8
H index
7
i10 index
310
Citations
Helsingin Yliopisto (50% share) | 8 H index 7 i10 index 310 Citations RESEARCH PRODUCTION: 13 Articles 21 Papers EDITOR: Books edited RESEARCH ACTIVITY: 17 years (2004 - 2021). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pme81 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Mika Meitz. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 3 |
Econometric Theory | 3 |
Journal of Time Series Analysis | 2 |
Year | Title of citing document |
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2023 | . Full description at Econpapers || Download paper |
2023 | Performance of Empirical Risk Minimization for Linear Regression with Dependent Data. (2021). Brownlees, Christian ; Gudhmundsson, Gudhmundur Stef'An. In: Papers. RePEc:arx:papers:2104.12127. Full description at Econpapers || Download paper |
2023 | Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity. (2022). Saikkonen, Pentti ; Meitz, Mika. In: Papers. RePEc:arx:papers:2205.11953. Full description at Econpapers || Download paper |
2023 | Estimating the non-Gaussian Dimension in Structural Linear Systems. (2022). Cabello, Miguel. In: Papers. RePEc:arx:papers:2212.07263. Full description at Econpapers || Download paper |
2023 | Quantile Autoregression-based Non-causality Testing. (2023). Jin, Weifeng. In: Papers. RePEc:arx:papers:2301.02937. Full description at Econpapers || Download paper |
2023 | Estimating the Effects of Fiscal Policy using a Novel Proxy Shrinkage Prior. (2023). Pruser, Jan ; Klein, Mathias ; Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2302.13066. Full description at Econpapers || Download paper |
2023 | Uncertain Prior Economic Knowledge and Statistically Identified Structural Vector Autoregressions. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2303.13281. Full description at Econpapers || Download paper |
2023 | Asymptotics for the Generalized Autoregressive Conditional Duration Model. (2023). Cavaliere, Giuseppe ; Vilandt, Frederik ; Rahbek, Anders ; Mikosch, Thomas. In: Papers. RePEc:arx:papers:2307.01779. Full description at Econpapers || Download paper |
2023 | Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models. (2023). Hecq, Alain ; Velasquez-Gaviria, Daniel. In: Papers. RePEc:arx:papers:2310.19543. Full description at Econpapers || Download paper |
2023 | Structural Analysis of Vector Autoregressive Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402. Full description at Econpapers || Download paper |
2023 | Dynamic Mixture Vector Autoregressions with Score-Driven Weights. (2023). Umlandt, Dennis ; Neuenkirch, Matthias ; Gretener, Alexander Georges. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10366. Full description at Econpapers || Download paper |
2023 | A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523. Full description at Econpapers || Download paper |
2023 | Global spillovers from multi-dimensional US monetary policy. (2023). Georgiadis, Georgios ; Jarociski, Marek. In: Working Paper Series. RePEc:ecb:ecbwps:20232881. Full description at Econpapers || Download paper |
2023 | Vector autoregression models with skewness and heavy tails. (2023). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002834. Full description at Econpapers || Download paper |
2023 | Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles. (2023). Wang, Shu ; Herwartz, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000362. Full description at Econpapers || Download paper |
2023 | Refining set-identification in VARs through independence. (2023). Wright, Jonathan H ; Drautzburg, Thorsten. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1827-1847. Full description at Econpapers || Download paper |
2023 | Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions. (2023). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:643-665. Full description at Econpapers || Download paper |
2023 | Monetary policy and information shocks in a block-recursive SVAR. (2023). Seepe, Andre ; Hetzenecker, Stephan ; Keweloh, Sascha A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623000931. Full description at Econpapers || Download paper |
2023 | Does exporting cause productivity growth? Evidence from Chilean firms. (2023). Coad, Alex ; Ciarli, Tommaso ; Moneta, Alessio. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:66:y:2023:i:c:p:228-239. Full description at Econpapers || Download paper |
2023 | Identification Using Higher-Order Moments Restrictions. (2023). ferroni, filippo ; Andrade, Philippe ; Melosi, Leonardo. In: Working Paper Series. RePEc:fip:fedhwp:96666. Full description at Econpapers || Download paper |
2023 | Climate risk and investment in equities in Europe: a Panel SVAR approach. (2023). Parla, Fabio ; Cipollini, Andrea. In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance). RePEc:mod:wcefin:0093. Full description at Econpapers || Download paper |
2023 | Simultaneous identification of fiscal and monetary policy shocks. (2023). Mansur, Alfan. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-022-02352-z. Full description at Econpapers || Download paper |
2023 | A class of Minimum Distance Estimators in Markovian Multiplicative Error Models. (2023). Balakrishna, Narayana ; Perera, Indeewara ; Koul, Hira L. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-021-00274-x. Full description at Econpapers || Download paper |
2023 | Robust and efficient specification tests in Markov-switching autoregressive models. (2023). Chiba, Masaru. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:1:d:10.1007_s11203-022-09277-5. Full description at Econpapers || Download paper |
2023 | A non-Normal framework for price discovery: The independent component based information shares measure. (2023). Zema, Sebastiano Michele. In: LEM Papers Series. RePEc:ssa:lemwps:2023/03. Full description at Econpapers || Download paper |
2023 | Identification of Vector Autoregressive Models with Nonlinear Contemporaneous Structure. (2023). Moneta, Alessio ; Doremus, Nicolas ; Cordoni, Francesco. In: LEM Papers Series. RePEc:ssa:lemwps:2023/07. Full description at Econpapers || Download paper |
2023 | A Truncated Mixture Transition Model for Interval-valued Time Series. (2023). Luo, Yun ; Gonzalez-Rivera, Gloria. In: Working Papers. RePEc:ucr:wpaper:202315. Full description at Econpapers || Download paper |
2023 | The multifaceted impact of US trade policy on financial markets. (2023). Menkhoff, Lukas ; Boer, Lukas ; Rieth, Malte. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:3:p:388-406. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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Year | Title | Type | Cited |
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2008 | Parameter estimation in nonlinear AR-GARCH models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 19 |
2011 | PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS.(2011) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | article | |
2008 | Parameter Estimation in Nonlinear AR-GARCH Models.(2008) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
2010 | Parameter estimation in nonlinear AR–GARCH models.(2010) In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
2008 | Parameter estimation in nonlinear AR-GARCH models.(2008) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
2015 | Identification and estimation of non-Gaussian structural vector autoregressions In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 91 |
2017 | Identification and estimation of non-Gaussian structural vector autoregressions.(2017) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 91 | article | |
2017 | Testing for observation-dependent regime switching in mixture autoregressive models In: Papers. [Full Text][Citation analysis] | paper | 6 |
2021 | Testing for observation-dependent regime switching in mixture autoregressive models.(2021) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2018 | A mixture autoregressive model based on Students $t$-distribution In: Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Subgeometrically ergodic autoregressions In: Papers. [Full Text][Citation analysis] | paper | 1 |
2019 | Subgeometric ergodicity and $\beta$-mixing In: Papers. [Full Text][Citation analysis] | paper | 0 |
2006 | Evaluating Models of Autoregressive Conditional Duration In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 55 |
2004 | Evaluating models of autoregressive conditional duration.(2004) In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 55 | paper | |
2008 | Stability of nonlinear AR?GARCH models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 15 |
2006 | Stability of nonlinear AR-GARCH models.(2006) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
2006 | Stability of nonlinear AR-GARCH models.(2006) In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
2007 | Stability of nonlinear AR-GARCH models.(2007) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
2015 | A Gaussian Mixture Autoregressive Model for Univariate Time Series In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 19 |
2006 | A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES In: Econometric Theory. [Full Text][Citation analysis] | article | 3 |
2005 | A necessary and sufficient condition for the strict stationarity of a family of GARCH processes.(2005) In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2008 | ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS In: Econometric Theory. [Full Text][Citation analysis] | article | 45 |
2007 | Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models.(2007) In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 45 | paper | |
2007 | Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models.(2007) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 45 | paper | |
2018 | Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 7 |
2021 | Testing identification via heteroskedasticity in structural vector autoregressive models.(2021) In: EconStor Open Access Articles and Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
2016 | Gaussian mixture vector autoregression In: Journal of Econometrics. [Full Text][Citation analysis] | article | 22 |
2013 | Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 9 |
2012 | Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity.(2012) In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2010 | A note on the geometric ergodicity of a nonlinear AR-ARCH model In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 3 |
2010 | A note on the geometric ergodicity of a nonlinear AR–ARCH model.(2010) In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2012 | Testing for Predictability in a Noninvertible ARMA Model In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] | paper | 0 |
2012 | Testing for predictability in a noninvertible ARMA model.(2012) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2013 | Testing for Linear and Nonlinear Predictability of Stock Returns In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 4 |
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