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Modelling Economic Time Series in the Presence of Variance Non-Stationarity: A Practical Approach
16 references·4 citing·23 second hop
Modelling Economic Time Series in the Presence of Variance Non-Stationarity: A Practical Approach (2022)Modelling Economic Time Series in the Pre…Forecasting Economic Time Series (2000)Forecasting Economic Time Ser…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…Stationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …Econometric Models and Economic Forecasts (1990)Econometric Models and Econom…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Generalized autoregressive conditional heteroscedasticity (1986)Generalized autoregressive co…ARMA MODELS WITH ARCH ERRORS (1984)ARMA MODELS WITH ARCH ERRORSAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Forecasting Economic Time Series (1979)Forecasting Economic Time Ser…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …Measuring Liquidity in the Greek Government Securities Market (2022)Measuring Liquidity in the Gr…Exact Elliptical Distributions for Models of Conditionally Random Financial Volatility (2022)Exact Elliptical Distribution…Cost Efficiency in Greek Banking (2022)Cost Efficiency in Greek Bank…Inflation persistence during periods of structural change: an assessment using Greek data (2007)Inflation persistence during …A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The Influence of Top Management Team Heterogeneity on Firms' Competitive Moves (1996)The analysis of household surveys (1997)Veto Players. How Political Institutions Work (2003)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Exponential smoothing: The state of the art (1985)Using daily stock returns (1985)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
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  • 2000Forecasting Economic Time Series1,768 cited
  • 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
  • 1979Forecasting Economic Time Series

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1,004 cited
  • 1984ARMA MODELS WITH ARCH ERRORS282 cited
  • Cited by

    • 2022Cost Efficiency in Greek Banking45 cited
    • 2022Measuring Liquidity in the Greek Government Securities Market36 cited
    • 2022Exact Elliptical Distributions for Models of Conditionally Random Financial Volatility34 cited
    • 2007Inflation persistence during periods of structural change: an assessment using Greek data18 cited