C22 - Time-Series Models

Contributing journals to this collection:
Review of Finance, European Review of Agriculture Economics, The World Bank Economic Review, Journal of Economic Geography, Cambridge Journal of Regions, Economy and Society, American Law and Economics Review, Industrial and Corporate Change, CESifo Economic Studies, The Review of Financial Studies, Contributions to Political Economy, Journal of Financial Econometrics, Journal of Law, Economics, and Organization, Journal of African Economies, Socio-Economic Review, Oxford Economic Papers, The World Bank Research Observer, Oxford Review of Economic Policy, Cambridge Journal of Economics, Journal of Competition Law and Economics, and Review of Environmental Economics and Policy

Citations 1-10 of 43 total displayed.

Most recent content

Articles
What Explains Germany's Rebounding Export Market Share?

Stephan Danninger and Fred Joutz
CESifo Economic Studies 2008; 54: 681-714. [Abstract] [Full text] [PDF]  

Past content

Articles
A Simple Test for GARCH Against a Stochastic Volatility Model

Philip Hans Franses, Marco van der Leij, and Richard Paap
J. Financial Econometrics 2008; 6: 291-306. [Abstract] [Full text] [PDF]  

Articles
Are There Structural Breaks in Realized Volatility?

Chun Liu and John M. Maheu
J. Financial Econometrics 2008; 6: 326-360. [Abstract] [Full text] [PDF]  

Articles
Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall

James W. Taylor
J. Financial Econometrics 2008; 6: 382-406. [Abstract] [Full text] [PDF]  

Articles
The Dog That Did Not Bark: A Defense of Return Predictability

John H. Cochrane
Rev. Financ. Stud. 2008; 21: 1533-1575. [Abstract] [Full text] [PDF]  

Articles
Parameterizing Unconditional Skewness in Models for Financial Time Series

Changli He, Annastiina Silvennoinen, and Timo Teräsvirta
J. Financial Econometrics 2008; 6: 208-230. [Abstract] [Full text] [PDF]  

Articles
Estimating Value at Risk and Expected Shortfall Using Expectiles

James W. Taylor
J. Financial Econometrics 2008; 6: 231-252. [Abstract] [Full text] [PDF]  

Articles
Detecting ARCH Effects in Non-Gaussian Time Series

Burkhard Raunig
J. Financial Econometrics 2008; 6: 271-289. [Abstract] [Full text] [PDF]  

Articles
Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation

Gregory R. Duffee and Richard H. Stanton
J. Financial Econometrics 2008; 6: 108-142. [Abstract] [Full text] [PDF]  

Articles
Model-free versus Model-based Volatility Prediction

Dimitris N. Politis
J. Financial Econometrics 2007; 5: 358-359. [Abstract] [Full text] [PDF]  

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