35
H index
69
i10 index
6581
Citations
University of Cambridge | 35 H index 69 i10 index 6581 Citations RESEARCH PRODUCTION: 85 Articles 67 Papers 5 Books 5 Chapters EDITOR: Books edited RESEARCH ACTIVITY: 49 years (1974 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pha279 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Andrew C. Harvey. | Is cited by: | Cites to: |
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2023 | . Full description at Econpapers || Download paper | |
2023 | Macroeconomic drivers of Inflation Expectations and Inflation Risk Premia. (2023). Wauters, Joris ; Iania, Leonardo ; Boeckx, Jef. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023003. Full description at Econpapers || Download paper | |
2023 | Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542. Full description at Econpapers || Download paper | |
2023 | Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308. Full description at Econpapers || Download paper | |
2023 | Modeling Long Cycles. (2020). Marmer, Vadim ; Kang, Natasha. In: Papers. RePEc:arx:papers:2010.13877. Full description at Econpapers || Download paper | |
2023 | Functional Principal Component Analysis of Cointegrated Functional Time Series. (2020). Seo, Won-Ki. In: Papers. RePEc:arx:papers:2011.12781. Full description at Econpapers || Download paper | |
2023 | Factor-augmented tree ensembles. (2021). Pellegrino, Filippo. In: Papers. RePEc:arx:papers:2111.14000. Full description at Econpapers || Download paper | |
2023 | Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices. (2022). Ricco, Giovanni ; Pellegrino, Filippo ; Hasenzagl, Thomas ; Reichlin, Lucrezia. In: Papers. RePEc:arx:papers:2201.05556. Full description at Econpapers || Download paper | |
2023 | Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434. Full description at Econpapers || Download paper | |
2023 | An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376. Full description at Econpapers || Download paper | |
2023 | The Short-Term Predictability of Returns in Order Book Markets: a Deep Learning Perspective. (2022). Veraart, Almut ; Pakkanen, Mikko ; Lucchese, Lorenzo. In: Papers. RePEc:arx:papers:2211.13777. Full description at Econpapers || Download paper | |
2023 | Multidimensional dynamic factor models. (2023). Pellegrino, Filippo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2301.12499. Full description at Econpapers || Download paper | |
2023 | Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777. Full description at Econpapers || Download paper | |
2023 | sparseDFM: An R Package to Estimate Dynamic Factor Models with Sparse Loadings. (2023). Gibberd, Alex ; Chan, Tak-Shing ; Mosley, Luke. In: Papers. RePEc:arx:papers:2303.14125. Full description at Econpapers || Download paper | |
2023 | The Tech Decoupling. (2023). Baloda, Monika. In: Papers. RePEc:arx:papers:2304.00510. Full description at Econpapers || Download paper | |
2023 | GDP nowcasting with artificial neural networks: How much does long-term memory matter?. (2023). Hadh, D'Aniel. In: Papers. RePEc:arx:papers:2304.05805. Full description at Econpapers || Download paper | |
2023 | Nowcasting with signature methods. (2023). Mantoan, Giulia ; Malpass, Will ; Lui, Silvia ; Cohen, Samuel N ; Yang, Lingyi ; Small, Emma ; Scott, Craig ; Reeves, Andrew ; Nesheim, Lars. In: Papers. RePEc:arx:papers:2305.10256. Full description at Econpapers || Download paper | |
2023 | Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis. (2023). Garcin, Matthieu. In: Papers. RePEc:arx:papers:2305.13123. Full description at Econpapers || Download paper | |
2023 | Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061. Full description at Econpapers || Download paper | |
2023 | Sizing Strategies for Algorithmic Trading in Volatile Markets: A Study of Backtesting and Risk Mitigation Analysis. (2023). Masrur, S M. In: Papers. RePEc:arx:papers:2309.09094. Full description at Econpapers || Download paper | |
2023 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278. Full description at Econpapers || Download paper | |
2023 | Inference on common trends in functional time series. (2023). Seong, Dakyung ; Nielsen, Morten Orregaard. In: Papers. RePEc:arx:papers:2312.00590. Full description at Econpapers || Download paper | |
2023 | Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303. Full description at Econpapers || Download paper | |
2023 | Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309. Full description at Econpapers || Download paper | |
2023 | A trend-cycle decomposition with hysteresis. (2023). Roa Rozo, Julián ; Gómez-Pineda, Javier ; Roa-Rozo, Julian ; Gomez-Pineda, Javier G. In: Borradores de Economia. RePEc:bdr:borrec:1230. Full description at Econpapers || Download paper | |
2023 | A linear mixed model to estimate COVID?19?induced excess mortality. (2023). Deboosere, Patrick ; Verbeke, Geert ; Hens, Niel ; Neyens, Thomas ; Faes, Christel ; Verbeeck, Johan ; Molenberghs, Geert. In: Biometrics. RePEc:bla:biomet:v:79:y:2023:i:1:p:417-425. Full description at Econpapers || Download paper | |
2023 | Extracting business cycles with three filters: A comparative study and application in the case of China. (2023). Li, Naiqian ; Sun, Chentong. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:2:p:254-269. Full description at Econpapers || Download paper | |
2023 | Econometric Forecasting of Tourist Arrivals Using Bayesian Structural Time?Series. (2023). Kimpton, Sean ; Andrews, Antony. In: Economic Papers. RePEc:bla:econpa:v:42:y:2023:i:2:p:200-211. Full description at Econpapers || Download paper | |
2023 | Dating business cycles in the United Kingdom, 1700–2010. (2023). Lennard, Jason ; Broadberry, Stephen ; Thomas, Ryland ; Chadha, Jagjit S. In: Economic History Review. RePEc:bla:ehsrev:v:76:y:2023:i:4:p:1141-1162. Full description at Econpapers || Download paper | |
2023 | BAYESIAN STATE SPACE MODELS IN MACROECONOMETRICS. (2023). Strachan, Rodney. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:58-75. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Optimal specialty crop planning policies with yield learning and forward contract. (2023). Ryan, Jennifer K ; Chen, Heng. In: Production and Operations Management. RePEc:bla:popmgt:v:32:y:2023:i:2:p:359-378. Full description at Econpapers || Download paper | |
2023 | Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1. 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 | Data cloning for a threshold asymmetric stochastic volatility model. (2023). Lopes, Maria Helena ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:36569. Full description at Econpapers || Download paper | |
2023 | Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula. (2023). Ortega, Esther Ruiz ; Rodriguez, Carlos Vladimir ; Gonzalez-Rivera, Gloria. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:37968. Full description at Econpapers || Download paper | |
2023 | Quantifying Long-Term Volatility for Developed Stock Markets: An Empirical Case Study Using PGARCH Model on Toronto Stock Exchange (TSX). (2023). Manohar, Singh ; Abhishek, Anand ; Simion, Mircea Laurentiu ; Birau, Ramona ; Bharat, Meher Kumar ; Santosh, Kumar. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2023:i:2:p:61-68. Full description at Econpapers || Download paper | |
2023 | The Long-Run Phillips Curve is ... a Curve. (2023). Bonomolo, Paolo ; Haque, Qazi ; Ascari, Guido. In: Working Papers. RePEc:dnb:dnbwpp:789. Full description at Econpapers || Download paper | |
2023 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364359. Full description at Econpapers || Download paper | |
2023 | Club convergence of labor market institutions in the European Union. (2023). Arčabić, Vladimir ; Dumani, Lucija Rogi ; Arabi, Vladimir ; Obadi, Alka. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:876-896. Full description at Econpapers || Download paper | |
2023 | Modelling output gaps in the Euro Area with structural breaks: The COVID-19 recession. (2023). , Joo ; Dias, Jose Carlos ; Dutra, Tiago Mota ; Fernandes, Mario Correia. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1046-1058. Full description at Econpapers || Download paper | |
2023 | Sequential Bayesian analysis for semiparametric stochastic volatility model with applications. (2023). Lou, Zhusheng ; Wang, Nianling. In: Economic Modelling. RePEc:eee:ecmode:v:123:y:2023:i:c:s0264999323000998. Full description at Econpapers || Download paper | |
2023 | Effects of external shocks on macroeconomic fluctuations in Pacific Alliance countries. (2023). Castillo, Paul ; Vassallo, Renato ; Rodriguez, Gabriel. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001141. Full description at Econpapers || Download paper | |
2023 | Macroeconomic volatility and the current account: Extending the evidence. (2023). Jalles, Joao ; Karras, Georgios. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001463. Full description at Econpapers || Download paper | |
2023 | Testing for integration and cointegration when time series are observed with noise. (2023). Pelagatti, Matteo ; Parisio, Lucia ; Maranzano, Paolo ; Gianfreda, Angelica. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001645. Full description at Econpapers || Download paper | |
2023 | Eurozone prices: A tale of convergence and divergence. (2023). Garcia-Hiernaux, Alfredo ; Guerrero, David E ; Gonzalez-Perez, Maria T. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002304. Full description at Econpapers || Download paper | |
2023 | GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets. (2023). Li, Min-Jian ; Yao, Can-Zhong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000335. Full description at Econpapers || Download paper | |
2023 | Simple interpolations of inflation expectations. (2023). Winkelried, Diego. In: Economics Letters. RePEc:eee:ecolet:v:229:y:2023:i:c:s0165176523002550. Full description at Econpapers || Download paper | |
2023 | Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models. (2023). Ruiz, Esther ; Poncela, Pilar ; Fresoli, Diego. In: Economics Letters. RePEc:eee:ecolet:v:230:y:2023:i:c:s0165176523002719. Full description at Econpapers || Download paper | |
2023 | Scalable inference for a full multivariate stochastic volatility model. (2023). Plataniotis, Anastasios ; Petrova, Katerina ; Titsias, Michalis K ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:501-520. Full description at Econpapers || Download paper | |
2023 | Stochastic properties of nonlinear locally-nonstationary filters. (2023). Nientker, Marc ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:2082-2095. Full description at Econpapers || Download paper | |
2023 | A GMM approach to estimate the roughness of stochastic volatility. (2023). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:745-778. Full description at Econpapers || Download paper | |
2023 | We modeled long memory with just one lag!. (2023). Chevillon, Guillaume ; Bauwens, Luc ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001616. Full description at Econpapers || Download paper | |
2023 | Dynamic Tobit models. (2023). Liao, Yin ; Harvey, Andew. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:72-83. Full description at Econpapers || Download paper | |
2023 | Rage Against the Mean – A Review of Distributional Regression Approaches. (2023). Safken, Benjamin ; Silbersdorff, Alexander ; Kneib, Thomas. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:99-123. Full description at Econpapers || Download paper | |
2023 | Seasonality in High Frequency Time Series. (2023). Proietti, Tommaso ; Pedregal, Diego J. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:62-82. Full description at Econpapers || Download paper | |
2023 | On the stationary stochastic response of an order-constrained inventory system. (2023). Ponte, Borja ; Disney, Stephen M ; Wang, Xun. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:543-557. Full description at Econpapers || Download paper | |
2023 | Lumpy and intermittent retail demand forecasts with score-driven models. (2023). Borenstein, Denis ; Fernandes, Cristiano ; Sarlo, Rodrigo. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:3:p:1146-1160. Full description at Econpapers || Download paper | |
2023 | Generalized quantile and expectile properties for shape constrained nonparametric estimation. (2023). Dai, Sheng ; Zhou, Xun ; Kuosmanen, Timo. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:2:p:914-927. Full description at Econpapers || Download paper | |
2023 | Estimating and testing skewness in a stochastic volatility model. (2023). Ho, Kyu ; Lee, Cheol Woo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:445-467. Full description at Econpapers || Download paper | |
2023 | Modeling final energy demand and the impacts of energy price reform in Saudi Arabia. (2023). de Lipsis, Vincenzo ; Ekins, Paul ; Agnolucci, Paolo ; Gasim, Anwar A. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323000877. Full description at Econpapers || Download paper | |
2023 | Estimating the effect of an EU-ETS type scheme in Australia using a synthetic treatment approach. (2023). GAO, Jiti ; Anderson, Heather ; Wei, Wei ; Vahid, Farshid ; Turnip, Guido. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323002967. Full description at Econpapers || Download paper | |
2023 | Characteristics and mechanisms of the U.S. stock market spillover effects on the Chinese A-share market: Evidence from 6 A-share broad-based and 31 sector indices. (2023). Shen, Weibing ; Tian, Huiting ; Huang, Junbo. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001606. Full description at Econpapers || Download paper | |
2023 | Unobserved components model estimates of credit cycles: Tests and predictions. (2023). Hessler, Andrew. In: Journal of Financial Stability. RePEc:eee:finsta:v:66:y:2023:i:c:s1572308923000207. Full description at Econpapers || Download paper | |
2023 | Weekly economic activity: Measurement and informational content. (2023). Guggia, Valentino ; Glocker, Christian ; Wegmuller, Philipp. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:228-243. Full description at Econpapers || Download paper | |
2023 | The RWDAR model: A novel state-space approach to forecasting. (2023). Silvestrini, Andrea ; Sbrana, Giacomo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:922-937. Full description at Econpapers || Download paper | |
2023 | Thirty years on: A review of the Lee–Carter method for forecasting mortality. (2023). Booth, Heather ; Camarda, Carlo Giovanni ; Basellini, Ugofilippo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1033-1049. Full description at Econpapers || Download paper | |
2023 | Nowcasting growth using Google Trends data: A Bayesian Structural Time Series model. (2023). Bhattacharjee, Arnab ; Kohns, David. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1384-1412. Full description at Econpapers || Download paper | |
2023 | Covid-19, credit risk management modeling, and government support. (2023). Telg, Sean ; Lucas, Andre ; Dubinova, Anna. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426622002187. Full description at Econpapers || Download paper | |
2023 | Museums for ex situ tangible heritage conservation: A neo-institutional analytical and empirical economic analysis. (2023). Choy, H T ; Chau, K W. In: Land Use Policy. RePEc:eee:lauspo:v:127:y:2023:i:c:s0264837723000273. Full description at Econpapers || Download paper | |
2023 | A flexible INAR(1) time series model with dependent zero-inflated count series and medical contagious cases. (2023). Mohammadpour, M ; Bakouch, Hassan S ; Shirozhan, M. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:206:y:2023:i:c:p:216-230. Full description at Econpapers || Download paper | |
2024 | Valuation of option price in commodity markets described by a Markov-switching model: A case study of WTI crude oil market. (2024). Kanniainen, Juho ; Noorani, Idin ; Mehrdoust, Farshid. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:215:y:2024:i:c:p:228-269. Full description at Econpapers || Download paper | |
2023 | Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics. (2023). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:609:y:2023:i:c:s0378437122008937. Full description at Econpapers || Download paper | |
2023 | A method for predicting VaR by aggregating generalized distributions driven by the dynamic conditional score. (2023). Li, Handong ; Song, Shijia. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:203-214. Full description at Econpapers || Download paper | |
2023 | Trading strategies and the frequency of time-series. (2023). Isaenko, Sergey. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:267-283. Full description at Econpapers || Download paper | |
2023 | Dynamic inflation hedging performance and downside risk: A comparison between Islamic and conventional stock indices. (2023). Selmi, Refk ; kasmaoui, kamal ; Deisting, Florent ; Wohar, Mark. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:91:y:2023:i:c:p:56-67. Full description at Econpapers || Download paper | |
2023 | How does exchange rate elasticity of aggregate consumption adjust currency risk price in the stock market?. (2023). Li, Huashi ; Chen, Qi-An. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:590-610. Full description at Econpapers || Download paper | |
2023 | Have cryptocurrencies become an inflation hedge after the reopening of the U.S. economy?. (2023). Kurosaki, Tetsuo ; Sakurai, Yuji. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000417. Full description at Econpapers || Download paper | |
2023 | Reforming Dual Labor Markets: “Empirical” or “Contractual” Temporary Rates?. (2023). Puch, Luis ; García, Manu ; Conde-Ruiz, J. Ignacio ; Garcia, Manu. In: Studies on the Spanish Economy. RePEc:fda:fdaeee:eee2023-36. Full description at Econpapers || Download paper | |
2023 | Economic Activity by Race. (2023). Mboup, Fatima. In: Working Papers. RePEc:fip:fedpwp:96539. Full description at Econpapers || Download paper | |
2023 | Risk and Return in the Spanish Stock Market. (1995). Sentana, Enrique. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp212. Full description at Econpapers || Download paper | |
2023 | Sustainable Development of the European Electricity Sector: Investigating the Impact of Electricity Price, Market Liberalization and Energy Taxation on RES Deployment. (2023). HALKOS, GEORGE ; Tsirivis, Apostolos S. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:14:p:5567-:d:1200593. Full description at Econpapers || Download paper | |
2023 | Electricity Production and Sustainable Development: The Role of Renewable Energy Sources and Specific Socioeconomic Factors. (2023). HALKOS, GEORGE ; Tsirivis, Apostolos S. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:2:p:721-:d:1028470. Full description at Econpapers || Download paper | |
2023 | Electricity Prices in the European Union Region: The Role of Renewable Energy Sources, Key Economic Factors and Market Liberalization. (2023). HALKOS, GEORGE ; Tsirivis, Apostolos S. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:6:p:2540-:d:1090794. Full description at Econpapers || Download paper | |
2023 | Generalized Method of Moments Estimation of Realized Stochastic Volatility Model. (2023). Wang, LI ; Zhang, Luwen. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:8:p:377-:d:1218639. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
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2023 | Air Pollution Prediction Based on Discrete Wavelets and Deep Learning. (2023). Hu, Chentao ; Tao, Lingbing ; Ding, Chengfu ; Shu, Ying ; Tie, Zhixin. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:9:p:7367-:d:1135696. Full description at Econpapers || Download paper | |
2023 | Seasonal Methods of Demand Forecasting in the Supply Chain as Support for the Company’s Sustainable Growth. (2023). Borucka, Anna. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:9:p:7399-:d:1136507. Full description at Econpapers || Download paper | |
2023 | The Role of Foreign Investors and Local Agents in the Derivatives Market and their Impact on the Exchange Rate in Colombia: A Wavelet Analysis. (2023). Gamboa-Estrada, Fredy. In: IHEID Working Papers. RePEc:gii:giihei:heidwp12-2023. Full description at Econpapers || Download paper | |
2023 | Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis. (2023). Garcin, Matthieu. In: Working Papers. RePEc:hal:wpaper:hal-04102815. Full description at Econpapers || Download paper | |
2023 | Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models. (2023). Tran, Minh-Ngoc ; Nguyen, Hoang ; Virbickaite, Audrone. In: Working Papers. RePEc:hhs:oruesi:2023_007. Full description at Econpapers || Download paper | |
2023 | The Impact of News Related Covid-19 on Exchange Rate Volatility:A New Evidence From Generalized Autoregressive Score Model. (2023). Erer, Deniz. In: EKOIST Journal of Econometrics and Statistics. RePEc:ist:ekoist:v:0:y:2023:i:38:p:105-126. Full description at Econpapers || Download paper | |
2023 | The STAMP Software for State Space Models. (2011). Mendelssohn, Roy . In: Journal of Statistical Software. RePEc:jss:jstsof:41:i02. Full description at Econpapers || Download paper | |
2023 | Uncertainty in firm valuation and a cross-sectional misvaluation measure. (2023). Bottazzi, Giulio ; Marmi, Stefano ; Livieri, Giulia ; Cordoni, Francesco. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:1:d:10.1007_s10436-022-00423-w. Full description at Econpapers || Download paper | |
2023 | CO2 Emission Allowances Risk Prediction with GAS and GARCH Models. (2023). Tiwari, Aviral ; Trabelsi, Nader. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:2:d:10.1007_s10614-021-10231-5. Full description at Econpapers || Download paper | |
2023 | How credible are Okun coefficients? The gap version of Okun’s law for G7 economies. (2023). Povaanova, Mariana ; Boa, Martin. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:3:d:10.1007_s10644-022-09438-9. Full description at Econpapers || Download paper | |
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Year | Title | Type | Cited |
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1987 | Forecasting and Interpolation Using Vector Autoregressions with Common Trends In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 10 |
2006 | Convergences of prices and rates of inflation In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 36 |
2006 | Convergence of Prices and Rates of Inflation*.(2006) In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | article | |
2007 | Testing for trend In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 34 |
2008 | TESTING FOR TREND.(2008) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | article | |
2014 | Time series models with an EGB2 conditional distribution In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 12 |
2014 | Time-series models with an EGB2 conditional distribution.(2014) In: Journal of Time Series Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
2013 | Time series models with an EGB2 conditional distribution.(2013) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2014 | Two EGARCH models and one fat tail In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 4 |
2013 | Two EGARCH models and one fat tail.(2013) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
1992 | Diagnostic Checking of Unobserved-Components Time Series Models. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 171 |
1994 | Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 1 |
1996 | Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 240 |
1997 | The Modeling and Seasonal Adjustment of Weekly Observations. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 45 |
1983 | Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 73 |
1983 | Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study: Response. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 66 |
2003 | Seasonality Tests. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 22 |
2007 | A Note on Common Cycles, Common Trends, and Convergence In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 18 |
1985 | Trends and Cycles in Macroeconomic Time Series. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 358 |
1989 | Time Series Models for Count or Qualitative Observations. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 53 |
1989 | Time Series Models for Count or Qualitative Observations: Reply. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 51 |
1990 | Seemingly Unrelated Time Series Equations and a Test for Homogeneity. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 6 |
1982 | Testing for Contemporaneous Correlation of Disturbances in Systems of Regression Equations. In: Bulletin of Economic Research. [Citation analysis] | article | 11 |
2000 | Estimating the underlying change in unemployment in the UK In: Journal of the Royal Statistical Society Series A. [Full Text][Citation analysis] | article | 59 |
1977 | Some Comments on Multicollinearity in Regression In: Journal of the Royal Statistical Society Series C. [Full Text][Citation analysis] | article | 0 |
1980 | An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive–Moving Average Models by Means of Kaiman Filtering In: Journal of the Royal Statistical Society Series C. [Full Text][Citation analysis] | article | 17 |
1982 | Finite Sample Prediction from Arima Processes In: Journal of the Royal Statistical Society Series C. [Full Text][Citation analysis] | article | 0 |
1990 | ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 47 |
1998 | Tests for Deterministic Versus Indeterministic Cycles In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 2 |
2001 | Testing for the Presence of a Random Walk in Series with Structural Breaks In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 47 |
1998 | Testing for the presence of a random walk in series with structural breaks.(1998) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | paper | |
2003 | FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 15 |
1981 | FINITE SAMPLE PREDICTION AND OVERDIFFERENCING In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 1 |
2010 | Tests of strict stationarity based on quantile indicators In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 8 |
2017 | Volatility Modeling with a Generalized t Distribution In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 32 |
2015 | Volatility Modeling with a Generalized t-distribution.(2015) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
2018 | Modeling the Interactions between Volatility and Returns using EGARCH?M In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 11 |
2023 | Regime switching models for circular and linear time series In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
1988 | EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 5 |
2001 | General Model-based Filters for Extracting Cycles and Trends in Economic Time Series In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 179 |
2003 | General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series.(2003) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 179 | article | |
2002 | Models for Converging Economies In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 11 |
2002 | Growth, Cycles and Convergence in US Regional Time Series In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 29 |
2005 | Growth, cycles and convergence in US regional time series.(2005) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | article | |
2002 | Testing for Drift in a Time Series In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
2003 | Multivariate Unit Root Tests and Testing for Convergence In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 23 |
2003 | Cyclical Components in Economic Time Series: a Bayesian Approach In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 10 |
2004 | Cyclical components in economic time series: A Bayesian approach.(2004) In: Econometric Society 2004 Australasian Meetings. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2006 | Time-Varying Quantiles In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 8 |
2007 | Tests of time-invariance In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 3 |
2007 | Tests of time-invariance.(2007) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2007 | Quantiles, Expectiles and Splines In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 47 |
2007 | Quantiles, Expectiles and Splines.(2007) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | paper | |
2009 | Quantiles, expectiles and splines.(2009) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | article | |
2008 | Modeling the Phillips curve with unobserved components In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 8 |
2008 | Dynamic distributions and changing copulas In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
2008 | Beta-t-(E)GARCH In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
2008 | When is a copula constant? A test for changing relationships In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 51 |
2011 | When is a Copula Constant? A Test for Changing Relationships.(2011) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 51 | article | |
2010 | Exponential Conditional Volatility Models In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 8 |
2010 | Exponential conditional volatility models.(2010) In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2012 | EGARCH models with fat tails, skewness and leverage In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 81 |
2014 | EGARCH models with fat tails, skewness and leverage.(2014) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 81 | article | |
2012 | The Dyanamic Location/Scale Model: with applications to intra-day financial data In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 8 |
2012 | Filtering with heavy tails In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 90 |
2014 | Filtering With Heavy Tails.(2014) In: Journal of the American Statistical Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 90 | article | |
2014 | Testing against Changing Correlation In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 11 |
2016 | Testing against changing correlation.(2016) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
2015 | Modeling the Interactions between Volatility and Returns In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 3 |
2017 | Co-integration and control: assessing the impact of events using time series data In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 7 |
2021 | Cointegration and control: Assessing the impact of events using time series data.(2021) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
2019 | Dynamic Tobit models In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
2019 | Score-Driven Models for Realized Volatility In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
2019 | Modeling directional (circular) time series In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
2021 | Time series modeling of epidemics: leading indicators, control groups and policy assessment In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | ||
2021 | Regime switching models for directional and linear observations In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
2021 | Score-driven time series models In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
1999 | Tests of Common Stochastic Trends In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 96 |
2000 | TESTS OF COMMON STOCHASTIC TRENDS.(2000) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 96 | article | |
1994 | Seasonality in Dynamic Regression Models In: CEP Discussion Papers. [Citation analysis] | paper | 62 |
1994 | Seasonality in Dynamic Regression Models..(1994) In: Economic Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 62 | article | |
1991 | Detrending, Stylized Facts and The Business Cycle (Now published in Journal of Applied Econometrics, vol.8 (1993), pp.231-247.) In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 0 |
1993 | Seasonality in Dynamic Regression Models (Now published in Economic Journal 104 (1994), pp.1324-1345.) In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 0 |
1993 | Estimation and Testing of Stochastic Variance Models In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 25 |
1995 | The Modelling and Seasonal Adjustment of Weekly Observations - (Now published in Journal of Business and Economic Statistics, 15 (1997), pp.354-368.) In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 0 |
1996 | Testing for a Slowly Changing Level with Special Reference to Stochastic Volatility - (Now published in Journal of Econometrics, 87 (1998), pp.167-189.) In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 0 |
1996 | Multivariate Structural Time Series Models - (Now published in System Dynamics in Economic and Financial Models, CHeij, H Schumacher, B Hanzon and C Praagman (eds.) John Wiley & Sons, Chichester (1997 In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 2 |
1997 | Messy Time Series: A Unified Approach - (Now published in Advances in Econometrics, 13 (1998)pp.103-143.) In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 0 |
1998 | Testing for the Presence of a Random Walk in Series with Structural Breaks - (Now published in Journal of Time Series Analysis, 22 (2001), pp.127-150.) In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 0 |
2002 | Trends, Cycles, and Convergence In: Central Banking, Analysis, and Economic Policies Book Series. [Full Text][Citation analysis] | chapter | 2 |
2002 | Trends, Cycles and Convergence.(2002) In: Working Papers Central Bank of Chile. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
1995 | Stochastic Volatility In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 343 |
1995 | Stochastic Volatility.(1995) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 343 | paper | |
1995 | Stochastic Volatility..(1995) In: Toulouse - GREMAQ. [Citation analysis] This paper has nother version. Agregated cites: 343 | paper | |
1996 | Stochastic Volatility..(1996) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 343 | paper | |
1996 | Stochastic Volatility..(1996) In: Cahiers de recherche. [Citation analysis] This paper has nother version. Agregated cites: 343 | paper | |
2004 | Convergence and Cycles in the Euro Zone In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
1990 | Forecasting, Structural Time Series Models and the Kalman Filter In: Cambridge Books. [Citation analysis] | book | 458 |
1991 | Forecasting, Structural Time Series Models and the Kalman Filter.(1991) In: Cambridge Books. [Citation analysis] This paper has nother version. Agregated cites: 458 | book | |
2013 | Dynamic Models for Volatility and Heavy Tails In: Cambridge Books. [Citation analysis] | book | 297 |
2013 | Dynamic Models for Volatility and Heavy Tails.(2013) In: Cambridge Books. [Citation analysis] This paper has nother version. Agregated cites: 297 | book | |
1985 | The Estimation of Higher-Order Continuous Time Autoregressive Models In: Econometric Theory. [Full Text][Citation analysis] | article | 28 |
In: . [Full Text][Citation analysis] | article | 0 | |
2006 | Inflation convergence and divergence within the European Monetary Union In: Working Paper Series. [Full Text][Citation analysis] | paper | 142 |
2007 | Inflation Convergence and Divergence within the European Monetary Union.(2007) In: International Journal of Central Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 142 | article | |
1997 | Trends, Cycles and Autoregressions. In: Economic Journal. [Full Text][Citation analysis] | article | 94 |
1986 | Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equations. In: Economic Journal. [Full Text][Citation analysis] | article | 45 |
2004 | Trend estimation, signal-noise ratios and the frequency of observations In: Econometric Society 2004 Australasian Meetings. [Citation analysis] | paper | 4 |
1976 | Estimating Regression Models with Multiplicative Heteroscedasticity. In: Econometrica. [Full Text][Citation analysis] | article | 316 |
1980 | Testing for Serial Correlation in Simultaneous Equation Models. In: Econometrica. [Full Text][Citation analysis] | article | 5 |
2000 | Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 4 |
2003 | Measurement and Testing of Inequality from Time Series of Deciles with an Application to U.S. Wages.(2003) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2000 | Computing Observation Weights for Signal Extraction and Filtering In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 75 |
2003 | Computing observation weights for signal extraction and filtering.(2003) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 75 | article | |
2000 | Signal extraction and the formulation of unobserved components models In: Econometrics Journal. [Citation analysis] | article | 49 |
1999 | Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 49 | paper | |
1999 | Signal Extraction and the Formulation of Unobserved Components Models.(1999) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 49 | paper | |
1988 | Continuous time autoregressive models with common stochastic trends In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 25 |
1993 | Estimation of simultaneous equation models with stochastic trend components In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 3 |
2009 | Computing the mean square error of unobserved components extracted by misspecified time series models In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 8 |
2006 | Forecasting with Unobserved Components Time Series Models In: Handbook of Economic Forecasting. [Full Text][Citation analysis] | chapter | 57 |
1984 | A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models In: Economics Letters. [Full Text][Citation analysis] | article | 2 |
2000 | A Beveridge-Nelson smoother In: Economics Letters. [Full Text][Citation analysis] | article | 12 |
2007 | Trends and cycles in economic time series: A Bayesian approach In: Journal of Econometrics. [Full Text][Citation analysis] | article | 78 |
2005 | Trends and cycles in economic time series: A Bayesian approach.(2005) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 78 | paper | |
1981 | Testing for heteroscedasticity in simultaneous equation models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
1981 | Testing for serial correlation in simultaneous equation models : Some further results In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
2020 | Modeling time series when some observations are zero In: Journal of Econometrics. [Full Text][Citation analysis] | article | 8 |
1974 | A comparison of the power of some tests for heteroskedasticity in the general linear model In: Journal of Econometrics. [Full Text][Citation analysis] | article | 10 |
1989 | Estimating integrated higher-order continuous time autoregressions with an application to money-income causality In: Journal of Econometrics. [Full Text][Citation analysis] | article | 13 |
1992 | Unobserved component time series models with Arch disturbances In: Journal of Econometrics. [Full Text][Citation analysis] | article | 218 |
1977 | Testing for functional misspecification in regression analysis In: Journal of Econometrics. [Full Text][Citation analysis] | article | 16 |
1998 | Testing for a slowly changing level with special reference to stochastic volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 13 |
2010 | Tracking a changing copula In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 12 |
1994 | Review of 4thought In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
2012 | Kernel density estimation for time series data In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 18 |
1986 | The effects of seat belt legislation on British road casualities: A case study in structural modelling : A.C. Harvey and J. Durbing, Journal of the Royal Statistical Society, Series A 149 (1986) (in p In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 10 |
1990 | Structural time series models in inventory control In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 74 |
1999 | MESSY TIME SERIES In: Advances in Econometrics. [Full Text][Citation analysis] | chapter | 0 |
2004 | Bayes estimates of the cyclical component in twentieth centruy US gross domestic product In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 3 |
2002 | Cyclical components in economic time series In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 5 |
1976 | A Note on the Efficiency of Kelejians Method of Estimating Cobb-Douglas Type Functions with Multiplicative and Additive Errors. In: International Economic Review. [Full Text][Citation analysis] | article | 0 |
1978 | Linear Regression in the Frequency Domain. In: International Economic Review. [Full Text][Citation analysis] | article | 14 |
1980 | On Comparing Regression Models in Levels and First Differences. In: International Economic Review. [Full Text][Citation analysis] | article | 10 |
1986 | Analysis and Generalisation of a Multivariate Exponential Smoothing Model In: Management Science. [Full Text][Citation analysis] | article | 22 |
2015 | Trend, Seasonality and Seasonal Adjustment In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2001 | Testing against smooth stochastic trends In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 19 |
2005 | Convergence in the trends and cycles of Euro-zone income In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 25 |
2005 | Convergence in the trends and cycles of Euro?zone income.(2005) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | article | |
1993 | Detrending, Stylized Facts and the Business Cycle. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 720 |
2001 | Testing in Unobserved Components Models. In: Journal of Forecasting. [Citation analysis] | article | 28 |
2010 | The local quadratic trend model In: Journal of Forecasting. [Full Text][Citation analysis] | article | 6 |
1990 | The Econometric Analysis of Time Series, 2nd Edition In: MIT Press Books. [Citation analysis] | book | 254 |
1977 | Discrimination Between CES and VES Production Functions In: NBER Chapters. [Full Text][Citation analysis] | chapter | 0 |
2020 | Time series models for epidemics: leading indicators, control groups and policy assessment In: National Institute of Economic and Social Research (NIESR) Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2017 | Modeling time series with zero observations In: Economics Papers. [Full Text][Citation analysis] | paper | 1 |
1994 | Multivariate Stochastic Variance Models In: Review of Economic Studies. [Full Text][Citation analysis] | article | 594 |
2019 | James Durbin (1923–2012) In: Palgrave Macmillan Books. [Citation analysis] | chapter | 0 |
1985 | The estimation of dynamic models with missing observations In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 1 |
2016 | Robust time series models with trend and seasonal components In: SERIEs: Journal of the Spanish Economic Association. [Full Text][Citation analysis] | article | 11 |
2011 | Modelling the Phillips curve with unobserved components In: Applied Financial Economics. [Full Text][Citation analysis] | article | 29 |
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