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Time-Varying Quantiles
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Time-Varying Quantiles (2006)Time-Varying QuantilesThe quantilogram: With an application to evaluating directional predictability (2007)The quantilogram: With an app…Forecasting with Unobserved Components Time Series Models (2006)Forecasting with Unobserved C…A robust version of the KPSS test based on indicators (2006)A robust version of the KPSS …Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Value-at-Risk Prediction: A C…Generating Volatility Forecasts from Value at Risk Estimates (2005)Generating Volatility Forecas…Unit Root Quantile Autoregression Inference (2004)Unit Root Quantile Autoregres…CAViaR (2004)CAViaRConditional value-at-risk: Aspects of modeling and estimation (2002)Conditional value-at-risk: As…Testing and comparing Value-at-Risk measures (2001)Testing and comparing Value-a…TESTS OF COMMON STOCHASTIC TRENDS (2000)TESTS OF COMMON STOCHASTIC TR…Autoregressive Conditional Skewness (1999)Autoregressive Conditional Sk…Conditional Quantile Estimation and Inference for Arch Models (1996)Conditional Quantile Estimati…5 Stochastic volatility (1996)5 Stochastic volatilityTesting the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root? (1991)Testing the Null Hypothesis o…Testing for the Constancy of Parameters Over Time (1989)Testing for the Constancy of …Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Generalized autoregressive conditional heteroskedasticity (1986)Modelling of extremal events in insurance and finance (1994)Coherent Measures of Risk (1999)An econometric analysis of emission allowance prices (2008)The impact of terrorism on financial markets: An empirical study (2010)Financial Network Systemic Risk Contributions (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)Evaluation and Combination of Conditional Quantile Forecasts (2005)Evaluating Value-at-Risk Models via Quantile Regression (2010)Trends and random walks in macroeconmic time series (1982)Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Quantile cointegration in the autoregressive distributed-lag modeling framework (2015)Revisiting the role of renewable and non-renewable energy consumption on Turkey’s ecological footprint: Evidence from Quantile ARDL approach (2020)The role of green finance in reducing CO2 emissions: An empirical analysis (2021)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes (2019)Asymmetric relationship between green bonds and commodities: Evidence from extreme quantile approach (2021)Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19 (2022)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Evaluating Interval Forecasts (1998)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)CoVaR (2016)Time Series Regression with a Unit Root (1987)Long memory processes and fractional integration in econometrics (1996)Energy consumption, income, and carbon emissions in the United States (2006)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)The Pricing of Options and Corporate Liabilities (1973)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Forecasting Volatility in Financial Markets: A Review (2003)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Equilibrium Underdiversification and the Preference for Skewness (2007)Ex Ante Skewness and Expected Stock Returns (2012)
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References

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  • 2004CAViaR2,210 cited
  • 1991Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?1,589 cited
  • 19965 Stochastic volatility1,189 cited
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  • 2002Conditional value-at-risk: Aspects of modeling and estimation130 cited
  • 2005Generating Volatility Forecasts from Value at Risk Estimates74 cited
  • 2006Forecasting with Unobserved Components Time Series Models70 cited
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A robust version of the KPSS test based on indicators
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