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Non-linear Time Series Analysis
16 references·0 citing·39 second hop
Non-linear Time Series Analysis (2018)Non-linear Time Series AnalysisHandbook of Economic Forecasting (2013)Handbook of Economic Forecast…Linear models, smooth transition autoregression, and neural networks for forecasting macroeconomic time series: A re-examination (2005)Linear models, smooth transit…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…Dissecting the cycle: a methodological investigation (2002)Dissecting the cycle: a metho…Nonlinear Time Series Models in Empirical Finance (2000)Nonlinear Time Series Models …Threshold Cointegration (1997)Threshold CointegrationMarkov-Switching Vector Autoregressions (1997)Markov-Switching Vector Autor…Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Inference When a Nuisance Par…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …A test for independence based on the correlation dimension (1996)A test for independence based…Journal of the American Statistical Association (1995)Journal of the American Stati…Business-Cycle Phases and Their Transitional Dynamics (1994)Business-Cycle Phases and The…Characterizing nonlinearities in business cycles using smooth transition autoregressive models (1992)Characterizing nonlinearities…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Testing Linearity Against Smooth Transition Autoregressive Models (1988)Testing Linearity Against Smo…Time Series Analysis: Forecasting and Control (1977)Macroeconomics and Reality (1980)Statistical analysis of cointegration vectors (1988)Chapter 4 Forecast Combinations (2006)Carbon Tail Risk (2018)Empirical Asset Pricing via Machine Learning (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Measuring Business Cycles (1947)King Charles I (1981)Growth Dynamics: The Myth of Economic Recovery (2008)When Credit Bites Back (2013)How Regions React to Recessions: Resilience and the Role of Economic Structure (2016)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)Moving to Opportunity in Boston: Early Results of a Randomized Mobility Experiment (2001)Multilevel analyses of neighbourhood socioeconomic context and health outcomes: a critical review: Table 1 (2001)The Relationship Between Education and Adult Mortality in the United States (2004)Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles (2001)Testing for a unit root in the nonlinear STAR framework (2002)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Sample Splitting and Threshold Estimation (2000)
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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1995Journal of the American Statistical Association5,337 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2002Dissecting the cycle: a methodological investigation1,504 cited
  • 1988Testing Linearity Against Smooth Transition Autoregressive Models1,365 cited
  • 2013Handbook of Economic Forecasting1,216 cited
  • 2000Nonlinear Time Series Models in Empirical Finance1,111 cited
  • 1997Threshold Cointegration1,042 cited
  • 1992Characterizing nonlinearities in business cycles using smooth transition autoregressive models890 cited
  • 1994Business-Cycle Phases and Their Transitional Dynamics883 cited
  • 1997Markov-Switching Vector Autoregressions583 cited

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  • 2005Linear models, smooth transition autoregression, and neural networks for forecasting macroeconomic time series: A re-examination275 cited
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