan & Rahbek, Anders, 2021. "Bootstrapping non-stationary stochastic volatility," Journal of Econometrics, Elsevier, vol. 224(1), pages 161-180.
- Herwartz Helmut & Roestel Jan, 2009. "Monetary Independence under Floating Exchange Rates: Evidence Based on International Breakeven Inflation Rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(4), pages 1-25, September.
- Paulo M.M. Rodrigues & Matei Demetrescu, 2019.
"Testing for Episodic Predictability in Stock Returns,"
Working Papers
w201906, Banco de Portugal, Economics and Research Department.
- Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2022. "Testing for episodic predictability in stock returns," Journal of Econometrics, Elsevier, vol. 227(1), pages 85-113.
- Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo MM & Taylor, AM Robert, 2019. "Testing for Episodic Predictability in Stock Returns," Essex Finance Centre Working Papers 24137, University of Essex, Essex Business School.
- Herwartz, H. & Siedenburg, F., 2008. "Homogenous panel unit root tests under cross sectional dependence: Finite sample modifications and the wild bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 53(1), pages 137-150, September.
- Emerson Fernandes Marçal & Priscila Fernandes Ribeiro, 2011. "Levado pelos Fundamentos? Estimando o Desalinhamento Cambial Norte-Americano a partir de Técnicas de Cointegração," Discussion Papers 1674, Instituto de Pesquisa Econômica Aplicada - IPEA.
- Hanck, Christoph & Demetrescu, Matei & Tarcolea, Adina, 2012.
"IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance,"
VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century
62072, Verein für Socialpolitik / German Economic Association.
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"Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors,"
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Cited by:
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- Marçal, Emerson Fernandes & Pereira, Pedro L. Valls, 2012. "Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break," Textos para discussão 314, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
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"The long-run relationship of gold and silver and the influence of bubbles and financial crises,"
Empirical Economics, Springer, vol. 47(4), pages 1525-1541, December.
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"Optimizing Time-series Forecasts for Inflation and Interest Rates Using Simulation and Model Averaging,"
Economics Series
231, Institute for Advanced Studies.
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"Adaptive consistent unit-root tests based on autoregressive threshold model,"
Journal of Econometrics, Elsevier, vol. 142(1), pages 94-133, January.
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"Are Southeast Asian Real Exchange Rates Mean Reverting?,"
Post-Print
hal-02979368, HAL.
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"Likelihood Ratio Testing for Cointegration Ranks in I(2) Models,"
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"Autoregressive conditional root model,"
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"Optimizing Time-series Forecasts for Inflation and Interest Rates Using Simulation and Model Averaging,"
Economics Series
231, Institute for Advanced Studies.
- Adusei Jumah & Robert M. Kunst, 2016. "Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging," Applied Economics, Taylor & Francis Journals, vol. 48(45), pages 4366-4378, September.
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"Adaptive consistent unit-root tests based on autoregressive threshold model,"
Journal of Econometrics, Elsevier, vol. 142(1), pages 94-133, January.
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Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 449-471, June.
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Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 85-101.
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Economics and Quantitative Methods
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"Oil Prices, Inflation and Interest Rates in a Structural Cointegrated VAR Model for the G-7 Countries,"
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"The Nonlinear Skeletons in the Closet,"
Econometrics
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"Inflation adjustment in the open economy: an I(2) analysis of UK prices,"
Empirical Economics, Springer, vol. 31(3), pages 569-586, September.
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"Impact factors,"
Journal of Econometrics, Elsevier, vol. 128(1), pages 31-68, September.
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"Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate,"
Discussion Papers
07-34, University of Copenhagen. Department of Economics.
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"A Multicointegration Model of Global Climate Change,"
CCEP Working Papers
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"The Bank Lending Channel of Monetary Transmission in Brazil: A VECM Approach,"
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- Bjørnar Karlsen Kivedal, 2023. "Long run non-linearity in CO2 emissions: the I(2) cointegration model and the environmental Kuznets curve," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 50(4), pages 899-931, November.
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- Bilgili, Faik, 2003. "Dynamic implications of fiscal policy: Crowding-out or crowding-in?," MPRA Paper 24111, University Library of Munich, Germany, revised 25 Dec 2009.
- Fabrizio CORICELLI & Bostjan JAZBEC & Igor MASTEN, 2004. "Exchange Rate Pass-Through in Acceding Countries: The Role of Exchange Rate Regimes," Economics Working Papers ECO2004/16, European University Institute.
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"Human activities and global warming: a cointegration analysis,"
MPRA Paper
9939, University Library of Munich, Germany.
- Hui Liu & Gabriel Rodriguez, 2003. "Human Activities and Global Warming: A Cointegration Analysis," Working Papers 0307E, University of Ottawa, Department of Economics.
- A. Tahai & Robert Rutledge & Khondkar Karim, 2004. "An examination of financial integration for the group of seven (G7) industrialized countries using an I( ) cointegration model," Applied Financial Economics, Taylor & Francis Journals, vol. 14(5), pages 327-335.
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- Holtemöller, Oliver, 2002. "Money and prices: An I(2) analysis for the euro area," SFB 373 Discussion Papers 2002,12, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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Articles
- Boswijk, H. Peter & Cavaliere, Giuseppe & Georgiev, Iliyan & Rahbek, Anders, 2021.
"Bootstrapping non-stationary stochastic volatility,"
Journal of Econometrics, Elsevier, vol. 224(1), pages 161-180.
See citations under working paper version above.
- Peter Boswijk & Giuseppe Cavaliere & Iliyan Georgiev & Anders Rahbek, 2019. "Bootstrapping Non-Stationary Stochastic Volatility," Tinbergen Institute Discussion Papers 19-083/III, Tinbergen Institute.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & Iliyan Georgiev, 2021. "Bootstrapping Non-Stationary Stochastic Volatility," Papers 2101.03562, arXiv.org.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2020.
"Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(1), pages 55-67, January.
Cited by:
- Anders Rygh Swensen, 2022. "On causal and non‐causal cointegrated vector autoregressive time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(2), pages 178-196, March.
- Marina Friedrich & Sébastien Fries & Michael Pahle & Ottmar Edenhofer, 2020. "Rules vs. Discretion in Cap-and-Trade Programs: Evidence from the EU Emission Trading System," CESifo Working Paper Series 8637, CESifo.
- Weifeng Jin, 2023. "Quantile Autoregression-based Non-causality Testing," Papers 2301.02937, arXiv.org.
- Giancaterini, Francesco & Hecq, Alain, 2025.
"Inference in mixed causal and noncausal models with generalized Student’s t-distributions,"
Econometrics and Statistics, Elsevier, vol. 33(C), pages 1-12.
- Francesco Giancaterini & Alain Hecq, 2020. "Inference in mixed causal and noncausal models with generalized Student's t-distributions," Papers 2012.01888, arXiv.org, revised Nov 2022.
- Gupta, Abhimanyu & Hidalgo, Javier, 2022.
"Nonparametric prediction with spatial data,"
LSE Research Online Documents on Economics
115292, London School of Economics and Political Science, LSE Library.
- Abhimanyu Gupta & Javier Hidalgo, 2020. "Nonparametric prediction with spatial data," Papers 2008.04269, arXiv.org, revised Nov 2021.
- Abhimanyu Gupta & Javier Hidalgo, 2022. "Nonparametric prediction with spatial data," STICERD - Econometrics Paper Series 621, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Gianluca Cubadda & Francesco Giancaterini & Stefano Grassi, 2025. "Sequential Monte Carlo for Noncausal Processes," Papers 2501.03945, arXiv.org.
- Fries, Sébastien & Zakoian, Jean-Michel, 2019.
"Mixed Causal-Noncausal Ar Processes And The Modelling Of Explosive Bubbles,"
Econometric Theory, Cambridge University Press, vol. 35(6), pages 1234-1270, December.
- Fries, Sébastien & Zakoian, Jean-Michel, 2017. "Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles," MPRA Paper 81345, University Library of Munich, Germany.
- Davis, Richard A. & Song, Li, 2020. "Noncausal vector AR processes with application to economic time series," Journal of Econometrics, Elsevier, vol. 216(1), pages 246-267.
- Frédérique Bec & Heino Bohn Nielsen & Sarra Saïdi, 2019.
"Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing,"
THEMA Working Papers
2019-07, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Frédérique Bec & Heino Bohn Nielsen & Sarra Saïdi, 2020. "Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(6), pages 1413-1428, December.
- Frédérique Bec & Heino Bohn Nielsen & Sarra Saïdi, 2019. "Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing [Modèles auto-régressifs non-causaux mixtes: Problèmes de bimodalité pour l'estimation et le test de r," Working Papers hal-02175760, HAL.
- Frédérique BEC & Heino BOHN NIELSEN & Sarra SAÏDI, 2019. "Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing," Working Papers 2019-09, Center for Research in Economics and Statistics.
- Alain Hecq & Sean Telg & Lenard Lieb, 2017.
"Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?,"
Econometrics, MDPI, vol. 5(4), pages 1, October.
- Hecq, Alain & Telg, Sean & Lieb, Lenard, 2016. "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," MPRA Paper 74922, University Library of Munich, Germany, revised 04 Nov 2016.
- Xuanling Yang & Dong Li & Ting Zhang, 2024. "Bubble Modeling and Tagging: A Stochastic Nonlinear Autoregression Approach," Papers 2401.07038, arXiv.org, revised Jan 2025.
- Chen, Cathy Yi-hsuan & Okhrin, Yarema & Wang, Tengyao, 2022. "Monitoring network changes in social media," LSE Research Online Documents on Economics 113742, London School of Economics and Political Science, LSE Library.
- Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2019.
"Testing Garch-X Type Models,"
Econometric Theory, Cambridge University Press, vol. 35(5), pages 1012-1047, October.
See citations under working paper version above.
- Rasmus Soendergaard Pedersen & Anders Rahbek, 2017. "Testing Garch-X Type Models," Discussion Papers 17-15, University of Copenhagen. Department of Economics.
- Cavaliere, Giuseppe & De Angelis, Luca & Rahbek, Anders & Robert Taylor, A.M., 2018.
"Determining The Cointegration Rank In Heteroskedastic Var Models Of Unknown Order,"
Econometric Theory, Cambridge University Press, vol. 34(2), pages 349-382, April.
See citations under working paper version above.
- Cavaliere, G & De Angelis, L & Rahbek, A & Taylor, AMR, 2016. "Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order," Essex Finance Centre Working Papers 17454, University of Essex, Essex Business School.
- Giuseppe Cavaliere & Rasmus Søndergaard Pedersen & Anders Rahbek, 2018.
"The Fixed Volatility Bootstrap for a Class of Arch(q) Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 920-941, November.
Cited by:
- Wang, Xuqin & Li, Muyi, 2023. "Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 184(C).
- Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2018.
"A Residual Bootstrap for Conditional Value-at-Risk,"
Papers
1808.09125, arXiv.org, revised Aug 2023.
- Beutner, Eric & Heinemann, Alexander & Smeekes, Stephan, 2024. "A residual bootstrap for conditional Value-at-Risk," Journal of Econometrics, Elsevier, vol. 238(2).
- Lütkepohl, Helmut & Schlaak, Thore, 2019.
"Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH,"
Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 41-61.
- Helmut Lütkepohl & Thore Schlaak, 2018. "Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH," Discussion Papers of DIW Berlin 1750, DIW Berlin, German Institute for Economic Research.
- Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2022.
"Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models,"
Journal of Econometrics, Elsevier, vol. 227(1), pages 241-263.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Rasmus Søndergaard Pedersen & Anders Rahbek, 2018. "Bootstrap Inference On The Boundary Of The Parameter Space With Application To Conditional Volatility Models," Discussion Papers 18-10, University of Copenhagen. Department of Economics.
- Cavaliere, Giuseppe & Lu, Ye & Rahbek, Anders & Stærk-Østergaard, Jacob, 2023.
"Bootstrap inference for Hawkes and general point processes,"
Journal of Econometrics, Elsevier, vol. 235(1), pages 133-165.
- Cavaliere, Giuseppe & Lu,Ye & Rahbek, Anders & Staerk-Ostergaard, J, 2021. "Bootstrap Inference For Hawkes And General Point Processes," Working Papers 2021-05, University of Sydney, School of Economics.
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob Stærk-Østergaard, 2021. "Bootstrap inference for Hawkes and general point processes," Discussion Papers 21-05, University of Copenhagen. Department of Economics.
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob St{ae}rk-{O}stergaard, 2021. "Bootstrap Inference for Hawkes and General Point Processes," Papers 2104.03122, arXiv.org, revised Sep 2021.
- Alexander Heinemann, 2019. "A Bootstrap Test for the Existence of Moments for GARCH Processes," Papers 1902.01808, arXiv.org, revised Jul 2019.
- Alexander Heinemann & Sean Telg, 2018. "A Residual Bootstrap for Conditional Expected Shortfall," Papers 1811.11557, arXiv.org.
- Eric Beutner & Julia Schaumburg & Barend Spanjers, 2024. "Bootstrapping GARCH Models Under Dependent Innovations," Tinbergen Institute Discussion Papers 24-008/III, Tinbergen Institute.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2017.
"On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 38(4), pages 513-534, July.
See citations under working paper version above.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2016. "On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space," Quaderni di Dipartimento 6, Department of Statistics, University of Bologna.
- Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2016.
"Nonstationary GARCH with t-distributed innovations,"
Economics Letters, Elsevier, vol. 138(C), pages 19-21.
Cited by:
- George C. Bitros & M. Ishaq Nadiri, 2017.
"Behavior of business investment in the USA under variable and proportional rates of replacement,"
Working Papers
201708, Athens University Of Economics and Business, Department of Economics.
- Bitros, George C. & Nadiri, M. Ishaq, 2017. "Behavior of business investment in the USA under variable and proportional rates of replacement," MPRA Paper 80594, University Library of Munich, Germany.
- Francq, Christian & Zakoian, Jean-Michel, 2019.
"Testing the existence of moments for GARCH processes,"
MPRA Paper
98892, University Library of Munich, Germany.
- Francq, Christian & Zakoïan, Jean-Michel, 2022. "Testing the existence of moments for GARCH processes," Journal of Econometrics, Elsevier, vol. 227(1), pages 47-64.
- Rasmus Soendergaard Pedersen & Anders Rahbek, 2017.
"Testing Garch-X Type Models,"
Discussion Papers
17-15, University of Copenhagen. Department of Economics.
- Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2019. "Testing Garch-X Type Models," Econometric Theory, Cambridge University Press, vol. 35(5), pages 1012-1047, October.
- Helen Caraveli & Ioannis Chatzigiatroudakis & Evangelos Paravalos, 2018. "Determinants of growth differences between Eastern and Southern EU countries: A panel-data approach," Working Papers 201803, Athens University Of Economics and Business, Department of Economics.
- Bitros, George C., 2017.
"Germany and Greece: A mapping of their great divide and its EU implications,"
MPRA Paper
79039, University Library of Munich, Germany.
- George C. Bitros, 2017. "Germany and Greece: A mapping of their great divide and its EU implications," Working Papers 201706, Athens University Of Economics and Business, Department of Economics.
- Xiaqing Su & Zhe Liu, 2021. "Sector Volatility Spillover and Economic Policy Uncertainty: Evidence from China’s Stock Market," Mathematics, MDPI, vol. 9(12), pages 1-22, June.
- Stelios Arvanitis, 2017. "Non-Emptyness of Stochastic Dominance Effiicient Sets via Stochastic Spanning," Working Papers 201710, Athens University Of Economics and Business, Department of Economics.
- Giuseppe Cavaliere & Rasmus Søndergaard Pedersen & Anders Rahbek, 2018. "The Fixed Volatility Bootstrap for a Class of Arch(q) Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 920-941, November.
- Natasha Miaouli & Panagiota Koliousi, 2018. "Efficient bargaining versus Right to manage in the era of liberalization," Working Papers 201804, Athens University Of Economics and Business, Department of Economics.
- Arvanitis, Stelios & Louka, Alexandros, 2017. "Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model," Economics Letters, Elsevier, vol. 161(C), pages 135-137.
- Stylianos G. Gogos & Dimitris Papageorgiou & Vanghelis Vassilatos, 2018.
"Rent seeking activities and aggregate economic performance - the case of Greece,"
Working Papers
252, Bank of Greece.
- Stylianos G. Gogos & Dimitris Papageorgiou & Vanghelis Vassilatos, 2017. "Rent Seeking Activities and Aggregate Economic Performance - The Case of Greece," Working Papers 201712, Athens University Of Economics and Business, Department of Economics.
- Georgios Bertsatos & Plutarchos Sakellaris, 2017.
"Did the Financial Crisis affect the Market Valuation of Large Systemic U.S. Banks?,"
Working Papers
201709, Athens University Of Economics and Business, Department of Economics.
- Bertsatos, Georgios & Sakellaris, Plutarchos & Tsionas, Mike G., 2017. "Did the financial crisis affect the market valuation of large systemic U.S. banks?," Journal of Financial Stability, Elsevier, vol. 32(C), pages 115-123.
- Ryoko Ito, 2016. "Asymptotic Theory for Beta-t-GARCH," Cambridge Working Papers in Economics 1607, Faculty of Economics, University of Cambridge.
- Christian M. Dahl & Emma M. Iglesias, 2021.
"Asymptotic normality of the MLE in the level-effect ARCH model,"
Statistical Papers, Springer, vol. 62(1), pages 117-135, February.
- Christian M. Dahl & Emma M. Iglesias, 2010. "Asymptotic normality of the QMLE in the level-effect ARCH model," CREATES Research Papers 2010-48, Department of Economics and Business Economics, Aarhus University.
- George C. Bitros, 2017. "Still in the Woods," Working Papers 201711, Athens University Of Economics and Business, Department of Economics.
- George C. Bitros & M. Ishaq Nadiri, 2017.
"Behavior of business investment in the USA under variable and proportional rates of replacement,"
Working Papers
201708, Athens University Of Economics and Business, Department of Economics.
- Agosto, Arianna & Cavaliere, Giuseppe & Kristensen, Dennis & Rahbek, Anders, 2016.
"Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX),"
Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 640-663.
See citations under working paper version above.
- Arianna Agosto & Giuseppe Cavaliere & Dennis Kristensen & Anders Rahbek, 2015. "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," CREATES Research Papers 2015-11, Department of Economics and Business Economics, Aarhus University.
- Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016.
"Inference on co-integration parameters in heteroskedastic vector autoregressions,"
Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
See citations under working paper version above.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Discussion Papers 13-13, University of Copenhagen. Department of Economics.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Tinbergen Institute Discussion Papers 13-187/III, Tinbergen Institute.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2015.
"Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models,"
Econometrica, Econometric Society, vol. 83, pages 813-831, March.
Cited by:
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013.
"Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions,"
Discussion Papers
13-13, University of Copenhagen. Department of Economics.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Tinbergen Institute Discussion Papers 13-187/III, Tinbergen Institute.
- Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016. "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
- Chiara Casoli & Riccardo (Jack) Lucchetti, 2022.
"Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices [Commodity-price comovement and global economic activity],"
The Econometrics Journal, Royal Economic Society, vol. 25(2), pages 494-514.
- Chiara Casoli & Riccardo (Jack) Lucchetti, 2021. "Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices," Working Papers 2021.19, Fondazione Eni Enrico Mattei.
- Casoli, Chiara & Lucchetti, Riccardo (Jack), 2021. "Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices," FEEM Working Papers 312367, Fondazione Eni Enrico Mattei (FEEM).
- Giuseppe Cavaliere & Iliyan Georgiev, 2019.
"Inference under random limit bootstrap measures,"
Papers
1911.12779, arXiv.org, revised Dec 2019.
- Giuseppe Cavaliere & Iliyan Georgiev, 2020. "Inference Under Random Limit Bootstrap Measures," Econometrica, Econometric Society, vol. 88(6), pages 2547-2574, November.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2016.
"On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space,"
Quaderni di Dipartimento
6, Department of Statistics, University of Bologna.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2017. "On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(4), pages 513-534, July.
- Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2022.
"Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models,"
Journal of Econometrics, Elsevier, vol. 227(1), pages 241-263.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Rasmus Søndergaard Pedersen & Anders Rahbek, 2018. "Bootstrap Inference On The Boundary Of The Parameter Space With Application To Conditional Volatility Models," Discussion Papers 18-10, University of Copenhagen. Department of Economics.
- Tian, Renfang & Xu, Jingjing & Feng, Hui & McFarlane, Adian, 2024. "A maximum entropy bootstrap approach to financial development and economic growth in China," Economic Systems, Elsevier, vol. 48(4).
- Cavaliere, Giuseppe & Lu, Ye & Rahbek, Anders & Stærk-Østergaard, Jacob, 2023.
"Bootstrap inference for Hawkes and general point processes,"
Journal of Econometrics, Elsevier, vol. 235(1), pages 133-165.
- Cavaliere, Giuseppe & Lu,Ye & Rahbek, Anders & Staerk-Ostergaard, J, 2021. "Bootstrap Inference For Hawkes And General Point Processes," Working Papers 2021-05, University of Sydney, School of Economics.
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob Stærk-Østergaard, 2021. "Bootstrap inference for Hawkes and general point processes," Discussion Papers 21-05, University of Copenhagen. Department of Economics.
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob St{ae}rk-{O}stergaard, 2021. "Bootstrap Inference for Hawkes and General Point Processes," Papers 2104.03122, arXiv.org, revised Sep 2021.
- Giuseppe Cavaliere & Rasmus Søndergaard Pedersen & Anders Rahbek, 2018. "The Fixed Volatility Bootstrap for a Class of Arch(q) Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 920-941, November.
- Giuseppe Cavaliere & Anders Rahbek, 2019. "A Primer On Bootstrap Testing Of Hypotheses In Time Series Models: With An Application To Double Autoregressive Models," Discussion Papers 19-03, University of Copenhagen. Department of Economics.
- Christis Katsouris, 2023. "Limit Theory under Network Dependence and Nonstationarity," Papers 2308.01418, arXiv.org, revised Aug 2023.
- Pretis, Felix, 2020. "Econometric modelling of climate systems: The equivalence of energy balance models and cointegrated vector autoregressions," Journal of Econometrics, Elsevier, vol. 214(1), pages 256-273.
- Karsten Reichold & Carsten Jentsch, 2022. "A Bootstrap-Assisted Self-Normalization Approach to Inference in Cointegrating Regressions," Papers 2204.01373, arXiv.org.
- Canepa Alessandra, 2022.
"Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors,"
Journal of Time Series Econometrics, De Gruyter, vol. 14(1), pages 51-85, January.
- Canepa, Alessandra, 2021. "Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202108, University of Turin.
- Pretis, Felix, 2021. "Exogeneity in climate econometrics," Energy Economics, Elsevier, vol. 96(C).
- She, Rui & Ling, Shiqing, 2020. "Inference in heavy-tailed vector error correction models," Journal of Econometrics, Elsevier, vol. 214(2), pages 433-450.
- Massimo Franchi & Iliyan Georgiev & Paolo Paruolo, 2024. "Canonical correlation analysis of stochastic trends via functional approximation," Papers 2411.19572, arXiv.org.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013.
"Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions,"
Discussion Papers
13-13, University of Copenhagen. Department of Economics.
- Giuseppe Cavaliere & Luca De Angelis & Anders Rahbek & A. M. Robert Taylor, 2015.
"A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(1), pages 106-128, February.
See citations under working paper version above.
- Giuseppe Cavaliere & Luca De Angelis & Anders Rahbek & A.M.Robert Taylor, 2013. "A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models," Quaderni di Dipartimento 4, Department of Statistics, University of Bologna.
- Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Michael Wolf & Dan Wunderli, 2015.
"Recent developments in bootstrap methods for dependent data,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 352-376, May.
- Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Paul Doukhan & Gabriel Lang & Anne Leucht & Michael H. Neumann, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 290-314, May.
Cited by:
- Germán Aneiros & Paula Raña & Philippe Vieu & Juan Vilar, 2018. "Bootstrap in semi-functional partial linear regression under dependence," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(3), pages 659-679, September.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2014.
"Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models,"
Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 606-650, August.
See citations under working paper version above.
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2012. "Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models," CREATES Research Papers 2012-36, Department of Economics and Business Economics, Aarhus University.
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2012. "Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models," Discussion Papers 12-11, University of Copenhagen. Department of Economics.
- Rasmus S. Pedersen & Anders Rahbek, 2014.
"Multivariate variance targeting in the BEKK–GARCH model,"
Econometrics Journal, Royal Economic Society, vol. 17(1), pages 24-55, February.
See citations under working paper version above.
- Rasmus Søndergaard Pedersen & Anders Rahbek, 2012. "Multivariate Variance Targeting in the BEKK-GARCH Model," CREATES Research Papers 2012-53, Department of Economics and Business Economics, Aarhus University.
- Rasmus Søndergaard Pedersen & Anders Rahbek, 2012. "Multivariate Variance Targeting in the BEKK-GARCH Model," Discussion Papers 12-23, University of Copenhagen. Department of Economics.
- Nielsen, Heino Bohn & Rahbek, Anders, 2014.
"Unit root vector autoregression with volatility induced stationarity,"
Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
See citations under working paper version above.
- Anders Rahbek & Heino Bohn Nielsen, 2012. "Unit Root Vector Autoregression with volatility Induced Stationarity," CREATES Research Papers 2012-29, Department of Economics and Business Economics, Aarhus University.
- Anders Rahbek & Heino Bohn Nielsen, 2012. "Unit root vector autoregression with volatility induced stationarity," Discussion Papers 12-02, University of Copenhagen. Department of Economics.
- Kristensen, Dennis & Rahbek, Anders, 2013.
"Testing And Inference In Nonlinear Cointegrating Vector Error Correction Models,"
Econometric Theory, Cambridge University Press, vol. 29(6), pages 1238-1288, December.
See citations under working paper version above.
- Dennis Kristensen & Anders Rahbek, 2010. "Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models," CREATES Research Papers 2010-68, Department of Economics and Business Economics, Aarhus University.
- Dennis Kristensen & Anders Rahbek, 2010. "Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models," Discussion Papers 10-25, University of Copenhagen. Department of Economics.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2012.
"Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models,"
Econometrica, Econometric Society, vol. 80(4), pages 1721-1740, July.
Cited by:
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013.
"Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions,"
Discussion Papers
13-13, University of Copenhagen. Department of Economics.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Tinbergen Institute Discussion Papers 13-187/III, Tinbergen Institute.
- Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016. "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
- Jurgen A. Doornik, 2017. "Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions," Econometrics, MDPI, vol. 5(2), pages 1, May.
- Chiara Casoli & Riccardo (Jack) Lucchetti, 2022.
"Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices [Commodity-price comovement and global economic activity],"
The Econometrics Journal, Royal Economic Society, vol. 25(2), pages 494-514.
- Chiara Casoli & Riccardo (Jack) Lucchetti, 2021. "Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices," Working Papers 2021.19, Fondazione Eni Enrico Mattei.
- Casoli, Chiara & Lucchetti, Riccardo (Jack), 2021. "Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices," FEEM Working Papers 312367, Fondazione Eni Enrico Mattei (FEEM).
- Anders Rygh Swensen, 2022. "On causal and non‐causal cointegrated vector autoregressive time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(2), pages 178-196, March.
- Liang, Chong & Schienle, Melanie, 2019.
"Determination of vector error correction models in high dimensions,"
Working Paper Series in Economics
124, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Liang, Chong & Schienle, Melanie, 2019. "Determination of vector error correction models in high dimensions," Journal of Econometrics, Elsevier, vol. 208(2), pages 418-441.
- Luca Benati & Thomas A. Lubik, 2021.
"Searching for Hysteresis,"
Working Paper
21-03, Federal Reserve Bank of Richmond.
- Luca Benati & Thomas A. Lubik, 2022. "Searching for Hysteresis," Working Paper 22-05, Federal Reserve Bank of Richmond.
- Beckmann, Joscha & Czudaj, Robert, 2013. "Oil prices and effective dollar exchange rates," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 621-636.
- Gunnar Bårdsen & Luca Fanelli, 2015.
"Frequentist Evaluation of Small DSGE Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 307-322, July.
- Gunnar Bårdsen & Luca Fanelli, 2013. "Frequentist evaluation of small DSGE models," Working Paper Series 14113, Department of Economics, Norwegian University of Science and Technology.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2016.
"On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space,"
Quaderni di Dipartimento
6, Department of Statistics, University of Bologna.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2017. "On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(4), pages 513-534, July.
- Luca Benati & Robert E. Lucas Jr. & Juan Pablo Nicolini & Warren Weber, 2020.
"International Evidence on Long-Run Money Demand,"
Diskussionsschriften
dp2021, Universitaet Bern, Departement Volkswirtschaft.
- Warren E. Weber & Robert Lucas & Juan Pablo Nicolini & Luca Benati, 2017. "International Evidence on Long Run Money Demand," 2017 Meeting Papers 1154, Society for Economic Dynamics.
- Luca Benati & Robert E. Lucas & Juan Pablo Nicolini & Warren E. Weber, 2019. "International Evidence on Long-Run Money Demand," Staff Report 587, Federal Reserve Bank of Minneapolis.
- Luca Benati & Robert E. Lucas & Juan Pablo Nicolini & Warren E. Weber, 2017. "International Evidence on Long-Run Money Demand," Working Papers 737, Federal Reserve Bank of Minneapolis.
- Luca Benati & Robert E. Lucas, Jr. & Juan Pablo Nicolini & Warren Weber, 2016. "International Evidence on Long Run Money Demand," NBER Working Papers 22475, National Bureau of Economic Research, Inc.
- Benati, Luca & Lucas, Robert E. & Nicolini, Juan Pablo & Weber, Warren, 2021. "International evidence on long-run money demand," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 43-63.
- Luca Benati & Robert Lucas, Jr. & Juan Nicolini & Warren Weber, 2016. "International Evidence on Long Run Money Demand," Working Papers id:11152, eSocialSciences.
- M. Castellani & L. Fanelli & M. Savioli, 2015. "Government fiscal efforts vs. labour union strikes. Strategic substitutes or complements?," Working Papers wp1013, Dipartimento Scienze Economiche, Universita' di Bologna.
- Eric Ghysels & J. Isaac Miller, 2013.
"Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series,"
Working Papers
1307, Department of Economics, University of Missouri, revised 07 May 2014.
- Ghysels, Eric & Miller, J. Isaac, 2013. "Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series," CEPR Discussion Papers 9654, C.E.P.R. Discussion Papers.
- Eric Ghysels & J. Isaac Miller, 2015. "Testing for Cointegration with Temporally Aggregated and Mixed-Frequency Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(6), pages 797-816, November.
- Alfredo Villca & Alejandro Torres & Carlos Esteban Posada & Hermilson Velásquez, 2018.
"Demanda de dinero en América Latina, 1996-2016: una aplicación de cointegración en datos de panel,"
Documentos de Trabajo de Valor Público
17008, Universidad EAFIT.
- Alfredo Villca & Alejandro Torres & Carlos Esteban Posada & Hermilson Velásquez, 2020. "Demanda de dinero en América Latina, 1996-2016: una aplicación de cointegración en datos de panel," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE, vol. 85(6), June.
- Luca Benati, 2022. "A New Approach to Estimating the Natural Rate of Interest," Diskussionsschriften dp2210, Universitaet Bern, Departement Volkswirtschaft.
- Götz, T.B. & Hecq, A.W., 2014.
"Testing for Granger causality in large mixed-frequency VARs,"
Research Memorandum
028, Maastricht University, Graduate School of Business and Economics (GSBE).
- Götz, T.B. & Hecq, A.W. & Smeekes, S., 2015. "Testing for Granger Causality in Large Mixed-Frequency VARs," Research Memorandum 036, Maastricht University, Graduate School of Business and Economics (GSBE).
- Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2015. "Testing for Granger causality in large mixed-frequency VARs," Discussion Papers 45/2015, Deutsche Bundesbank.
- Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2016. "Testing for Granger causality in large mixed-frequency VARs," Journal of Econometrics, Elsevier, vol. 193(2), pages 418-432.
- Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2022.
"Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models,"
Journal of Econometrics, Elsevier, vol. 227(1), pages 241-263.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Rasmus Søndergaard Pedersen & Anders Rahbek, 2018. "Bootstrap Inference On The Boundary Of The Parameter Space With Application To Conditional Volatility Models," Discussion Papers 18-10, University of Copenhagen. Department of Economics.
- Martin Enilov & Yuan Wang, 2022. "Tourism and economic growth: Multi-country evidence from mixed-frequency Granger causality tests," Tourism Economics, , vol. 28(5), pages 1216-1239, August.
- Luca Benati, 2017. "Cointegration Tests and the Classical Dichotomy," Diskussionsschriften dp1704, Universitaet Bern, Departement Volkswirtschaft.
- Chevillon, Guillaume, 2013.
"Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming,"
ESSEC Working Papers
WP1320, ESSEC Research Center, ESSEC Business School.
- Guillaume Chevillon, 2017. "Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming," Econometric Reviews, Taylor & Francis Journals, vol. 36(5), pages 514-545, May.
- Guillaume Chevillon, 2013. "Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming," Working Papers hal-00914830, HAL.
- Sophie Altermatt, 2018. "The Long-Run Demand for M2 Reconsidered," Diskussionsschriften dp1824, Universitaet Bern, Departement Volkswirtschaft.
- Cavaliere, Giuseppe & Lu, Ye & Rahbek, Anders & Stærk-Østergaard, Jacob, 2023.
"Bootstrap inference for Hawkes and general point processes,"
Journal of Econometrics, Elsevier, vol. 235(1), pages 133-165.
- Cavaliere, Giuseppe & Lu,Ye & Rahbek, Anders & Staerk-Ostergaard, J, 2021. "Bootstrap Inference For Hawkes And General Point Processes," Working Papers 2021-05, University of Sydney, School of Economics.
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob Stærk-Østergaard, 2021. "Bootstrap inference for Hawkes and general point processes," Discussion Papers 21-05, University of Copenhagen. Department of Economics.
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob St{ae}rk-{O}stergaard, 2021. "Bootstrap Inference for Hawkes and General Point Processes," Papers 2104.03122, arXiv.org, revised Sep 2021.
- Luca Benati & Peter N. Ireland, 2017. "Money-Multiplier Shocks," Boston College Working Papers in Economics 933, Boston College Department of Economics.
- Luca Benati, 2020.
"Money Velocity and the Natural Rate of Interest,"
Diskussionsschriften
dp2022, Universitaet Bern, Departement Volkswirtschaft.
- Luca Benati, 2017. "Money Velocity and the Natural Rate of Interest," Diskussionsschriften dp1706, Universitaet Bern, Departement Volkswirtschaft.
- Benati, Luca, 2020. "Money velocity and the natural rate of interest," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 117-134.
- Felix Pretis, 2015. "Econometric Models of Climate Systems: The Equivalence of Two-Component Energy Balance Models and Cointegrated VARs," Economics Series Working Papers 750, University of Oxford, Department of Economics.
- Sven Schreiber, 2019. "On (bootstrapped) cointegration tests in partial systems," IMK Working Paper 199-2019, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2024.
"Inference in Heavy-Tailed Nonstationary Multivariate Time Series,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 119(545), pages 565-581, January.
- Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2021. "Inference in heavy-tailed non-stationary multivariate time series," Papers 2107.13894, arXiv.org.
- Hildegart Ahumada & Magdalena Cornejo, 2021.
"The Effect of Amazon Deforestationon Global Climate Variables,"
Working Papers
94, Red Nacional de Investigadores en Economía (RedNIE).
- Hildegart Ahumada & Magdalena Cornejo, 2020. "The effect of Amazon deforestation on global climate variables," Asociación Argentina de Economía Política: Working Papers 4332, Asociación Argentina de Economía Política.
- Hetland, Simon & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2023. "Dynamic conditional eigenvalue GARCH," Journal of Econometrics, Elsevier, vol. 237(2).
- Schreiber, Sven, 2018. "Are bootstrapped cointegration test findings unreliable?," Discussion Papers 2018/8, Free University Berlin, School of Business & Economics.
- Luca Benati & Robert E. Lucas & Juan Pablo Nicolini & Warren E. Weber, 2017.
"Online Appendix for: International Evidence on Long-Run Money Demand,"
Working Papers
738, Federal Reserve Bank of Minneapolis.
- Luca Benati & Robert E. Lucas & Juan Pablo Nicolini & Warren E. Weber, 2019. "Online Appendix for: International Evidence on Long-Run Money Demand," Staff Report 588, Federal Reserve Bank of Minneapolis.
- Luca Benati & Juan Pablo Nicolini, 2021.
"The Welfare Costs of Inflation,"
Working Papers
783, Federal Reserve Bank of Minneapolis.
- Luca Benati & Juan-Pablo Nicolini, 2021. "The Welfare Costs of Inflation," Diskussionsschriften dp2113, Universitaet Bern, Departement Volkswirtschaft.
- Luca Benati & Juan-Pablo Nicolini, 2019. "The Welfare Costs of Inflation," Diskussionsschriften dp1911, Universitaet Bern, Departement Volkswirtschaft.
- Pretis, Felix, 2020. "Econometric modelling of climate systems: The equivalence of energy balance models and cointegrated vector autoregressions," Journal of Econometrics, Elsevier, vol. 214(1), pages 256-273.
- Luca Benati, 2017. "Could the Bubble in U.S. House Prices Have Been Detected in Real Time?," Diskussionsschriften dp1705, Universitaet Bern, Departement Volkswirtschaft.
- Jesus Otero & Theodore Panagiotidis & Georgios Papapanagiotou, 2020.
"Multivariate cointegration and temporal aggregation: some further simulation results,"
Discussion Paper Series
2020_05, Department of Economics, University of Macedonia, revised Oct 2020.
- Jesús Otero & Theodore Panagiotidis & Georgios Papapanagiotou, 2022. "Multivariate Cointegration and Temporal Aggregation: Some Further Simulation Results," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 59-70, January.
- Burak Eroglu, 2017. "Wavelet Variance Ratio Test And Wavestrapping For The Determination Of The Cointegration Rank," Working Papers 1706, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
- Chevillon, Guillaume, 2012. "Local-Explosive Approximations to Null Distributions of the Johansen Cointegration Test, with an Application to Cyclical Concordance in the Euro Area," ESSEC Working Papers WP1210, ESSEC Research Center, ESSEC Business School.
- Qihui Chen & Zheng Fang, 2018. "Improved Inference on the Rank of a Matrix," Papers 1812.02337, arXiv.org, revised Mar 2019.
- Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2020. "Determining the rank of cointegration with infinite variance," Discussion Papers 20/01, University of Nottingham, Granger Centre for Time Series Econometrics.
- Lieb, Lenard & Smeekes, Stephan, 2017.
"Inference for Impulse Responses under Model Uncertainty,"
Research Memorandum
022, Maastricht University, Graduate School of Business and Economics (GSBE).
- Lenard Lieb & Stephan Smeekes, 2017. "Inference for Impulse Responses under Model Uncertainty," Papers 1709.09583, arXiv.org, revised Oct 2019.
- Wilms, Ines & Croux, Christophe, 2016. "Forecasting using sparse cointegration," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1256-1267.
- Eroğlu, Burak Alparslan, 2019. "Wavelet variance ratio cointegration test and wavestrapping," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 298-319.
- Bergman, U. Michael & Sørensen, Peter Birch, 2021. "The interaction of actual and fundamental house prices: A general model with an application to Sweden," Journal of Housing Economics, Elsevier, vol. 54(C).
- Takamitsu Kurita & Bent Nielsen, 2019. "Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms," Econometrics, MDPI, vol. 7(4), pages 1-35, October.
- Pretis, Felix, 2021. "Exogeneity in climate econometrics," Energy Economics, Elsevier, vol. 96(C).
- Niklas Ahlgren & Jan Antell, 2013. "The power of bootstrap tests of cointegration rank," Computational Statistics, Springer, vol. 28(6), pages 2719-2748, December.
- Luca Benati, 2018. "Money and Credit: A Long-Term View," Diskussionsschriften dp1811, Universitaet Bern, Departement Volkswirtschaft.
- David H. Bernstein & Bent Nielsen, 2019.
"Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient,"
Econometrics, MDPI, vol. 7(1), pages 1-24, January.
- David Bernstein & Bent Nielsen, 2014. "Asymptotic theory for cointegration analysis when the cointegration rank is deficient," Economics Papers 2014-W06, Economics Group, Nuffield College, University of Oxford.
- Burak Eroglu & Kemal Caglar Gogebakan & Mirza Trokic, 2017. "Fractional Seasonal Variance Ratio Unit Root Tests," Working Papers 1707, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
- Niklas Ahlgren & Paul Catani, 2017. "Wild bootstrap tests for autocorrelation in vector autoregressive models," Statistical Papers, Springer, vol. 58(4), pages 1189-1216, December.
- Anna Bykhovskaya & Vadim Gorin, 2022. "Asymptotics of Cointegration Tests for High-Dimensional VAR($k$)," Papers 2202.07150, arXiv.org, revised Nov 2023.
- Luca Benati, 2015.
"The Long-Run Phillips Curve: A Structural VAR Investigation,"
2015 Meeting Papers
929, Society for Economic Dynamics.
- Benati, Luca, 2015. "The long-run Phillips curve: A structural VAR investigation," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 15-28.
- Andreas Hetland & Simon Hetland, 2017. "Short-Term Expectation Formation Versus Long-Term Equilibrium Conditions: The Danish Housing Market," Econometrics, MDPI, vol. 5(3), pages 1, September.
- Luca Benati, 2018. "Cagan s Paradox Revisited," Diskussionsschriften dp1826, Universitaet Bern, Departement Volkswirtschaft.
- Anna Bykhovskaya & Vadim Gorin, 2020. "Cointegration in large VARs," Papers 2006.14179, arXiv.org, revised Dec 2021.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013.
"Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions,"
Discussion Papers
13-13, University of Copenhagen. Department of Economics.
- Theis Lange & Anders Rahbek & Søren Tolver Jensen, 2011.
"Estimation and Asymptotic Inference in the AR-ARCH Model,"
Econometric Reviews, Taylor & Francis Journals, vol. 30(2), pages 129-153.
Cited by:
- Harvey,Andrew C., 2013.
"Dynamic Models for Volatility and Heavy Tails,"
Cambridge Books,
Cambridge University Press, number 9781107034723, January.
- Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107630024, January.
- Theis Lange, 2009. "First and second order non-linear cointegration models," CREATES Research Papers 2009-04, Department of Economics and Business Economics, Aarhus University.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2016.
"On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space,"
Quaderni di Dipartimento
6, Department of Statistics, University of Bologna.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2017. "On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(4), pages 513-534, July.
- Zhu, Ke & Ling, Shiqing, 2013. "Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models," MPRA Paper 51509, University Library of Munich, Germany.
- Eunju Hwang, 2021. "Limit Theory for Stationary Autoregression with Heavy-Tailed Augmented GARCH Innovations," Mathematics, MDPI, vol. 9(8), pages 1-10, April.
- Davide Viviano & Jelena Bradic, 2019. "Synthetic learner: model-free inference on treatments over time," Papers 1904.01490, arXiv.org, revised Aug 2022.
- Mika Meitz & Pentti Saikkonen, 2008.
"Parameter Estimation in Nonlinear AR-GARCH Models,"
Economics Working Papers
ECO2008/25, European University Institute.
- Mika Meitz & Pentti Saikkonen, 2010. "Parameter estimation in nonlinear AR–GARCH models," Koç University-TUSIAD Economic Research Forum Working Papers 1002, Koc University-TUSIAD Economic Research Forum.
- Mika Meitz & Pentti Saikkonen, 2008. "Parameter estimation in nonlinear AR-GARCH models," Economics Series Working Papers 396, University of Oxford, Department of Economics.
- Mika Meitz & Pentti Saikkonen, 2008. "Parameter estimation in nonlinear AR-GARCH models," CREATES Research Papers 2008-30, Department of Economics and Business Economics, Aarhus University.
- Meitz, Mika & Saikkonen, Pentti, 2011. "Parameter Estimation In Nonlinear Ar–Garch Models," Econometric Theory, Cambridge University Press, vol. 27(6), pages 1236-1278, December.
- Cavaliere, Giuseppe & Lu, Ye & Rahbek, Anders & Stærk-Østergaard, Jacob, 2023.
"Bootstrap inference for Hawkes and general point processes,"
Journal of Econometrics, Elsevier, vol. 235(1), pages 133-165.
- Cavaliere, Giuseppe & Lu,Ye & Rahbek, Anders & Staerk-Ostergaard, J, 2021. "Bootstrap Inference For Hawkes And General Point Processes," Working Papers 2021-05, University of Sydney, School of Economics.
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob Stærk-Østergaard, 2021. "Bootstrap inference for Hawkes and general point processes," Discussion Papers 21-05, University of Copenhagen. Department of Economics.
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob St{ae}rk-{O}stergaard, 2021. "Bootstrap Inference for Hawkes and General Point Processes," Papers 2104.03122, arXiv.org, revised Sep 2021.
- Michele Caivano & Andrew Harvey, 2014.
"Time-series models with an EGB2 conditional distribution,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 558-571, November.
- Michele Caivano & Andrew Harvey, 2014. "Time series models with an EGB2 conditional distribution," Temi di discussione (Economic working papers) 947, Bank of Italy, Economic Research and International Relations Area.
- M. Caivano & A. Harvey, 2013. "Time series models with an EGB2 conditional distribution," Cambridge Working Papers in Economics 1325, Faculty of Economics, University of Cambridge.
- Giuseppe Cavaliere & Anders Rahbek, 2019. "A Primer On Bootstrap Testing Of Hypotheses In Time Series Models: With An Application To Double Autoregressive Models," Discussion Papers 19-03, University of Copenhagen. Department of Economics.
- Iglesias, Emma M. & Linton, Oliver, 2009. "Estimation of tail thickness parameters from GJR-GARCH models," UC3M Working papers. Economics we094726, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Viviano, Davide & Bradic, Jelena, 2023. "Synthetic Learner: Model-free inference on treatments over time," Journal of Econometrics, Elsevier, vol. 234(2), pages 691-713.
- Anders Rahbek & Heino Bohn Nielsen, 2012.
"Unit Root Vector Autoregression with volatility Induced Stationarity,"
CREATES Research Papers
2012-29, Department of Economics and Business Economics, Aarhus University.
- Anders Rahbek & Heino Bohn Nielsen, 2012. "Unit root vector autoregression with volatility induced stationarity," Discussion Papers 12-02, University of Copenhagen. Department of Economics.
- Nielsen, Heino Bohn & Rahbek, Anders, 2014. "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
- Harvey,Andrew C., 2013.
"Dynamic Models for Volatility and Heavy Tails,"
Cambridge Books,
Cambridge University Press, number 9781107034723, January.
- Takamitsu Kurita & Heino Bohn Nielsen & Anders Rahbek, 2011.
"An I(2) cointegration model with piecewise linear trends,"
Econometrics Journal, Royal Economic Society, vol. 14(2), pages 131-155, July.
Cited by:
- Jung, Alexander, 2020. "An empirical analysis of loan supply and demand in the euro area," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 187-201.
- Jung, Alexander & Carcel Villanova, Hector, 2020. "The empirical properties of euro area M3, 1980-2017," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 37-49.
- Berta, P. & Lovaglio, P.G. & Paruolo, P. & Verzillo, S., 2020.
"Real Time Forecasting of Covid-19 Intensive Care Units demand,"
Health, Econometrics and Data Group (HEDG) Working Papers
20/16, HEDG, c/o Department of Economics, University of York.
- Berta, Paolo & Lovaglio, Pietro Giorgio & Paruolo, Paolo & Verzillo, Stefano, 2020. "Real Time Forecasting of Covid-19 Intensive Care Units demand," JRC Working Papers in Economics and Finance 2020-08, Joint Research Centre, European Commission.
- Kurita, Takamitsu, 2020. "Likelihood-based tests for parameter constancy in I(2) CVAR models with an application to fixed-term deposit data," Journal of Multivariate Analysis, Elsevier, vol. 178(C).
- Takamitsu Kurita & Mototsugu Shintani, 2023. "Johansen Test with Fourier-Type Smooth Nonlinear Trends in Cointegrating Relations," CIRJE F-Series CIRJE-F-1216, CIRJE, Faculty of Economics, University of Tokyo.
- Francesca Di Iorio & Stefano Fachin & Riccardo Lucchetti, 2016.
"Can you do the wrong thing and still be right? Hypothesis testing in I(2) and near-I(2) cointegrated VARs,"
Applied Economics, Taylor & Francis Journals, vol. 48(38), pages 3665-3678, August.
- Francesca DI IORIO & Stefano FACHIN & Riccardo LUCCHETTI, 2013. "Can you do the wrong thing and still be right? Hypothesis Testing in I(2) and near-I(2) cointegrated VARs," Working Papers 395, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
- Takamitsu Kurita & B. Nielsen, 2018. "Partial cointegrated vector autoregressive models with structural breaks in deterministic terms," Economics Papers 2018-W03, Economics Group, Nuffield College, University of Oxford.
- Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010.
"Cointegration Rank Testing Under Conditional Heteroskedasticity,"
Econometric Theory, Cambridge University Press, vol. 26(6), pages 1719-1760, December.
See citations under working paper version above.
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2009. "Co-integration Rank Testing under Conditional Heteroskedasticity," CREATES Research Papers 2009-22, Department of Economics and Business Economics, Aarhus University.
- Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010.
"Testing for co-integration in vector autoregressions with non-stationary volatility,"
Journal of Econometrics, Elsevier, vol. 158(1), pages 7-24, September.
See citations under working paper version above.
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," CREATES Research Papers 2008-50, Department of Economics and Business Economics, Aarhus University.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2007. "Testing for co-integration in vector autoregressions with non-stationary volatility," Discussion Papers 07/02, University of Nottingham, Granger Centre for Time Series Econometrics.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," Discussion Papers 08-34, University of Copenhagen. Department of Economics.
- Kristensen, Dennis & Rahbek, Anders, 2010.
"Likelihood-based inference for cointegration with nonlinear error-correction,"
Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
Cited by:
- Giuseppe Cavaliere & Thomas Mikosch & Anders Rahbek & Frederik Vilandt, 2022. "The Econometrics of Financial Duration Modeling," Papers 2208.02098, arXiv.org, revised Dec 2022.
- Escribano, Alvaro & Peña, Daniel & Ruiz, Esther, 2021. "30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1333-1337.
- Cavaliere, Giuseppe & Mikosch, Thomas & Rahbek, Anders & Vilandt, Frederik, 2024. "Tail behavior of ACD models and consequences for likelihood-based estimation," Journal of Econometrics, Elsevier, vol. 238(2).
- Kazuhiko Hayakawa & M. Hashem Pesaran & L. Vanessa Smith, 2023. "Short T dynamic panel data models with individual, time and interactive effects," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(6), pages 940-967, September.
- Heejoon Han & Dennis Kristensen, 2012.
"Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates,"
CREATES Research Papers
2012-25, Department of Economics and Business Economics, Aarhus University.
- Heejoon Han & Dennis Kristensen, 2013. "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers 18/13, Institute for Fiscal Studies.
- Heejoon Han & Dennis Kristensen, 2013. "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers CWP18/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Heejoon Han & Dennis Kristensen, 2014. "Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 416-429, July.
- Keilbar, Georg & Zhang, Yanfen, 2020.
"On Cointegration and Cryptocurrency Dynamics,"
IRTG 1792 Discussion Papers
2020-012, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Georg Keilbar & Yanfen Zhang, 2021. "On cointegration and cryptocurrency dynamics," Digital Finance, Springer, vol. 3(1), pages 1-23, March.
- Kristensen, Dennis & Shin, Yongseok, 2012.
"Estimation of dynamic models with nonparametric simulated maximum likelihood,"
Journal of Econometrics, Elsevier, vol. 167(1), pages 76-94.
- Dennis Kristensen & Yongseok Shin, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-58, Department of Economics and Business Economics, Aarhus University.
- Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
- James A. Duffy & Sophocles Mavroeidis, 2024. "Common Trends and Long-Run Identification in Nonlinear Structural VARs," Papers 2404.05349, arXiv.org, revised Sep 2024.
- Skrobotov, Anton, 2021. "Structural breaks in cointegration models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 63, pages 117-141.
- Dark, Jonathan, 2015. "Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 269-285.
- Vanessa Berenguer-Rico & Bent Nielsen, 2015. "Cumulated sum of squares statistics for non-linear and non-stationary regressions," Economics Papers 2015-W09, Economics Group, Nuffield College, University of Oxford.
- Andreas Hetland, 2018. "The Stochastic Stationary Root Model," Econometrics, MDPI, vol. 6(3), pages 1-33, August.
- James A. Duffy & Sophocles Mavroeidis & Sam Wycherley, 2022. "Cointegration with Occasionally Binding Constraints," Papers 2211.09604, arXiv.org, revised Feb 2025.
- Kristensen Dennis & Rahbek Anders, 2009.
"Asymptotics of the QMLE for Non-Linear ARCH Models,"
Journal of Time Series Econometrics, De Gruyter, vol. 1(1), pages 1-38, April.
Cited by:
- Sucarrat, Genaro & Grønneberg, Steffen & Escribano, Alvaro, 2013.
"Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown,"
MPRA Paper
49344, University Library of Munich, Germany.
- Sucarrat, Genaro & Grønneberg, Steffen & Escribano, Alvaro, 2016. "Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 582-594.
- Kurt Brannas & Albina Soultanaeva, 2011. "Influence of news from Moscow and New York on returns and risks of Baltic States’ stock markets," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 11(1), pages 109-124, July.
- Francq, Christian & Wintenberger, Olivier & Zakoian, Jean-Michel, 2012.
"Garch models without positivity constraints: exponential or log garch?,"
MPRA Paper
41373, University Library of Munich, Germany.
- Francq, Christian & Wintenberger, Olivier & Zakoïan, Jean-Michel, 2013. "GARCH models without positivity constraints: Exponential or log GARCH?," Journal of Econometrics, Elsevier, vol. 177(1), pages 34-46.
- Peter Reinhard Hansen & Zhuo Huang, 2012.
"Exponential GARCH Modeling with Realized Measures of Volatility,"
Economics Working Papers
ECO2012/26, European University Institute.
- Peter Reinhard Hansen & Zhuo Huang, 2016. "Exponential GARCH Modeling With Realized Measures of Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 269-287, April.
- Peter Reinhard Hansen & Zhuo Huang, 2012. "Exponential GARCH Modeling with Realized Measures of Volatility," CREATES Research Papers 2012-44, Department of Economics and Business Economics, Aarhus University.
- Mika Meitz & Pentti Saikkonen, 2008.
"Parameter Estimation in Nonlinear AR-GARCH Models,"
Economics Working Papers
ECO2008/25, European University Institute.
- Mika Meitz & Pentti Saikkonen, 2010. "Parameter estimation in nonlinear AR–GARCH models," Koç University-TUSIAD Economic Research Forum Working Papers 1002, Koc University-TUSIAD Economic Research Forum.
- Mika Meitz & Pentti Saikkonen, 2008. "Parameter estimation in nonlinear AR-GARCH models," Economics Series Working Papers 396, University of Oxford, Department of Economics.
- Mika Meitz & Pentti Saikkonen, 2008. "Parameter estimation in nonlinear AR-GARCH models," CREATES Research Papers 2008-30, Department of Economics and Business Economics, Aarhus University.
- Meitz, Mika & Saikkonen, Pentti, 2011. "Parameter Estimation In Nonlinear Ar–Garch Models," Econometric Theory, Cambridge University Press, vol. 27(6), pages 1236-1278, December.
- Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
- Sucarrat, Genaro & Grønneberg, Steffen & Escribano, Alvaro, 2013.
"Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown,"
MPRA Paper
49344, University Library of Munich, Germany.
- Fokianos, Konstantinos & Rahbek, Anders & Tjøstheim, Dag, 2009.
"Poisson Autoregression,"
Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1430-1439.
See citations under working paper version above.
- Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2008. "Poisson Autoregression," Discussion Papers 08-35, University of Copenhagen. Department of Economics, revised Dec 2008.
- Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2009. "Poisson Autoregression," CREATES Research Papers 2009-12, Department of Economics and Business Economics, Aarhus University.
- Frédérique Bec & Anders Rahbek & Mélika Ben Salem, 2008.
"Purchasing power parity: A nonlinear multivariate perspective,"
Economics Bulletin, AccessEcon, vol. 6(39), pages 1-6.
- Frédérique Bec & Mélika Ben & Salem Anders Rahbek, 2008. "Purchasing power parity: A nonlinear multivariate perspective," Post-Print hal-04176294, HAL.
Cited by:
- Frédérique Bec & Mélika Ben Salem, 2004. "L'ajustement à seuil des processus cointégrés. Que sait-on des modèles à trois régimes ?," Revue d'économie politique, Dalloz, vol. 114(4), pages 467-488.
- Deokwoo Nam, 2011. "The Roles of Nominal Exchange Rate and Relative Price Adjustments in PPP Reversion," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(4), pages 775-785, June.
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008.
"The ACR Model: A Multivariate Dynamic Mixture Autoregression,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 583-618, October.
See citations under working paper version above.
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR model: a multivariate dynamic mixture autoregression," THEMA Working Papers 2008-11, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Jensen, Søren Tolver & Rahbek, Anders, 2007.
"On The Law Of Large Numbers For (Geometrically) Ergodic Markov Chains,"
Econometric Theory, Cambridge University Press, vol. 23(4), pages 761-766, August.
Cited by:
- Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2008.
"Poisson Autoregression,"
Discussion Papers
08-35, University of Copenhagen. Department of Economics, revised Dec 2008.
- Fokianos, Konstantinos & Rahbek, Anders & Tjøstheim, Dag, 2009. "Poisson Autoregression," Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1430-1439.
- Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2009. "Poisson Autoregression," CREATES Research Papers 2009-12, Department of Economics and Business Economics, Aarhus University.
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008.
"The ACR Model: A Multivariate Dynamic Mixture Autoregression,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 583-618, October.
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR model: a multivariate dynamic mixture autoregression," THEMA Working Papers 2008-11, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Theis Lange, 2009. "First and second order non-linear cointegration models," CREATES Research Papers 2009-04, Department of Economics and Business Economics, Aarhus University.
- Hanan Elsaied & Roland Fried, 2021. "On robust estimation of negative binomial INARCH models," METRON, Springer;Sapienza Università di Roma, vol. 79(2), pages 137-158, August.
- Line Elvstrøm Ekner & Emil Nejstgaard, 2013. "Parameter Identification in the Logistic STAR Model," Discussion Papers 13-07, University of Copenhagen. Department of Economics.
- Giuseppe Cavaliere & Thomas Mikosch & Anders Rahbek & Frederik Vilandt, 2023. "Asymptotics for the Generalized Autoregressive Conditional Duration Model," Papers 2307.01779, arXiv.org.
- Cheikh Toure & Anne Auger & Nikolaus Hansen, 2023. "Global linear convergence of evolution strategies with recombination on scaling-invariant functions," Journal of Global Optimization, Springer, vol. 86(1), pages 163-203, May.
- Peter Boswijk, H. & van der Weide, Roy, 2011. "Method of moments estimation of GO-GARCH models," Journal of Econometrics, Elsevier, vol. 163(1), pages 118-126, July.
- Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
- Kristensen Dennis & Rahbek Anders, 2009. "Asymptotics of the QMLE for Non-Linear ARCH Models," Journal of Time Series Econometrics, De Gruyter, vol. 1(1), pages 1-38, April.
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2009.
"Co-integration Rank Testing under Conditional Heteroskedasticity,"
CREATES Research Papers
2009-22, Department of Economics and Business Economics, Aarhus University.
- Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Cointegration Rank Testing Under Conditional Heteroskedasticity," Econometric Theory, Cambridge University Press, vol. 26(6), pages 1719-1760, December.
- Konstantinos Fokianos & Dag Tjøstheim, 2012. "Nonlinear Poisson autoregression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(6), pages 1205-1225, December.
- Christian M. Dahl & Emma M. Iglesias, 2021.
"Asymptotic normality of the MLE in the level-effect ARCH model,"
Statistical Papers, Springer, vol. 62(1), pages 117-135, February.
- Christian M. Dahl & Emma M. Iglesias, 2010. "Asymptotic normality of the QMLE in the level-effect ARCH model," CREATES Research Papers 2010-48, Department of Economics and Business Economics, Aarhus University.
- Anders Rahbek & Heino Bohn Nielsen, 2012.
"Unit Root Vector Autoregression with volatility Induced Stationarity,"
CREATES Research Papers
2012-29, Department of Economics and Business Economics, Aarhus University.
- Anders Rahbek & Heino Bohn Nielsen, 2012. "Unit root vector autoregression with volatility induced stationarity," Discussion Papers 12-02, University of Copenhagen. Department of Economics.
- Nielsen, Heino Bohn & Rahbek, Anders, 2014. "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
- Vurukonda Sathish & Siuli Mukhopadhyay & Rashmi Tiwari, 2022. "Autoregressive and moving average models for zero‐inflated count time series," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 76(2), pages 190-218, May.
- Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2008.
"Poisson Autoregression,"
Discussion Papers
08-35, University of Copenhagen. Department of Economics, revised Dec 2008.
- Nielsen, Heino Bohn & Rahbek, Anders, 2007.
"The Likelihood Ratio Test For Cointegration Ranks In The I(2) Model,"
Econometric Theory, Cambridge University Press, vol. 23(4), pages 615-637, August.
Cited by:
- Stillwagon, Josh R., 2015.
"Testing the expectations hypothesis with survey forecasts: The impacts of consumer sentiment and the zero lower bound in an I(2) CVAR,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 85-101.
- Josh Stillwagon, 2014. "Testing the Expectations Hypothesis with Survey Forecasts: The Impacts of Consumer Sentiment and the Zero Lower Bound in an I(2) CVAR," Working Papers 1401, Trinity College, Department of Economics.
- Jung, Alexander, 2020. "An empirical analysis of loan supply and demand in the euro area," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 187-201.
- Frydman Roman & Goldberg Michael D., 2008. "Macroeconomic Theory for a World of Imperfect Knowledge," Capitalism and Society, De Gruyter, vol. 3(3), pages 1-78, December.
- Jung, Alexander & Carcel Villanova, Hector, 2020. "The empirical properties of euro area M3, 1980-2017," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 37-49.
- Gomez-Biscarri, Javier & Hualde, Javier, 2015.
"A residual-based ADF test for stationary cointegration in I(2) settings,"
Journal of Econometrics, Elsevier, vol. 184(2), pages 280-294.
- Javier Gómez Biscarri & Javier Hualde, 2014. "A residual-based ADF test for stationary cointegration in I (2) settings," Economics Working Papers 1439, Department of Economics and Business, Universitat Pompeu Fabra.
- Javier Hualde & Javier Gómez Biscarri, 2015. "A Residual-Based ADF Test for Stationary Cointegration in I (2) Settings," Working Papers 779, Barcelona School of Economics.
- Katarina Juselius, 2017.
"Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge,"
Discussion Papers
17-07, University of Copenhagen. Department of Economics.
- Katarina Juselius, 2017. "Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge," Econometrics, MDPI, vol. 5(3), pages 1, July.
- Assenmacher, Katrin & Beyer, Andreas, 2020.
"A cointegration model of money and wealth,"
Working Paper Series
2365, European Central Bank.
- Assenmacher-Wesche, Katrin & Beyer, Andreas, 2019. "A cointegration model of money and wealth," CFS Working Paper Series 619, Center for Financial Studies (CFS).
- Mihaela Onofrei & Elena Cigu & Anca-Florentina Gavriluta (Vatamanu) & Ionel Bostan & Florin Oprea, 2021. "Effects of the COVID-19 Pandemic on the Budgetary Mechanism Established to Cover Public Health Expenditure. A Case Study of Romania," IJERPH, MDPI, vol. 18(3), pages 1-15, January.
- Katarina Juselius & Katrin Assenmacher, 2014.
"Real exchange rate persistence: the case of the Swiss franc-US dollar rate,"
Discussion Papers
14-26, University of Copenhagen. Department of Economics.
- Katarina Juselius & Katrin Assenmacher, 2015. "Real exchange rate persistence: The case of the Swiss franc-US dollar rate," Working Papers 2015-03, Swiss National Bank.
- Johansen, Søren & Juselius, Katarina & Frydman, Roman & Goldberg, Michael, 2010. "Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate," Journal of Econometrics, Elsevier, vol. 158(1), pages 117-129, September.
- Kurita, Takamitsu, 2020. "Likelihood-based tests for parameter constancy in I(2) CVAR models with an application to fixed-term deposit data," Journal of Multivariate Analysis, Elsevier, vol. 178(C).
- Heino Nielsen & Christopher Bowdler, 2006.
"Inflation adjustment in the open economy: an I(2) analysis of UK prices,"
Empirical Economics, Springer, vol. 31(3), pages 569-586, September.
- Heino Bohn Nielsen & Christopher Bowdler, 2003. "Inflation Adjustment in the Open Economy: An I(2) Analysis of UK Prices," Economics Papers 2003-W05, Economics Group, Nuffield College, University of Oxford.
- Juselius, Katarina & Stillwagon, Josh R., 2018. "Are outcomes driving expectations or the other way around? An I(2) CVAR analysis of interest rate expectations in the dollar/pound market," Journal of International Money and Finance, Elsevier, vol. 83(C), pages 93-105.
- Søren Johansen & Katarina Juselius & Roman Frydman & Michael Goldberg, 2007.
"Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate,"
Discussion Papers
07-34, University of Copenhagen. Department of Economics.
- Søren Johansen & Katarina Juselius & Roman Frydberg & Michael Goldberg, 2008. "Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate," CREATES Research Papers 2008-03, Department of Economics and Business Economics, Aarhus University.
- Takamitsu Kurita, 2009. "A note on testing parameter constancy in cointegrated vector autoregression: the case of near I(2) processes," Economics Bulletin, AccessEcon, vol. 29(2), pages 575-587.
- Andreas Hetland & Simon Hetland, 2017. "Short-Term Expectation Formation Versus Long-Term Equilibrium Conditions: The Danish Housing Market," Econometrics, MDPI, vol. 5(3), pages 1, September.
- H. Peter Boswijk & Paolo Paruolo, 2017. "Likelihood Ratio Tests of Restrictions on Common Trends Loading Matrices in I(2) VAR Systems," Econometrics, MDPI, vol. 5(3), pages 1, June.
- Stillwagon, Josh R., 2015.
"Testing the expectations hypothesis with survey forecasts: The impacts of consumer sentiment and the zero lower bound in an I(2) CVAR,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 85-101.
- Kristensen, Dennis & Rahbek, Anders, 2005.
"ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS,"
Econometric Theory, Cambridge University Press, vol. 21(5), pages 946-961, October.
Cited by:
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2016.
"On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space,"
Quaderni di Dipartimento
6, Department of Statistics, University of Bologna.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2017. "On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(4), pages 513-534, July.
- Dahl Christian M & Iglesias Emma, 2011.
"Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary,"
Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-32, February.
- Christian M. Dahl & Emma M. Iglesias, 2009. "Modelling the Volatility-Return Trade-off when Volatility may be Nonstationary," CREATES Research Papers 2009-59, Department of Economics and Business Economics, Aarhus University.
- Heejoon Han & Dennis Kristensen, 2012.
"Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates,"
CREATES Research Papers
2012-25, Department of Economics and Business Economics, Aarhus University.
- Heejoon Han & Dennis Kristensen, 2013. "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers 18/13, Institute for Fiscal Studies.
- Heejoon Han & Dennis Kristensen, 2013. "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers CWP18/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Heejoon Han & Dennis Kristensen, 2014. "Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 416-429, July.
- Dennis Kristensen & Bernard Salanie, 2013.
"Higher-order properties of approximate estimators,"
CeMMAP working papers
45/13, Institute for Fiscal Studies.
- Dennis Kristensen & Bernard Salanie, 2013. "Higher-order properties of approximate estimators," CeMMAP working papers CWP45/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Kristensen, Dennis & Salanié, Bernard, 2017. "Higher-order properties of approximate estimators," Journal of Econometrics, Elsevier, vol. 198(2), pages 189-208.
- Peter Reinhard Hansen & Zhuo Huang, 2012.
"Exponential GARCH Modeling with Realized Measures of Volatility,"
Economics Working Papers
ECO2012/26, European University Institute.
- Peter Reinhard Hansen & Zhuo Huang, 2016. "Exponential GARCH Modeling With Realized Measures of Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 269-287, April.
- Peter Reinhard Hansen & Zhuo Huang, 2012. "Exponential GARCH Modeling with Realized Measures of Volatility," CREATES Research Papers 2012-44, Department of Economics and Business Economics, Aarhus University.
- Mengya Liu & Qi Li & Fukang Zhu, 2020. "Self-excited hysteretic negative binomial autoregression," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(3), pages 385-415, September.
- Kristensen, Dennis & Shin, Yongseok, 2012.
"Estimation of dynamic models with nonparametric simulated maximum likelihood,"
Journal of Econometrics, Elsevier, vol. 167(1), pages 76-94.
- Dennis Kristensen & Yongseok Shin, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-58, Department of Economics and Business Economics, Aarhus University.
- Kristensen, Dennis, 2010.
"Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models,"
Journal of Econometrics, Elsevier, vol. 156(2), pages 239-259, June.
- Dennis Kristensen, 2009. "Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models," CREATES Research Papers 2009-41, Department of Economics and Business Economics, Aarhus University.
- Mika Meitz & Pentti Saikkonen, 2008.
"Parameter Estimation in Nonlinear AR-GARCH Models,"
Economics Working Papers
ECO2008/25, European University Institute.
- Mika Meitz & Pentti Saikkonen, 2010. "Parameter estimation in nonlinear AR–GARCH models," Koç University-TUSIAD Economic Research Forum Working Papers 1002, Koc University-TUSIAD Economic Research Forum.
- Mika Meitz & Pentti Saikkonen, 2008. "Parameter estimation in nonlinear AR-GARCH models," Economics Series Working Papers 396, University of Oxford, Department of Economics.
- Mika Meitz & Pentti Saikkonen, 2008. "Parameter estimation in nonlinear AR-GARCH models," CREATES Research Papers 2008-30, Department of Economics and Business Economics, Aarhus University.
- Meitz, Mika & Saikkonen, Pentti, 2011. "Parameter Estimation In Nonlinear Ar–Garch Models," Econometric Theory, Cambridge University Press, vol. 27(6), pages 1236-1278, December.
- Marc Hallin & Davide La Vecchia, 2014. "Semiparametrically Efficient R-Estimation for Dynamic Location-Scale Models," Working Papers ECARES ECARES 2014-45, ULB -- Universite Libre de Bruxelles.
- Hallin, Marc & La Vecchia, Davide, 2017. "R-estimation in semiparametric dynamic location-scale models," Journal of Econometrics, Elsevier, vol. 196(2), pages 233-247.
- Iglesias, Emma M., 2006. "Higher-order asymptotic properties of QML in [beta]-ARCH and [mu]-ARCH models," Economics Letters, Elsevier, vol. 93(2), pages 261-266, November.
- Giuseppe Cavaliere & Rasmus Søndergaard Pedersen & Anders Rahbek, 2018. "The Fixed Volatility Bootstrap for a Class of Arch(q) Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 920-941, November.
- Dennis Kristensen & Bernard Salanié, 2010. "Higher Order Improvements for Approximate Estimators," CAM Working Papers 2010-04, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
- Anatolyev, Stanislav, 2009.
"Dynamic modeling under linear-exponential loss,"
Economic Modelling, Elsevier, vol. 26(1), pages 82-89, January.
- Stanislav Anatolyev, 2006. "Dynamic modeling under linear-exponential loss," Working Papers w0092, New Economic School (NES).
- Stanislav Anatolyev, 2006. "Dynamic modeling under linear-exponential loss," Working Papers w0092, Center for Economic and Financial Research (CEFIR).
- Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
- Hafner, Christian & Preminger, Arie, 2015.
"An ARCH model without intercept,"
LIDAM Reprints ISBA
2015039, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Christian M. HAFNER & Arie PREMINGER, 2015. "An ARCH Model Without Intercept," LIDAM Reprints CORE 2770, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hafner, Christian M. & Preminger, Arie, 2015. "An ARCH model without intercept," Economics Letters, Elsevier, vol. 129(C), pages 13-17.
- Kristensen Dennis & Rahbek Anders, 2009. "Asymptotics of the QMLE for Non-Linear ARCH Models," Journal of Time Series Econometrics, De Gruyter, vol. 1(1), pages 1-38, April.
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2009.
"Co-integration Rank Testing under Conditional Heteroskedasticity,"
CREATES Research Papers
2009-22, Department of Economics and Business Economics, Aarhus University.
- Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Cointegration Rank Testing Under Conditional Heteroskedasticity," Econometric Theory, Cambridge University Press, vol. 26(6), pages 1719-1760, December.
- Agosto, Arianna & Cavaliere, Giuseppe & Kristensen, Dennis & Rahbek, Anders, 2016.
"Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX),"
Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 640-663.
- Arianna Agosto & Giuseppe Cavaliere & Dennis Kristensen & Anders Rahbek, 2015. "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," CREATES Research Papers 2015-11, Department of Economics and Business Economics, Aarhus University.
- Péter Elek & László Márkus, 2008. "A light‐tailed conditionally heteroscedastic model with applications to river flows," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(1), pages 14-36, January.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2009. "Co-integration rank tests under conditional heteroskedasticity," Discussion Papers 09/02, University of Nottingham, Granger Centre for Time Series Econometrics.
- Todd Prono, 2016. "Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance," Finance and Economics Discussion Series 2016-083, Board of Governors of the Federal Reserve System (U.S.).
- Hafner, Christian M. & Preminger, Arie, 2009. "On asymptotic theory for multivariate GARCH models," Journal of Multivariate Analysis, Elsevier, vol. 100(9), pages 2044-2054, October.
- Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2016. "Nonstationary GARCH with t-distributed innovations," Economics Letters, Elsevier, vol. 138(C), pages 19-21.
- Todd Prono, 2017. "Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry," Finance and Economics Discussion Series 2017-095, Board of Governors of the Federal Reserve System (U.S.).
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2016.
"On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space,"
Quaderni di Dipartimento
6, Department of Statistics, University of Bologna.
- Frédérique Bec & Anders Rahbek, 2004.
"Vector equilibrium correction models with non-linear discontinuous adjustments,"
Econometrics Journal, Royal Economic Society, vol. 7(2), pages 628-651, December.
Cited by:
- Deborah Gefang, 2012. "Money‐output Causality Revisited – A Bayesian Logistic Smooth Transition VECM Perspective," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(1), pages 131-151, February.
- Seo, Myung Hwan, 2007.
"Estimation of nonlinear error correction models,"
LSE Research Online Documents on Economics
6802, London School of Economics and Political Science, LSE Library.
- Hwan Seo, Myung, 2011. "Estimation Of Nonlinear Error Correction Models," Econometric Theory, Cambridge University Press, vol. 27(2), pages 201-234, April.
- Sokbae Lee & Myung Hwan Seo & Youngki Shin, 2017. "Correction," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(518), pages 883-883, April.
- Rasmus Søndergaard Pedersen & Anders Rahbek, 2012.
"Multivariate Variance Targeting in the BEKK-GARCH Model,"
Discussion Papers
12-23, University of Copenhagen. Department of Economics.
- Rasmus S. Pedersen & Anders Rahbek, 2014. "Multivariate variance targeting in the BEKK–GARCH model," Econometrics Journal, Royal Economic Society, vol. 17(1), pages 24-55, February.
- Rasmus Søndergaard Pedersen & Anders Rahbek, 2012. "Multivariate Variance Targeting in the BEKK-GARCH Model," CREATES Research Papers 2012-53, Department of Economics and Business Economics, Aarhus University.
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008.
"The ACR Model: A Multivariate Dynamic Mixture Autoregression,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 583-618, October.
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR model: a multivariate dynamic mixture autoregression," THEMA Working Papers 2008-11, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Theis Lange, 2009. "First and second order non-linear cointegration models," CREATES Research Papers 2009-04, Department of Economics and Business Economics, Aarhus University.
- Frédérique Bec & Songlin Zeng, 2013.
"Are Southeast Asian Real Exchange Rates Mean Reverting?,"
Post-Print
hal-02979368, HAL.
- Bec, Frédérique & Zeng, Songlin, 2013. "Are Southeast Asian real exchange rates mean reverting?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 265-282.
- Frédérique Bec & Songlin Zeng, 2012. "Are Southeast Asian Real Exchange Rates Mean Reverting?," THEMA Working Papers 2012-25, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Frédérique Bec & Songlin Zeng, 2012. "Are Southeast Asian Real Exchange Rates Mean Reverting?," Working Papers hal-00685812, HAL.
- Biqing Cai & Jiti Gao & Dag Tjøstheim, 2017.
"A New Class of Bivariate Threshold Cointegration Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 288-305, April.
- Biqing Cai & Jiti Gao & Dag Tjostheim, 2015. "A New Class of Bivariate Threshold Cointegration Models," Monash Econometrics and Business Statistics Working Papers 1/15, Monash University, Department of Econometrics and Business Statistics.
- Candelon, Bertrand & Lieb, Lenard, 2013.
"Fiscal policy in good and bad times,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2679-2694.
- Candelon, B. & Lieb, L.M., 2011. "Fiscal policy in good and bad times," Research Memorandum 001, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the post Bretton-Woods period," MERIT Working Papers 2006-012, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
- Lieb Lenard & Candelon Bertrand, 2015. "Testing for short-run threshold effects in a vector error-correction framework: a reappraisal of the stability of the US money demand," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(3), pages 355-376, June.
- Katarina Juselius, 2017.
"Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge,"
Discussion Papers
17-07, University of Copenhagen. Department of Economics.
- Katarina Juselius, 2017. "Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge," Econometrics, MDPI, vol. 5(3), pages 1, July.
- Warne Anders & Vredin Anders, 2006.
"Unemployment and Inflation Regimes,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(2), pages 1-52, May.
- Vredin, Anders & Warne, Anders, 2000. "Unemployment and Inflation Regimes," Working Paper Series 107, Sveriges Riksbank (Central Bank of Sweden).
- Anders Vredin & Anders Warne, 2000. "Unemployment and Inflation Regimes," Econometric Society World Congress 2000 Contributed Papers 0984, Econometric Society.
- Frédérique Bec & Anders Rahbek & Mélika Ben Salem, 2008.
"Purchasing power parity: A nonlinear multivariate perspective,"
Economics Bulletin, AccessEcon, vol. 6(39), pages 1-6.
- Frédérique Bec & Mélika Ben & Salem Anders Rahbek, 2008. "Purchasing power parity: A nonlinear multivariate perspective," Post-Print hal-04176294, HAL.
- Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period," MERIT Working Papers 2006-016, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
- Huber, Florian & Pfarrhofer, Michael & Zörner, Thomas O., 2018.
"Stochastic model specification in Markov switching vector error correction models,"
Working Papers in Economics
2018-3, University of Salzburg.
- Hauzenberger Niko & Huber Florian & Pfarrhofer Michael & Zörner Thomas O., 2021. "Stochastic model specification in Markov switching vector error correction models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(2), pages 1-17, April.
- Niko Hauzenberger & Florian Huber & Michael Pfarrhofer & Thomas O. Zorner, 2018. "Stochastic model specification in Markov switching vector error correction models," Papers 1807.00529, arXiv.org, revised Sep 2019.
- Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
- Igor L. Kheifets & Pentti J. Saikkonen, 2020.
"Stationarity and ergodicity of vector STAR models,"
Econometric Reviews, Taylor & Francis Journals, vol. 39(4), pages 407-414, April.
- Igor L. Kheifets & Pentti J. Saikkonen, 2018. "Stationarity and ergodicity of vector STAR models," Papers 1805.11311, arXiv.org, revised Aug 2019.
- James A. Duffy & Sophocles Mavroeidis, 2024. "Common Trends and Long-Run Identification in Nonlinear Structural VARs," Papers 2404.05349, arXiv.org, revised Sep 2024.
- Jakob de Haan & Tigran Poghosyan & Jakob de Haan, 2007. "Interest Rate Linkages in EMU Countries: A Rolling Threshold Vector Error-Correction Approach," CESifo Working Paper Series 2060, CESifo.
- Barry E. Jones & Travis D. Nesmith, 2006.
"Linear cointegration of nonlinear time series with an application to interest rate dynamics,"
Finance and Economics Discussion Series
2007-03, Board of Governors of the Federal Reserve System (U.S.).
- Nesmith Travis D & Jones Barry E, 2008. "Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(1), pages 1-18, March.
- Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
- Søren Johansen & Katarina Juselius & Roman Frydman & Michael Goldberg, 2007.
"Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate,"
Discussion Papers
07-34, University of Copenhagen. Department of Economics.
- Søren Johansen & Katarina Juselius & Roman Frydberg & Michael Goldberg, 2008. "Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate," CREATES Research Papers 2008-03, Department of Economics and Business Economics, Aarhus University.
- Myung Hwan Seo, 2007.
"Estimation of Nonlinear Error CorrectionModels,"
STICERD - Econometrics Paper Series
517, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Sokbae Lee & Myung Hwan Seo & Youngki Shin, 2017. "Correction," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(518), pages 883-883, April.
- Saikkonen, Pentti, 2005. "Stability results for nonlinear error correction models," Journal of Econometrics, Elsevier, vol. 127(1), pages 69-81, July.
- Møller, Niels Framroze, 2015. "Energy Demand, Substitution and a Potential for Electrification: An econometric analysis of eight Danish subsectors," MPRA Paper 69931, University Library of Munich, Germany.
- Medeiros, Marcelo C & Magri, Rafael, 2013. "Nonlinear Error Correction Models With an Application to Commodity Prices," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 33(2), November.
- Timo Teräsvirta, 2017. "Nonlinear models in macroeconometrics," CREATES Research Papers 2017-32, Department of Economics and Business Economics, Aarhus University.
- Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2015. "Modelling Asymmetry in Oil, Gold and Stock Markets by a Hidden Cointegration Technique. - Modelli di asimmetria nel mercato del petrolio, dell’oro e nei mercati azionari attraverso una tecnica di coin," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 68(2), pages 213-228.
- Michael L. Polemis & Mike G. Tsionas, 2019. "Bayesian nonlinear panel cointegration: an empirical application to the EKC hypothesis," Letters in Spatial and Resource Sciences, Springer, vol. 12(2), pages 113-120, August.
- Chen, Pu & Semmler, Willi, 2024. "Wage – price dynamics and financial market in a disequilibrium macro model: A Keynes – Kaldor – Minsky modeling of recession and inflation using VECM," Journal of Economic Behavior & Organization, Elsevier, vol. 220(C), pages 433-452.
- Anders Rahbek & Heino Bohn Nielsen, 2012.
"Unit Root Vector Autoregression with volatility Induced Stationarity,"
CREATES Research Papers
2012-29, Department of Economics and Business Economics, Aarhus University.
- Anders Rahbek & Heino Bohn Nielsen, 2012. "Unit root vector autoregression with volatility induced stationarity," Discussion Papers 12-02, University of Copenhagen. Department of Economics.
- Nielsen, Heino Bohn & Rahbek, Anders, 2014. "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
- Andreas Hetland, 2018. "The Stochastic Stationary Root Model," Econometrics, MDPI, vol. 6(3), pages 1-33, August.
- James A. Duffy & Sophocles Mavroeidis & Sam Wycherley, 2022. "Cointegration with Occasionally Binding Constraints," Papers 2211.09604, arXiv.org, revised Feb 2025.
- Møller, Niels Framroze, 2017. "Energy demand, substitution and environmental taxation: An econometric analysis of eight subsectors of the Danish economy," Energy Economics, Elsevier, vol. 61(C), pages 97-109.
- Søren Tolver Jensen & Anders Rahbek, 2004.
"Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case,"
Econometrica, Econometric Society, vol. 72(2), pages 641-646, March.
Cited by:
- Giuseppe Cavaliere & Thomas Mikosch & Anders Rahbek & Frederik Vilandt, 2022. "The Econometrics of Financial Duration Modeling," Papers 2208.02098, arXiv.org, revised Dec 2022.
- Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias, 2008.
"Semiparametric Inference in a GARCH-in-Mean Model,"
CREATES Research Papers
2008-46, Department of Economics and Business Economics, Aarhus University.
- Christensen, Bent Jesper & Dahl, Christian M. & Iglesias, Emma M., 2012. "Semiparametric inference in a GARCH-in-mean model," Journal of Econometrics, Elsevier, vol. 167(2), pages 458-472.
- Refk Selmi & Jamal Bouoiyour & Shawkat Hammoudeh & Youssef Errami & Mark E. Wohar, 2021.
"The energy transition, Trump energy agenda and COVID-19,"
International Economics, CEPII research center, issue 165, pages 140-153.
- Selmi, Refk & Bouoiyour, Jamal & Hammoudeh, Shawkat & Errami, Youssef & Wohar, Mark E., 2021. "The energy transition, Trump energy agenda and COVID-19," International Economics, Elsevier, vol. 165(C), pages 140-153.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2016.
"On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space,"
Quaderni di Dipartimento
6, Department of Statistics, University of Bologna.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2017. "On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(4), pages 513-534, July.
- Nazim Regnard & Jean‐Michel Zakoïan, 2010. "Structure and estimation of a class of nonstationary yet nonexplosive GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(5), pages 348-364, September.
- Cavaliere, Giuseppe & Mikosch, Thomas & Rahbek, Anders & Vilandt, Frederik, 2024. "Tail behavior of ACD models and consequences for likelihood-based estimation," Journal of Econometrics, Elsevier, vol. 238(2).
- Francq, Christian & Zakoian, Jean-Michel, 2019.
"Testing the existence of moments for GARCH processes,"
MPRA Paper
98892, University Library of Munich, Germany.
- Francq, Christian & Zakoïan, Jean-Michel, 2022. "Testing the existence of moments for GARCH processes," Journal of Econometrics, Elsevier, vol. 227(1), pages 47-64.
- Francq, Christian & Zakoian, Jean-Michel, 2010. "Strict stationarity testing and estimation of explosive ARCH models," MPRA Paper 22414, University Library of Munich, Germany.
- Wang, Guochang & Zhu, Ke & Li, Guodong & Li, Wai Keung, 2022. "Hybrid quantile estimation for asymmetric power GARCH models," Journal of Econometrics, Elsevier, vol. 227(1), pages 264-284.
- Antonis Demos & Dimitra Kyriakopoulou, 2018.
"Finite Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model,"
DEOS Working Papers
1802, Athens University of Economics and Business.
- DEMOS Antonis, & KYRIAKOPOULOU Dimitra,, 2018. "Finite sample theory and bias correction of maximum likelihood estimators in the EGARCH model," LIDAM Discussion Papers CORE 2018007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Demos Antonis & Kyriakopoulou Dimitra, 2019. "Finite-Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model," Journal of Time Series Econometrics, De Gruyter, vol. 11(1), pages 1-20, January.
- Antonis Demos & Dimitra Kyriakopoulou, 2018. "Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model," LIDAM Reprints CORE 2983, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Koo, Bonsoo & Linton, Oliver, 2015.
"Let’S Get Lade: Robust Estimation Of Semiparametric Multiplicative Volatility Models,"
Econometric Theory, Cambridge University Press, vol. 31(4), pages 671-702, August.
- Bonsoo Koo & Oliver Linton, 2013. "Let's get LADE: robust estimation of semiparametric multiplicative volatility models," CeMMAP working papers CWP11/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Bonsoo Koo & Oliver Linton, 2013. "Let's get LADE: robust estimation of semiparametric multiplicative volatility models," CeMMAP working papers 11/13, Institute for Fiscal Studies.
- Li, Dong & Tao, Yuxin & Yang, Yaxing & Zhang, Rongmao, 2023. "Maximum likelihood estimation for α-stable double autoregressive models," Journal of Econometrics, Elsevier, vol. 236(1).
- Caporale, Guglielmo Maria & Ntantamis, Christos & Pantelidis, Theologos & Pittis, Nikitas, 2004.
"The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification. A Monte Carlo Study,"
Economics Series
156, Institute for Advanced Studies.
- Guglielmo Maria Caporale, 2005. "The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification: A Monte Carlo Study," Journal of Financial Econometrics, Oxford University Press, vol. 3(2), pages 282-309.
- Guglielmo Maria Caporale & Christos Ntantamis & Theologos Pantelidis & Nikitas Pittis, 2004. "The Bds Test As A Test For The Adequacy Of A Garch(1,1) Specification: A Monte Carlo Study," Economics and Finance Discussion Papers 04-14, Economics and Finance Section, School of Social Sciences, Brunel University.
- Guglielmo Maria Caporale & Christos Ntantamis & Theologos Pantelidis & Nikitas Pittis, 2004. "The Bds Test As A Test For The Adequacy Of A Garch(1,1) Specification: A Monte Carlo Study," Public Policy Discussion Papers 04-14, Economics and Finance Section, School of Social Sciences, Brunel University.
- Guochang Wang & Ke Zhu & Guodong Li & Wai Keung Li, 2019. "Hybrid quantile estimation for asymmetric power GARCH models," Papers 1911.09343, arXiv.org.
- Huang, Zhuo & Liu, Hao & Wang, Tianyi, 2016. "Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model," Economic Modelling, Elsevier, vol. 52(PB), pages 812-821.
- Peter Reinhard Hansen & Zhuo Huang, 2012.
"Exponential GARCH Modeling with Realized Measures of Volatility,"
Economics Working Papers
ECO2012/26, European University Institute.
- Peter Reinhard Hansen & Zhuo Huang, 2016. "Exponential GARCH Modeling With Realized Measures of Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 269-287, April.
- Peter Reinhard Hansen & Zhuo Huang, 2012. "Exponential GARCH Modeling with Realized Measures of Volatility," CREATES Research Papers 2012-44, Department of Economics and Business Economics, Aarhus University.
- Stefan Richter & Weining Wang & Wei Biao Wu, 2018.
"A supreme test for periodic explosive GARCH,"
Papers
1812.03475, arXiv.org.
- Richter, Stefan & Wang, Weining & Wu, Wei Biao, 2020. "A supreme test for periodic explosive GARCH," IRTG 1792 Discussion Papers 2020-018, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- István Berkes & Lajos Horváth & Shiqing Ling, 2009. "Estimation in nonstationary random coefficient autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(4), pages 395-416, July.
- Iglesias, Emma M., 2015. "Value at Risk of the main stock market indexes in the European Union (2000–2012)," Journal of Policy Modeling, Elsevier, vol. 37(1), pages 1-13.
- Aknouche, Abdelhakim & Al-Eid, Eid M. & Hmeid, Aboubakry M., 2011. "Offline and online weighted least squares estimation of nonstationary power ARCH processes," Statistics & Probability Letters, Elsevier, vol. 81(10), pages 1535-1540, October.
- Li, Dong & Ling, Shiqing & Zhu, Ke, 2016. "ZD-GARCH model: a new way to study heteroscedasticity," MPRA Paper 68621, University Library of Munich, Germany.
- Guo, Shaojun & Li, Dong & Li, Muyi, 2019. "Strict stationarity testing and GLAD estimation of double autoregressive models," Journal of Econometrics, Elsevier, vol. 211(2), pages 319-337.
- Erie Febrian & Aldrin Herwany, 2010.
"Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets,"
Working Papers in Business, Management and Finance
201005, Department of Management and Business, Padjadjaran University, revised May 2010.
- Erie Febrian & Aldrin Herwany, 2009. "Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets," Working Papers in Economics and Development Studies (WoPEDS) 200911, Department of Economics, Padjadjaran University, revised Sep 2009.
- Stefan Richter & Weining Wang & Wei Biao Wu, 2023. "Testing for parameter change epochs in GARCH time series," The Econometrics Journal, Royal Economic Society, vol. 26(3), pages 467-491.
- Cavaliere, Giuseppe & Lu, Ye & Rahbek, Anders & Stærk-Østergaard, Jacob, 2023.
"Bootstrap inference for Hawkes and general point processes,"
Journal of Econometrics, Elsevier, vol. 235(1), pages 133-165.
- Cavaliere, Giuseppe & Lu,Ye & Rahbek, Anders & Staerk-Ostergaard, J, 2021. "Bootstrap Inference For Hawkes And General Point Processes," Working Papers 2021-05, University of Sydney, School of Economics.
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob Stærk-Østergaard, 2021. "Bootstrap inference for Hawkes and general point processes," Discussion Papers 21-05, University of Copenhagen. Department of Economics.
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob St{ae}rk-{O}stergaard, 2021. "Bootstrap Inference for Hawkes and General Point Processes," Papers 2104.03122, arXiv.org, revised Sep 2021.
- Yubo Tao & Peter C.B. Phillips & Jun Yu, 2017.
"Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour,"
Cowles Foundation Discussion Papers
2114, Cowles Foundation for Research in Economics, Yale University.
- Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2019. "Random coefficient continuous systems: Testing for extreme sample path behavior," Journal of Econometrics, Elsevier, vol. 209(2), pages 208-237.
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Journal of Econometrics, Elsevier, vol. 190(1), pages 18-45.
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"An ARCH model without intercept,"
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2015039, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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Discussion Papers
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"Semiparametric Inference in a GARCH-in-Mean Model,"
CREATES Research Papers
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Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 175-190, March.
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98892, University Library of Munich, Germany.
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"Targeting estimation of CCC-Garch models with infinite fourth moments,"
Discussion Papers
14-04, University of Copenhagen. Department of Economics.
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"Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 33(8), pages 1577-1592, August.
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- Richard T. Baillie & Claudio Morana, 2007. "Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach," ICER Working Papers - Applied Mathematics Series 11-2007, ICER - International Centre for Economic Research.
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Econometric Theory, Cambridge University Press, vol. 29(3), pages 545-566, June.
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"Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates,"
CREATES Research Papers
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Journal of Econometrics, Elsevier, vol. 227(1), pages 241-263.
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"Structural breaks and GARCH models of stock return volatility: The case of South Africa,"
Economic Modelling, Elsevier, vol. 29(6), pages 2435-2443.
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"Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure,"
SSE/EFI Working Paper Series in Economics and Finance
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- Cristina Amado & Timo Teräsvirta, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," NIPE Working Papers 03/2008, NIPE - Universidade do Minho.
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"Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices,"
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- Giuseppe Cavaliere & Thomas Mikosch & Anders Rahbek & Frederik Vilandt, 2023. "Asymptotics for the Generalized Autoregressive Conditional Duration Model," Papers 2307.01779, arXiv.org.
- Lajos Horvath & Lorenzo Trapani & Shixuan Wang, 2024. "Sequential monitoring for explosive volatility regimes," Papers 2404.17885, arXiv.org.
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"Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model,"
CARF F-Series
CARF-F-145, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
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- Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," CIRJE F-Series CIRJE-F-608, CIRJE, Faculty of Economics, University of Tokyo.
- Guo, Shaojun & Li, Dong & Li, Muyi, 2019. "Strict stationarity testing and GLAD estimation of double autoregressive models," Journal of Econometrics, Elsevier, vol. 211(2), pages 319-337.
- Dennis Kristensen & Anders Rahbek, 2007. "Likelihood-Based Inference in Nonlinear Error-Correction Models," CREATES Research Papers 2007-38, Department of Economics and Business Economics, Aarhus University.
- Caiya Zhang & Kaihong Xu & Lianfen Qian, 2020. "Asymptotic properties of the QMLE in a log-linear RealGARCH model with Gaussian errors," Statistical Papers, Springer, vol. 61(6), pages 2313-2330, December.
- Arvanitis, Stelios, 2019. "Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 166-172.
- Abadir, Karim M. & Luati, Alessandra & Paruolo, Paolo, 2023. "GARCH density and functional forecasts," Journal of Econometrics, Elsevier, vol. 235(2), pages 470-483.
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- Mika Meitz & Pentti Saikkonen, 2010. "Parameter estimation in nonlinear AR–GARCH models," Koç University-TUSIAD Economic Research Forum Working Papers 1002, Koc University-TUSIAD Economic Research Forum.
- Mika Meitz & Pentti Saikkonen, 2008. "Parameter estimation in nonlinear AR-GARCH models," Economics Series Working Papers 396, University of Oxford, Department of Economics.
- Mika Meitz & Pentti Saikkonen, 2008. "Parameter estimation in nonlinear AR-GARCH models," CREATES Research Papers 2008-30, Department of Economics and Business Economics, Aarhus University.
- Meitz, Mika & Saikkonen, Pentti, 2011. "Parameter Estimation In Nonlinear Ar–Garch Models," Econometric Theory, Cambridge University Press, vol. 27(6), pages 1236-1278, December.
- Cavaliere, Giuseppe & Lu, Ye & Rahbek, Anders & Stærk-Østergaard, Jacob, 2023.
"Bootstrap inference for Hawkes and general point processes,"
Journal of Econometrics, Elsevier, vol. 235(1), pages 133-165.
- Cavaliere, Giuseppe & Lu,Ye & Rahbek, Anders & Staerk-Ostergaard, J, 2021. "Bootstrap Inference For Hawkes And General Point Processes," Working Papers 2021-05, University of Sydney, School of Economics.
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob Stærk-Østergaard, 2021. "Bootstrap inference for Hawkes and general point processes," Discussion Papers 21-05, University of Copenhagen. Department of Economics.
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob St{ae}rk-{O}stergaard, 2021. "Bootstrap Inference for Hawkes and General Point Processes," Papers 2104.03122, arXiv.org, revised Sep 2021.
- Pedersen, Rasmus Søndergaard, 2017.
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Journal of Econometrics, Elsevier, vol. 196(1), pages 23-36.
- Rasmus Søndergaard Pedersen, 2015. "Inference and testing on the boundary in extended constant conditional correlation GARCH models," Discussion Papers 15-10, University of Copenhagen. Department of Economics.
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- Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger, 2016. "Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models," Tinbergen Institute Discussion Papers 16-082/III, Tinbergen Institute.
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Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 558-571, November.
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- Giuseppe Cavaliere & Indeewara Perera & Anders Rahbek, 2021.
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- Harry-Paul Vander Elst, 2015.
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"Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model,"
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- Adnen Ben Nasr & Ahdi Noomen Ajmi & Rangan Gupta, 2014. "Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model," Applied Financial Economics, Taylor & Francis Journals, vol. 24(14), pages 993-1004, July.
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- Han, Heejoon & Park, Joon Y., 2014. "GARCH with omitted persistent covariate," Economics Letters, Elsevier, vol. 124(2), pages 248-254.
- Luger, Richard, 2012. "Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3198-3211.
- Huaping Chen & Qi Li & Fukang Zhu, 2022. "A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 106(2), pages 243-270, June.
- Harvey, Andrew & Sucarrat, Genaro, 2014.
"EGARCH models with fat tails, skewness and leverage,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 320-338.
- Harvey, A. & Sucarrat, G., 2012. "EGARCH models with fat tails, skewness and leverage," Cambridge Working Papers in Economics 1236, Faculty of Economics, University of Cambridge.
- Abdelhakim Aknouche & Abdelouahab Bibi, 2009. "Quasi‐maximum likelihood estimation of periodic GARCH and periodic ARMA‐GARCH processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 19-46, January.
- Iglesias, Emma M. & Linton, Oliver, 2009. "Estimation of tail thickness parameters from GJR-GARCH models," UC3M Working papers. Economics we094726, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Hill, Jonathan B. & Prokhorov, Artem, 2016.
"GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference,"
Journal of Econometrics, Elsevier, vol. 190(1), pages 18-45.
- Hill, Jonathan B. & Prokhorov, Artem, 2015. "GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference," Working Papers 2015-03, University of Sydney Business School, Discipline of Business Analytics.
- Ha, Jeongcheol & Lee, Taewook, 2011. "NM-QELE for ARMA-GARCH models with non-Gaussian innovations," Statistics & Probability Letters, Elsevier, vol. 81(6), pages 694-703, June.
- Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
- Mario Jovanovic, 2009. "Serbian foreign exchange market during 2004-2008," SEEMHN papers 19, National Bank of Serbia.
- Hafner, Christian M. & Wang, Linqi, 2023. "A dynamic conditional score model for the log correlation matrix," Journal of Econometrics, Elsevier, vol. 237(2).
- Harvey, Andrew & Hurn, Stan & Palumbo, Dario & Thiele, Stephen, 2024. "Modelling circular time series," Journal of Econometrics, Elsevier, vol. 239(1).
- Wang, Hui & Pan, Jiazhu, 2014. "Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 117-123.
- Andrew Harvey & Alessandra Luati, 2014.
"Filtering With Heavy Tails,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(507), pages 1112-1122, September.
- Harvey, A. & Luati, A., 2012. "Filtering with heavy tails," Cambridge Working Papers in Economics 1255, Faculty of Economics, University of Cambridge.
- Anders Tolver Jensen & Theis Lange, 2009. "On IGARCH and convergence of the QMLE for misspecified GARCH models," CREATES Research Papers 2009-06, Department of Economics and Business Economics, Aarhus University.
- Arvanitis, Stelios & Louka, Alexandros, 2017. "Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model," Economics Letters, Elsevier, vol. 161(C), pages 135-137.
- Taewook Lee & Sangyeol Lee, 2009. "Normal Mixture Quasi‐maximum Likelihood Estimator for GARCH Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(1), pages 157-170, March.
- Astrid Ayala & Szabolcs Blazsek, 2018. "Equity market neutral hedge funds and the stock market: an application of score-driven copula models," Applied Economics, Taylor & Francis Journals, vol. 50(37), pages 4005-4023, August.
- Li, Dong & Zhang, Xingfa & Zhu, Ke & Ling, Shiqing, 2018. "The ZD-GARCH model: A new way to study heteroscedasticity," Journal of Econometrics, Elsevier, vol. 202(1), pages 1-17.
- Dag Tjøstheim, 2012. "Some recent theory for autoregressive count time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(3), pages 413-438, September.
- Aknouche Abdelhakim, 2013. "Two-Stage Weighted Least Squares Estimation of Nonstationary Random Coefficient Autoregressions," Journal of Time Series Econometrics, De Gruyter, vol. 5(1), pages 25-46, January.
- Li, Dong & Li, Muyi & Wu, Wuqing, 2014. "On dynamics of volatilities in nonstationary GARCH models," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 86-90.
- Jensen Anders Tolver & Lange Theis, 2010. "On Convergence of the QMLE for Misspecified GARCH Models," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-31, June.
- Hong, Yongmiao & Linton, Oliver & McCabe, Brendan & Sun, Jiajing, 2022. "A score statistic for testing the presence of a stochastic trend in conditional variances," Economics Letters, Elsevier, vol. 213(C).
- Enzo D'Innocenzo & Andre Lucas & Bernd Schwaab & Xin Zhang, 2024. "Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter," Tinbergen Institute Discussion Papers 24-069/III, Tinbergen Institute.
- Ryoko Ito, 2016. "Asymptotic Theory for Beta-t-GARCH," Cambridge Working Papers in Economics 1607, Faculty of Economics, University of Cambridge.
- Peter Reinhard Hansen & Zhuo (Albert) Huang & Howard Howan Shek, "undated". "Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility," CREATES Research Papers 2010-13, Department of Economics and Business Economics, Aarhus University.
- Adnen Ben Nasr & Mohamed Boutahar & Abdelwahed Trabelsi, 2010. "Fractionally integrated time varying GARCH model," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(3), pages 399-430, August.
- Rivera-Alonso, David & Iglesias, Emma M., 2024. "Is the Chinese crude oil spot price a good hedging tool for other crude oil prices, and in special for the main Russian oil benchmarks and during international sanctions?," Resources Policy, Elsevier, vol. 90(C).
- Anders Rahbek & Heino Bohn Nielsen, 2012.
"Unit Root Vector Autoregression with volatility Induced Stationarity,"
CREATES Research Papers
2012-29, Department of Economics and Business Economics, Aarhus University.
- Anders Rahbek & Heino Bohn Nielsen, 2012. "Unit root vector autoregression with volatility induced stationarity," Discussion Papers 12-02, University of Copenhagen. Department of Economics.
- Nielsen, Heino Bohn & Rahbek, Anders, 2014. "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
- Han, Heejoon & Park, Joon Y., 2012. "ARCH/GARCH with persistent covariate: Asymptotic theory of MLE," Journal of Econometrics, Elsevier, vol. 167(1), pages 95-112.
- Julien Chevallier & Bilel Sanhaji, 2023.
"Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices,"
Post-Print
halshs-04344131, HAL.
- Julien Chevallier & Bilel Sanhaji, 2023. "Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices," Stats, MDPI, vol. 6(4), pages 1-32, December.
- Andreas Hetland, 2018. "The Stochastic Stationary Root Model," Econometrics, MDPI, vol. 6(3), pages 1-33, August.
- Bibi, Abdelouahab & Ghezal, Ahmed, 2017. "Asymptotic properties of QMLE for periodic asymmetric strong and semi-strong GARCH models," MPRA Paper 81126, University Library of Munich, Germany.
- Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2016. "Nonstationary GARCH with t-distributed innovations," Economics Letters, Elsevier, vol. 138(C), pages 19-21.
- Yan Cui & Fukang Zhu, 2018. "A new bivariate integer-valued GARCH model allowing for negative cross-correlation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(2), pages 428-452, June.
- Harvey, A. & Hurn, S. & Thiele, S., 2019. "Modeling directional (circular) time series," Cambridge Working Papers in Economics 1971, Faculty of Economics, University of Cambridge.
- Hu Liang & Shin Yongcheol, 2008. "Optimal Test for Markov Switching GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-27, September.
- Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2008.
"Poisson Autoregression,"
Discussion Papers
08-35, University of Copenhagen. Department of Economics, revised Dec 2008.
- Henrik Hansen & Anders Rahbek, 2002.
"Approximate Conditional Unit Root Inference,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 23(1), pages 1-28, January.
Cited by:
- Ciner, Cetin, 2006. "A further look at linkages between NAFTA equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(3), pages 338-352, July.
- Mathieu Kessler & Anders Rahbek, 2001.
"Asymptotic Likelihood Based Inference for Co‐integrated Homogenous Gaussian Diffusions,"
Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 28(3), pages 455-470, September.
Cited by:
- Gustavo Fruet Dias & Marcelo Fernandes & Cristina M. Scherrer, 2016. "Component shares in continuous time," CREATES Research Papers 2016-25, Department of Economics and Business Economics, Aarhus University.
- Dias, Gustavo Fruet & Fernandes, Marcelo & Scherrer, Cristina Mabel, 2017. "Improving on daily measures of price discovery," Textos para discussão 444, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Felix Pretis, 2015. "Econometric Models of Climate Systems: The Equivalence of Two-Component Energy Balance Models and Cointegrated VARs," Economics Series Working Papers 750, University of Oxford, Department of Economics.
- Chambers, M.J. & McCrorie, J.R., 2004.
"Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems,"
Other publications TiSEM
0d3ed468-36ef-4baf-8339-8, Tilburg University, School of Economics and Management.
- Chambers, M.J. & McCrorie, J.R., 2004. "Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems," Discussion Paper 2004-40, Tilburg University, Center for Economic Research.
- Gustavo Fruet Dias & Karsten Schweiker, 2024. "Integrated Variance Estimation for Assets Traded in Multiple Venues," University of East Anglia School of Economics Working Paper Series 2024-04, School of Economics, University of East Anglia, Norwich, UK..
- Pretis, Felix, 2020. "Econometric modelling of climate systems: The equivalence of energy balance models and cointegrated vector autoregressions," Journal of Econometrics, Elsevier, vol. 214(1), pages 256-273.
- Kuck, Konstantin & Schweikert, Karsten, 2023. "Price discovery in equity markets: A state-dependent analysis of spot and futures markets," Journal of Banking & Finance, Elsevier, vol. 149(C).
- Bahman Angoshtari, 2016. "On the Market-Neutrality of Optimal Pairs-Trading Strategies," Papers 1608.08268, arXiv.org.
- M. Kessler & A. Rahbek, 2004. "Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions," Statistical Inference for Stochastic Processes, Springer, vol. 7(2), pages 137-151, May.
- Bent Nielsen & Anders Rahbek, 2000.
"Similarity Issues in Cointegration Analysis,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(1), pages 5-22, February.
Cited by:
- J James Reade & Ulrich Volz, 2010.
"Too Much to Lose, or More to Gain? Should Sweden Join the Euro?,"
Discussion Papers
10-13, Department of Economics, University of Birmingham.
- J. James Reade & Ulrich Volz, 2009. "Too Much to Lose, or More to Gain? Should Sweden Join the Euro?," Economics Series Working Papers 442, University of Oxford, Department of Economics.
- Marta Gómez-Puig & Simón Sosvilla-Rivero, 2011.
"Causality and contagion in peripheral EMU public debt markets: a dynamic approach,"
Working Papers del Instituto Complutense de Estudios Internacionales
1108, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
- Marta Gómez-Puig & Simón Sosvilla-Rivero, 2011. "Causality and contagion in peripheral EMU public debt markets: a dynamic approach," IREA Working Papers 201116, University of Barcelona, Research Institute of Applied Economics, revised Sep 2011.
- Marta Gómez-Puig & Simón Sosvilla-Rivero, 2011. "Causality and contagion in peripheral EMU public debt markets: A dynamic approach," Working Papers 11-06, Asociación Española de Economía y Finanzas Internacionales.
- Matei Demetrescu & Helmut Lütkepohl & Pentti Saikkonen, 2009.
"Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term,"
Econometrics Journal, Royal Economic Society, vol. 12(3), pages 414-435, November.
- Matei Demetrescu & Helmut Luetkepohl & Pentti Saikkonen, 2008. "Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term," Economics Working Papers ECO2008/24, European University Institute.
- Andreas Beyer & Katarina Juselius, 2008. "Does it Matter How to Measure Aggregates? The Case of Monetary Transmission Mechanisms in the Euro Area," Discussion Papers 08-07, University of Copenhagen. Department of Economics.
- M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
- K. D. Patterson, 2002. "Modelling the data measurement process for the index of production," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 165(2), pages 279-296, June.
- Hjelm, Goran & Johansson, Martin W., 2005. "A Monte Carlo study on the pitfalls in determining deterministic components in cointegrating models," Journal of Macroeconomics, Elsevier, vol. 27(4), pages 691-703, December.
- Guiseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2010.
"Bootstrap Sequential Determination of the Co-integration Rank in VAR Models,"
CREATES Research Papers
2010-07, Department of Economics and Business Economics, Aarhus University.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2010. "Bootstrap Sequential Determination of the Co-integration Rank in VAR Models," Discussion Papers 10-07, University of Copenhagen. Department of Economics.
- Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000.
"Cointegration analysis in the presence of structural breaks in the deterministic trend,"
Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249.
- Bent Nielsen, 2000. "Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend," Econometric Society World Congress 2000 Contributed Papers 1494, Econometric Society.
- Hildegart Ahumada y Magdalena Cornejo, 2015.
"Long-run effects of commodity prices on the real exchange rate: evidence from Argentina,"
Económica, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 61, pages 3-33, January-D.
- Hildegart Ahumada & Magdalena Cornejo, 2015. "Long-run effects of commodity prices on the real exchange rate: evidence from Argentina," Económica, Instituto de Investigaciones Económicas, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 61, pages 3-33, January-D.
- Carlomagno, Guillermo, 2014. "The pairwise approach to model a large set of disaggregates with common trends," DES - Working Papers. Statistics and Econometrics. WS ws141309, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Søren Johansen & Morten Ørregaard Nielsen, 2016.
"The cointegrated vector autoregressive model with general deterministic terms,"
Discussion Papers
16-07, University of Copenhagen. Department of Economics.
- Johansen, Søren & Nielsen, Morten Ørregaard, 2018. "The cointegrated vector autoregressive model with general deterministic terms," Journal of Econometrics, Elsevier, vol. 202(2), pages 214-229.
- Morten Ø. Nielsen & S Johansen, 2016. "The Cointegrated Vector Autoregressive Model With General Deterministic Terms," Working Paper 1363, Economics Department, Queen's University.
- Søren Johansen & Morten Ørregaard Nielsen, 2016. "The cointegrated vector autoregressive model with general deterministic terms," CREATES Research Papers 2016-22, Department of Economics and Business Economics, Aarhus University.
- Omtzigt Pieter, 2002. "Automatic identification and restriction of the cointegration space," Economics and Quantitative Methods qf0213, Department of Economics, University of Insubria.
- Roman Frydman & Michael D. Goldberg & Søren Johansen & Katarina Juselius, 2009.
"A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings,"
CREATES Research Papers
2009-01, Department of Economics and Business Economics, Aarhus University.
- Roman Frydman & Michael D. Goldberg & Søren Johansen & Katarina Juselius, 2008. "A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings," Discussion Papers 08-31, University of Copenhagen. Department of Economics.
- Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014.
"“Causality and Contagion in EMU Sovereign Debt Markets”,"
IREA Working Papers
201403, University of Barcelona, Research Institute of Applied Economics, revised Feb 2014.
- Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2014. "Causality and contagion in EMU sovereign debt markets," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 12-27.
- Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "Causality and Contagion in EMU Sovereign Debt Markets," Working Papers 14-03, Asociación Española de Economía y Finanzas Internacionales.
- Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "Causality and contagion in EMU sovereign debt markets," Working Papers 2014-03, Universitat de Barcelona, UB Riskcenter.
- Elena Marquez de la Cruz & Ana Martinez-Canete & Ines Perez-Soba Aguilar, 2007. "Intertemporal preference parameters for some European monetary union countries," Applied Economics, Taylor & Francis Journals, vol. 39(8), pages 997-1011.
- Emerson Fernandes Marçal & Priscila Fernandes Ribeiro, 2011. "Levado pelos Fundamentos? Estimando o Desalinhamento Cambial Norte-Americano a partir de Técnicas de Cointegração," Discussion Papers 1674, Instituto de Pesquisa Econômica Aplicada - IPEA.
- Neil R. Ericsson & James G. MacKinnon, 1999.
"Distributions of error correction tests for cointegration,"
International Finance Discussion Papers
655, Board of Governors of the Federal Reserve System (U.S.).
- Neil R. Ericsson & James G. MacKinnon, 2002. "Distributions of error correction tests for cointegration," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 285-318, June.
- Neil R. Ericsson & James G. MacKinnon, 2000. "Distributions of Error Correction Tests for Cointegration," Econometric Society World Congress 2000 Contributed Papers 0561, Econometric Society.
- Guillermo Carlomagno & Antoni Espasa, 2021. "Discovering Specific Common Trends in a Large Set of Disaggregates: Statistical Procedures, their Properties and an Empirical Application," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 641-662, June.
- Carlomagno, Guillermo, 2015. "Forecasting a large set of disaggregates with common trends and outliers," DES - Working Papers. Statistics and Econometrics. WS ws1518, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Hildegart Ahumada & Magdalena Cornejo, 2021.
"The Effect of Amazon Deforestationon Global Climate Variables,"
Working Papers
94, Red Nacional de Investigadores en Economía (RedNIE).
- Hildegart Ahumada & Magdalena Cornejo, 2020. "The effect of Amazon deforestation on global climate variables," Asociación Argentina de Economía Política: Working Papers 4332, Asociación Argentina de Economía Política.
- Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek, 2015.
"Recent developments in bootstrap methods for dependent data,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 269-271, May.
- Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 272-289, May.
- Kurita, Takamitsu, 2020. "Likelihood-based tests for parameter constancy in I(2) CVAR models with an application to fixed-term deposit data," Journal of Multivariate Analysis, Elsevier, vol. 178(C).
- Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2013. "Granger-causality in peripheral EMU public debt markets: A dynamic approach," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4627-4649.
- Heino Nielsen & Christopher Bowdler, 2006.
"Inflation adjustment in the open economy: an I(2) analysis of UK prices,"
Empirical Economics, Springer, vol. 31(3), pages 569-586, September.
- Heino Bohn Nielsen & Christopher Bowdler, 2003. "Inflation Adjustment in the Open Economy: An I(2) Analysis of UK Prices," Economics Papers 2003-W05, Economics Group, Nuffield College, University of Oxford.
- Philip Hans Franses, 2001.
"How to deal with intercept and trend in practical cointegration analysis?,"
Applied Economics, Taylor & Francis Journals, vol. 33(5), pages 577-579.
- Franses, Ph.H.B.F., 1999. "How to deal with intercept and trend in pratical cointegration analysis?," Econometric Institute Research Papers EI 9904-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Søren Johansen & Katarina Juselius & Roman Frydman & Michael Goldberg, 2007.
"Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate,"
Discussion Papers
07-34, University of Copenhagen. Department of Economics.
- Søren Johansen & Katarina Juselius & Roman Frydberg & Michael Goldberg, 2008. "Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate," CREATES Research Papers 2008-03, Department of Economics and Business Economics, Aarhus University.
- Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014.
"“EMU sovereign debt market crisis: Fundamentals-based or pure contagion?”,"
IREA Working Papers
201402, University of Barcelona, Research Institute of Applied Economics, revised May 2014.
- Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "EMU sovereign debt market crisis: Fundamentals-based or pure contagion?," Working Papers 14-08, Asociación Española de Economía y Finanzas Internacionales.
- Reade, J. James & Volz, Ulrich, 2011.
"Leader of the pack? German monetary dominance in Europe prior to EMU,"
Economic Modelling, Elsevier, vol. 28(1), pages 239-250.
- J. James ReadeUlrich Volz, 2009. "Leader of the Pack? German Monetary Dominance in Europe Prior to EMU," Economics Series Working Papers 419, University of Oxford, Department of Economics.
- Reade, J. James & Volz, Ulrich, 2011. "Leader of the pack? German monetary dominance in Europe prior to EMU," Economic Modelling, Elsevier, vol. 28(1-2), pages 239-250, January.
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2009.
"Co-integration Rank Testing under Conditional Heteroskedasticity,"
CREATES Research Papers
2009-22, Department of Economics and Business Economics, Aarhus University.
- Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Cointegration Rank Testing Under Conditional Heteroskedasticity," Econometric Theory, Cambridge University Press, vol. 26(6), pages 1719-1760, December.
- Takamitsu Kurita & Mototsugu Shintani, 2023. "Johansen Test with Fourier-Type Smooth Nonlinear Trends in Cointegrating Relations," CIRJE F-Series CIRJE-F-1216, CIRJE, Faculty of Economics, University of Tokyo.
- Møller, Niels Framroze, 2015. "Energy Demand, Substitution and a Potential for Electrification: An econometric analysis of eight Danish subsectors," MPRA Paper 69931, University Library of Munich, Germany.
- Bent Nielsen, 2003.
"Power of tests for unit roots in the presence of a linear trend,"
Economics Papers
2003-W22, Economics Group, Nuffield College, University of Oxford.
- Bent Nielsen, 2008. "Power of Tests for Unit Roots in the Presence of a Linear Trend," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 619-644, October.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2009. "Co-integration rank tests under conditional heteroskedasticity," Discussion Papers 09/02, University of Nottingham, Granger Centre for Time Series Econometrics.
- Domenico Sartore & Lucia Trevisan & Michele Trova & Francesca Volo, 2002. "US dollar/Euro exchange rate: a monthly econometric model for forecasting," The European Journal of Finance, Taylor & Francis Journals, vol. 8(4), pages 480-501.
- Møller, Niels Framroze, 2017. "Energy demand, substitution and environmental taxation: An econometric analysis of eight subsectors of the Danish economy," Energy Economics, Elsevier, vol. 61(C), pages 97-109.
- Hjelm, Göran & Johansson, Martin W, 2002. "A Monte Carlo Study on the Pitfalls in Determining Deterministic Components in Cointegrating Models," Working Papers 2002:3, Lund University, Department of Economics.
- M. Kessler & A. Rahbek, 2004. "Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions," Statistical Inference for Stochastic Processes, Springer, vol. 7(2), pages 137-151, May.
- J James Reade & Ulrich Volz, 2010.
"Too Much to Lose, or More to Gain? Should Sweden Join the Euro?,"
Discussion Papers
10-13, Department of Economics, University of Birmingham.
- Paruolo, Paolo & Rahbek, Anders, 1999.
"Weak exogeneity in I(2) VAR systems,"
Journal of Econometrics, Elsevier, vol. 93(2), pages 281-308, December.
Cited by:
- Stillwagon, Josh R., 2015.
"Testing the expectations hypothesis with survey forecasts: The impacts of consumer sentiment and the zero lower bound in an I(2) CVAR,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 85-101.
- Josh Stillwagon, 2014. "Testing the Expectations Hypothesis with Survey Forecasts: The Impacts of Consumer Sentiment and the Zero Lower Bound in an I(2) CVAR," Working Papers 1401, Trinity College, Department of Economics.
- Jurgen A. Doornik, 2017. "Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions," Econometrics, MDPI, vol. 5(2), pages 1, May.
- Paruolo Paolo, 2004.
"Common trends and cycles in I(2) VAR systems,"
Economics and Quantitative Methods
qf0217tris, Department of Economics, University of Insubria.
- Paruolo Paolo, 2003. "Common trends and cycles in I(2) VAR systems," Economics and Quantitative Methods qf0217bis, Department of Economics, University of Insubria.
- Paruolo, Paolo, 2006. "Common trends and cycles in I(2) VAR systems," Journal of Econometrics, Elsevier, vol. 132(1), pages 143-168, May.
- Katarina Juselius, 2021.
"Searching for a Theory That Fits the Data: A Personal Research Odyssey,"
Econometrics, MDPI, vol. 9(1), pages 1-27, February.
- Katarina Juselius, 2018. "Searching for a theory that fits the data: A personal research odyssey," Discussion Papers 18-07, University of Copenhagen. Department of Economics.
- Jurgen A. Doornik & Rocco Mosconi & Paolo Paruolo, 2017. "Formula I(1) and I(2): Race Tracks for Likelihood Maximization Algorithms of I(1) and I(2) Cointegrated VAR Models," Econometrics, MDPI, vol. 5(4), pages 1, November.
- Fabrizio Coricelli & Boštjan Jazbec & Igor Masten, 2004.
"L'influence du régime de change sur l'inflation dans les pays adhérents,"
Economie & Prévision, La Documentation Française, vol. 163(2), pages 51-61.
- Fabrizio Coricelli & Bostjan Jazbec & Igor Masten, 2004. "Linfluence du régime de change sur linflation dans les pays adhérents," Économie et Prévision, Programme National Persée, vol. 163(2), pages 51-61.
- Ekaterina VOSTROKNUTOVA, 2003.
"Polish Stabilization: What Can We Learn From the I (2) Cointegration Analysis,"
Economics Working Papers
ECO2003/06, European University Institute.
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