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Content
2024, Volume 16, Issue 2
- 67-81 Recurrent Neural Network GO-GARCH Model for Portfolio Selection
by Burda Martin & Schroeder Adrian K. - 83-108 Forecasting the Risk of Cryptocurrencies: Comparison and Combination of GARCH and Stochastic Volatility Models
by Prüser Jan
2024, Volume 16, Issue 1
July 2023, Volume 15, Issue 2
- 111-149 In-Fill Asymptotic Distribution of the Change Point Estimator when Estimating Breaks One at a Time
by Tayanagi Toshikazu & Kurozumi Eiji - 151-198 Temporally Local Maximum Likelihood with Application to SIS Model
by Gourieroux Christian & Jasiak Joann
January 2023, Volume 15, Issue 1
- 1-26 Improving the Estimation and Predictions of Small Time Series Models
by Liu-Evans Gareth - 27-48 Forecasting Inflation in Mongolia: A Dynamic Model Averaging Approach
by Doojav Gan-Ochir & Luvsannyam Davaajargal - 49-77 Realized BEKK-CAW Models
by Asai Manabu & So Mike K. P. - 79-110 Simple Factor Realized Stochastic Volatility Models
by Kawakatsu Hiroyuki
July 2022, Volume 14, Issue 2
- 107-140 Goodness-of-Fit Tests for SPARMA Models with Dependent Error Terms
by Boubacar Maïnassara Yacouba & Ilmi Amir Abdoulkarim - 141-174 Estimating SPARMA Models with Dependent Error Terms
by Boubacar Maïnassara Yacouba & Ilmi Amir Abdoulkarim - 175-198 Multivariate Hyper-Rotated GARCH-BEKK
by Asai Manabu & McAleer Michael - 199-225 Estimating Impulse-Response Functions for Macroeconomic Models using Directional Quantiles
by Montes-Rojas Gabriel
January 2022, Volume 14, Issue 1
- 1-24 A Robust Test for Monotonicity in Asset Returns
by Taufemback Cleiton G. & Troster Victor & Shahbaz Muhammad - 25-50 On a Different way of Understanding the Edge-Effect for the Inference of ARMA-type Processes (in Z d ${\mathbb{Z}}^{d}$ )
by Dimitriou-Fakalou Chrysoula - 51-85 Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors
by Canepa Alessandra - 87-106 The Export of Commodities and the Validity of the Export-Led Growth (ELG) Hypothesis for the Brazilian Economy: An Analysis of the Commodity Boom Period
by Fagundes Carrara Aniela & Luiz Pesquero Tiago
July 2021, Volume 13, Issue 2
- 119-144 A General Frequency Domain Estimation Method for Gegenbauer Processes
by Hunt Richard & Peiris Shelton & Weber Neville - 145-186 Estimation of Continuous and Discrete Time Co-integrated Systems with Stock and Flow Variables
by González Olivares Daniel & Guizar Isai - 187-233 Variable Selection in Regression Models Using Global Sensitivity Analysis
by Becker William & Paruolo Paolo & Saltelli Andrea - 235-264 Seasonal Adjustment of Daily Time Series
by Ollech Daniel
January 2021, Volume 13, Issue 1
- 1-19 The Behavior of Divorce Rates: A Smooth Transition Regression Approach
by Korhonen Marko & Puhakka Mikko - 21-42 Consumption, Aggregate Wealth and Expected Stock Returns: An FCVAR Approach
by Quineche Ricardo - 43-71 Exchange Rate Forecasting Using Ensemble Modeling for Better Policy Implications
by Tripathi Manas & Kumar Saurabh & Inani Sarveshwar Kumar - 73-117 Modeling House Price Synchronization across the U.S. States and their Time-Varying Macroeconomic Linkages
by Marfatia Hardik A.
July 2020, Volume 12, Issue 2
- 1-22 Bayesian Estimation of the Functional Spatial Lag Model
by Aw Alassane & Cabral Emmanuel Nicolas - 1-22 Bayesian Estimation of the Functional Spatial Lag Model
by Aw Alassane & Cabral Emmanuel Nicolas - 1-27 INAR(1) Processes with Inflated-parameter Generalized Power Series Innovations
by Lívio Tito & Bourguignon Marcelo & Nascimento Fernando - 1-36 Time-varying NoVaS Versus GARCH: Point Prediction, Volatility Estimation and Prediction Intervals
by Chen Jie & Politis Dimitris N. - 1-36 Time-varying NoVaS Versus GARCH: Point Prediction, Volatility Estimation and Prediction Intervals
by Chen Jie & Politis Dimitris N. - 1-41 A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior
by Ankargren Sebastian & Unosson Måns & Yang Yukai - 1-41 A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior
by Ankargren Sebastian & Unosson Måns & Yang Yukai
January 2020, Volume 12, Issue 1
- 1-15 Checking Model Adequacy for Count Time Series by Using Pearson Residuals
by Weiß Christian & Scherer Lukas & Aleksandrov Boris & Feld Martin - 1-15 Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts
by De Gooijer Jan G. & Zerom Dawit - 1-15 Checking Model Adequacy for Count Time Series by Using Pearson Residuals
by Weiß Christian & Scherer Lukas & Aleksandrov Boris & Feld Martin - 1-15 Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts
by De Gooijer Jan G. & Zerom Dawit - 1-18 Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates
by Asai Manabu & Peiris Shelton & McAleer Michael & Allen David E. - 1-18 Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates
by Asai Manabu & Peiris Shelton & McAleer Michael & Allen David E. - 1-39 A Comparison of Hurst Exponent Estimators in Long-range Dependent Curve Time Series
by Shang Han Lin - 1-39 A Comparison of Hurst Exponent Estimators in Long-range Dependent Curve Time Series
by Shang Han Lin
July 2019, Volume 11, Issue 2
- 1-9 Political Business Cycles in Australia Elections and Party Ideology
by Kolios Bill - 1-16 Forecasting Volatility Returns of Oil Price Using Gene Expression Programming Approach
by Amo Baffour Alexander & Feng Jingchun & Fan Liwei & Buanya Beryl Adormaa - 1-31 Risk Analysis of Cumulative Intraday Return Curves
by Kokoszka Piotr & Miao Hong & Stoev Stilian & Zheng Ben - 1-34 Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR)
by Tófoli Paula V. & Ziegelmann Flávio A. & Candido Osvaldo & Valls Pereira Pedro L.
January 2019, Volume 11, Issue 1
- 1-18 A Neural Network Method for Nonlinear Time Series Analysis
by Lee Jinu - 1-19 Modelling with Dispersed Bivariate Moving Average Processes
by Sunecher Yuvraj & Mamode Khan Naushad & Jowaheer Vandna - 1-20 Finite-Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model
by Demos Antonis & Kyriakopoulou Dimitra - 1-72 Local Lagged Adapted Generalized Method of Moments: An Innovative Estimation and Forecasting Approach and its Applications
by Otunuga Olusegun M. & Ladde Gangaram S. & Ladde Nathan G.
July 2018, Volume 10, Issue 2
- 1-8 A Flexible Observation-Driven Stationary Bivariate Negative Binomial INAR(1) with Non-homogeneous Levels of Over-dispersion
by Mamode Khan Naushad & Sunecher Yuvraj & Jowaheer Vandna - 1-9 Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation
by Ardia David & Bluteau Keven & Hoogerheide Lennart F. - 1-22 What Proportion of Time is a Particular Market Inefficient? … A Method for Analysing the Frequency of Market Efficiency when Equity Prices Follow Threshold Autoregressions
by Ahmed Muhammad Farid & Satchell Stephen - 1-22 Sequential Testing with Uniformly Distributed Size
by Anatolyev Stanislav & Kosenok Grigory
January 2018, Volume 10, Issue 1
- 1-15 On Trend Breaks and Initial Condition in Unit Root Testing
by Skrobotov Anton - 1-17 The Chow-Lin method extended to dynamic models with autocorrelated residuals
by Poissonnier Aurélien - 1-20 A Generalized ARFIMA Model with Smooth Transition Fractional Integration Parameter
by Boubaker Heni - 1-29 Volatility Modeling with Leverage Effect under Laplace Errors
by Jiang Zhengjun & Xia Weixuan
July 2017, Volume 9, Issue 2
- 1-12 Analyzing the Full BINMA Time Series Process Using a Robust GQL Approach
by Khan Naushad Mamode & Sunecher Yuvraj & Jowaheer Vandna - 1-22 Testing for Nonlinearity in Conditional Covariances
by Sanhaji Bilel - 1-30 Do They Still Matter? – Impact of Fossil Fuels on Electricity Prices in the Light of Increased Renewable Generation
by Lips Johannes - 1-48 Tail Behavior and Dependence Structure in the APARCH Model
by Javed Farrukh & Podgórski Krzysztof
January 2017, Volume 9, Issue 1
- 1-8 Testing for a Change in Mean under Fractional Integration
by Iacone Fabrizio & Leybourne Stephen J. & Robert Taylor A.M. - 1-23 The Impact of the Initial Condition on Covariate Augmented Unit Root Tests
by Aristidou Chrystalleni & Harvey David I. & Leybourne Stephen J. - 1-37 Signal Extraction for Nonstationary Time Series with Diverse Sampling Rules
by Trimbur Thomas & McElroy Tucker - 1-41 Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors
by Symeonides Spyridon D. & Karavias Yiannis & Tzavalis Elias
July 2016, Volume 8, Issue 2
- 91-113 On the Univariate Representation of BEKK Models with Common Factors
by Hecq Alain & Laurent Sébastien & Palm Franz C. - 115-153 Semiparametric Stationarity and Fractional Unit Roots Tests Based on Data-Driven Multidimensional Increment Ratio Statistics
by Bardet Jean-Marc & Dola Béchir - 155-192 Optimal Real-Time Filters for Linear Prediction Problems
by Wildi Marc & McElroy Tucker - 193-249 International Mobility of Capital in the United States: Robust Evidence from Time-Series Tests
by Singh Tarlok
January 2016, Volume 8, Issue 1
- 1-19 Fixed and Recursive Right-Tailed Dickey–Fuller Tests in the Presence of a Break under the Null
by Sollis Robert - 21-39 A Note on the QMLE Limit Theory in the Non-stationary ARCH(1) Model
by Arvanitis Stelios & Louka Alexandros - 41-54 An Improved Selection Test between Autoregressive and Moving Average Disturbances in Regression Models
by Nguimkeu Pierre - 55-90 Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox
by Nonejad Nima
July 2015, Volume 7, Issue 2
- 115-141 A Test of the Long Memory Hypothesis Based on Self-Similarity
by Davidson James & Rambaccussing Dooruj - 143-179 Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests
by Born Benjamin & Demetrescu Matei - 181-216 Forecasting Volatility and the Risk–Return Tradeoff: An Application on the Fama–French Benchmark Market Return
by Vafiadis Nikolaos - 217-234 How Close Is a Fractional Process to a Random Walk with Drift?
by Larsson Rolf
January 2015, Volume 7, Issue 1
- 1-35 Testing for Multiple Structural Changes with Non-Homogeneous Regressors
by Kurozumi Eiji - 37-67 Tapered Block Bootstrap for Unit Root Testing
by Parker Cameron C. & Paparoditis Efstathios & Politis Dimitris - 69-94 Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes
by Asai Manabu & So Mike K.P. - 95-113 Constrained Hamiltonian Monte Carlo in BEKK GARCH with Targeting
by Burda Martin
July 2014, Volume 6, Issue 2
- 103-128 Modeling Style Rotation: Switching and Re-switching
by Golosov Edward & Satchell Stephen - 129-181 Asymptotically Unbiased Estimation of Autocovariances and Autocorrelations with Panel Data in the Presence of Individual and Time Effects
by Okui Ryo - 183-235 Valid Locally Uniform Edgeworth Expansions for a Class of Weakly Dependent Processes or Sequences of Smooth Transformations
by Arvanitis Stelios & Demos Antonis - 237-273 Optimal Signal Extraction with Correlated Components
by McElroy Tucker S. & Maravall Agustin
September 2013, Volume 6, Issue 1
- 81-102 Cycles, Syllogisms and Semantics: Examining the Idea of Spurious Cycles
by Pollock D. S. G.
July 2013, Volume 6, Issue 1
- 1-31 Bootstrap Point Optimal Unit Root Tests
by Wang Liqiong - 63-80 Estimation Bias and Feasible Conditional Forecasts from the First-Order Moving Average Model
by Bao Yong & Zhang Ru
December 2013, Volume 6, Issue 1
- 33-61 Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion
by Skrobotov Anton
May 2013, Volume 5, Issue 2
- 117-131 On Identifying Structural VAR Models via ARCH Effects
by Milunovich George & Yang Minxian - 193-229 A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models
by Laurini Márcio Poletti
July 2013, Volume 5, Issue 2
- 87-116 Monitoring the Intraday Volatility Pattern
by Gabrys Robertas & Hörmann Siegfried & Kokoszka Piotr
April 2013, Volume 5, Issue 2
- 133-162 Asymptotic Theory for Regressions with Smoothly Changing Parameters
by Hillebrand Eric & Medeiros Marcelo C. & Xu Junyue - 163-192 A Covariate Residual-Based Cointegration Test Applied to the CDS-Bond Basis
by Game Aaron & Wu Jason
January 2013, Volume 5, Issue 1
- 1-24 Real-Time Monitoring Test for Realized Volatility
by Shin-Huei Wang Cindy & Hsiao Cheng - 25-46 Two-Stage Weighted Least Squares Estimation of Nonstationary Random Coefficient Autoregressions
by Aknouche Abdelhakim - 47-60 Asymptotic Behavior of Temporal Aggregates in the Frequency Domain
by Hassler Uwe & Tsai Henghsiu - 61-68 Testing for Neglected Nonlinearity Using Artificial Neural Networks with Many Randomized Hidden Unit Activations
by Lee Tae-Hwy & Xi Zhou & Zhang Ru
November 2012, Volume 4, Issue 2
- 1-7 The Square Root of a Matrix
by Abadir Karim M. - 1-26 On the Exact Discretization of a Continuous Time AR(1) Model driven by either Long Memory or Antipersistent Innovations: A Fractional Algebra Approach
by Simos Theodore - 1-35 Bootstrap, Jackknife and COLS: Bias and Mean Squared Error in Estimation of Autoregressive Models
by Liu-Evans Gareth D. & Phillips Garry D. A. - 1-35 Testing for Structural Change in Heterogeneous Panels with an Application to the Euro's Trade Effect
by Pauwels Laurent L. & Chan Felix & Mancini Griffoli Tommaso - 1-68 Testing for Cointegration in the Presence of Moving Average Errors
by Mallory Mindy & Lence Sergio H.
May 2012, Volume 4, Issue 1
- 1-11 Biases of Correlograms and of AR Representations of Stationary Series
by Abadir Karim M. & Larsson Rolf - 1-30 Regression with Autocorrelated Errors Using Design-Adapted Haar Wavelets
by Porto Rogério F. & Morettin Pedro A. & Aubin Elisete C. Q. - 1-32 First Stage Estimation of Fractional Cointegration
by Hualde Javier & Iacone Fabrizio - 1-35 Markov Breaks in Regression Models
by Smith Aaron
October 2011, Volume 3, Issue 3
- 1-31 Wavelet Estimation of Copulas for Time Series
by Morettin Pedro A. & Toloi Clelia M.C. & Chiann Chang & de Miranda José C.S. - 1-32 Noncausal Autoregressions for Economic Time Series
by Lanne Markku & Saikkonen Pentti - 1-32 Forecasting with Universal Approximators and a Learning Algorithm
by Kock Anders Bredahl - 1-34 On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance
by Perron Pierre & Ren Linxia
April 2011, Volume 3, Issue 2
- 1-14 Nonparametric Unit Root Test and Structural Breaks
by Belaire-Franch Jorge & Contreras Dulce - 1-20 Detection of Additive Outliers in Seasonal Time Series
by Haldrup Niels & Montañes Antonio & Sansó Andreu - 1-25 Estimating Autocorrelations in the Presence of Deterministic Trends
by Wang Shin-Huei & Hafner Christian - 1-42 Some New Results for Threshold AR(1) Models
by Knight John & Satchell Stephen
February 2011, Volume 3, Issue 1
- 1-8 Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction
by Bollerslev Tim & Christensen Bent Jesper & Haldrup Niels & Lunde Asger - 1-21 Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots
by Jansson Michael & Nielsen Morten Ørregaard - 1-23 Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index
by Luetkepohl Helmut & Xu Fang - 1-26 Econometric Modelling of Time Series with Outlying Observations
by Hendry David F & Mizon Grayham E - 1-28 Detecting Common Dynamics in Transitory Components
by Christensen Timothy & Hurn Stan & Pagan Adrian - 1-28 HYBRID GARCH Models and Intra-Daily Return Periodicity
by Chen Xilong & Ghysels Eric & Wang Fangfang - 1-29 On a Graphical Technique for Evaluating Some Rational Expectations Models
by Johansen Søren & Swensen Anders R - 1-32 Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary
by Dahl Christian M & Iglesias Emma - 1-33 Evaluating Automatic Model Selection
by Castle Jennifer L. & Doornik Jurgen A & Hendry David F. - 1-35 Nonparametric Tests for Periodic Integration
by del Barrio Castro Tomás & Osborn Denise R - 1-40 Consideration of Trends in Time Series
by White Halbert & Granger Clive W.J.
January 2011, Volume 2, Issue 2
- 1-26 Testing for a Deterministic Trend When There is Evidence of Unit Root
by Ventosa-Santaulària Daniel & Gómez-Zaldívar Manuel - 1-28 Estimation and Inference in Time Series with Omitted I(1) Variables
by Everaert Gerdie - 1-35 Costationarity of Locally Stationary Time Series
by Cardinali Alessandro & Nason Guy P
June 2010, Volume 2, Issue 1
- 1-18 Nonlinearity and Spatial Lag Dependence: Tests Based on Double-Length Regressions
by Li Dong & Le Canh - 1-31 On Convergence of the QMLE for Misspecified GARCH Models
by Jensen Anders Tolver & Lange Theis - 1-32 Signal Extraction Revision Variances as a Goodness-of-Fit Measure
by McElroy Tucker & Wildi Marc - 1-34 Testing Unit Root Based on Partially Adaptive Estimation
by Lima Luiz Renato & Xiao Zhijie
September 2010, Volume 2, Issue 1
- 1-22 Has the Volatility of U.S. Inflation Changed and How?
by Grassi Stefano & Proietti Tommaso - 1-26 The PCSE Estimator is Good -- Just Not As Good As You Think
by Reed W. Robert & Webb Rachel - 1-26 Extended Fractional Gaussian Noise and Simple ARFIMA Approximations
by Man Kasing - 1-38 A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels
by Miller J. Isaac
December 2009, Volume 1, Issue 2
- 1-18 Autoregression with Non-Gaussian Innovations
by Cai Yuzhi - 1-30 Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes
by Demetrescu Matei - 1-41 Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions
by Sancetta Alessio & Nikandrova Arina
December 2009, Volume 1, Issue 1
- 1-44 The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series
by Amsler Christine & Schmidt Peter & Vogelsang Timothy J
April 2009, Volume 1, Issue 1
- 1-34 Selecting Instrumental Variables in a Data Rich Environment
by Ng Serena & Bai Jushan - 1-38 Price Level Convergence, Purchasing Power Parity and Multiple Structural Breaks in Panel Data Analysis: An Application to U.S. Cities
by Basher Syed A. & Carrion-i-Silvestre Josep Lluís - 1-38 Asymptotics of the QMLE for Non-Linear ARCH Models
by Kristensen Dennis & Rahbek Anders - 1-49 Statistical Fourier Analysis: Clarifications and Interpretations
by Pollock Stephen D.S.G.