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Econometric Reviews

Short Title: Econ. Rev.
Publisher: Taylor & Francis, Philadelphia, PA
ISSN: 0747-4938; 1532-4168/e
Online: http://www.tandfonline.com/loi/lecr20
Predecessor: Communications in Statistics. Econometric Reviews
Documents Indexed: 419 Publications (since 1982)
References Indexed: 406 Publications with 12,531 References.
all top 5

Authors

13 McAleer, Michael
10 Maasoumi, Esfandiar
7 Franses, Philip Hans
6 Baltagi, Badi H.
6 Li, Qi
5 Kilian, Lutz
5 Pesaran, M. Hashem
5 Ullah, Aman
4 Godfrey, Leslie G.
4 Phillips, Peter Charles Bonest
4 Psaradakis, Zacharias
4 White, Halbert Lynn jun.
3 Asai, Manabu
3 Blundell, Richard W.
3 Cavaliere, Giuseppe
3 Cribari-Neto, Francisco
3 Dagum, Estelle Bee
3 Fiebig, Denzil G.
3 Hall, Alastair R.
3 Heshmati, Almas
3 Inoue, Atsushi
3 Johansen, Søren Glud
3 King, Maxwell Leslie
3 Koop, Gary
3 Kumbhakar, Subal C.
3 Kurozumi, Eiji
3 Lee, Lung-Fei
3 Lütkepohl, Helmut
3 Orme, Chris D.
3 Palm, Franz C.
3 Park, Joon Y.
3 Poirier, Dale J.
3 Spanos, Aris
3 Taylor, A. M. Robert
3 Tzavalis, Elias
3 Urbain, Jean-Pierre
2 Adolfson, Malin
2 An, Sungbae
2 Ashley, Richard A.
2 Bauwens, Luc C. A. A.
2 Bera, Anil K.
2 Bollerslev, Tim
2 Bond, Stephen D.
2 Bordignon, Silvano
2 Caporin, Massimiliano
2 Chang, Yoosoon
2 Chu, Chia-Shang James
2 Davidson, Russell
2 Domínguez, Manuel A.
2 Fan, Yanqin
2 Gallo, Giampiero M.
2 Geweke, John F.
2 Golan, Amos
2 Gonçalves, Sílvia
2 Gospodinov, Nikolay
2 Gourieroux, Christian
2 Guggenberger, Patrik
2 Hahn, Jinyong
2 Hamori, Shigeyuki
2 Hlouskova, Jaroslava
2 Hodgson, Douglas J.
2 Horowitz, Joel L.
2 Hoti, Suhejla
2 Jensen, Mark J.
2 Kao, Chihwa
2 Kapetanios, George
2 Kočenda, Evžen
2 Kohn, Robert J.
2 Kuan, Chung-Ming
2 Lechner, Michael
2 Lee, Myoungjae
2 Lee, Tae-Hwy
2 Li, Wai Keung
2 Lieberman, Offer
2 Lindé, Jesper
2 Linton, Oliver Bruce
2 MacKinnon, James G.
2 Maddala, G. S.
2 Martin, Gael M.
2 Martins-Filho, Carlos
2 Mckenzie, C. R.
2 Medeiros, Marcelo C.
2 Mittnik, Stefan
2 Moon, Hyungsik Roger
2 Nawata, Kazumitsu
2 Neumann, George R.
2 Nielsen, Bent
2 Ohtani, Kazuhiro
2 Peixe, Fernanda P. M.
2 Perron, Pierre
2 Pittis, Nikitas
2 Politis, Dimitris Nicolas
2 Potscher, Benedikt M.
2 Proietti, Tommaso
2 Prucha, Ingmar R.
2 Roy, Nilanjana
2 Saikkonen, Pentti
2 Schorfheide, Frank
2 Shin, Yongcheol
2 Silvapulle, Paramsothy
...and 442 more Authors

Publications by Year

Citations contained in zbMATH Open

348 Publications have been cited 3,416 times in 2,761 Documents Cited by Year
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Zbl 0850.62884
Bollerslev, Tim; Wooldridge, Jeffrey M.
174
1992
Modelling the persistence of conditional variances. Zbl 0619.62105
Engle, Robert F.; Bollerslev, Tim
139
1986
A test for independence based on the correlation dimension. Zbl 0893.62034
Brock, W. A.; Dechert, W. D.; Scheinkman, J. A.; Le Baron, B.
114
1996
Automatic block-length selection for the dependent bootstrap. Zbl 1082.62076
Politis, Dimitris N.; White, Halbert
99
2004
Modeling asset returns with alternative stable distributions. (With comments and reply). Zbl 0801.62096
Mittnik, Stefan; Rachev, Svetlozar T.
82
1993
Using simulation methods for Bayesian econometric models: Inference, development, and communication. (With comments). Zbl 0930.62105
Geweke, John
75
1999
Bayesian analysis of DSGE models. Zbl 1112.62015
An, Sungbae; Schorfheide, Frank
69
2007
Smooth transition autoregressive models – a survey of recent developments. Zbl 1070.91047
van Dijk, Dick; Teräsvirta, Timo; Franses, Philip Hans
64
2002
On the asymptotics of ADF tests for unit roots. Zbl 1049.62096
Chang, Yoosoon; Park, Joon Y.
58
2002
Multivariate stochastic volatility: a review. Zbl 1107.62108
Asai, Manabu; McAleer, Michael; Yu, Jun
55
2006
On Bartlett and Bartlett-type corrections. Zbl 0885.62021
Cribari-Neto, Francisco; Cordeiro, Gauss M.
51
1996
Bootstrap tests: How many bootstraps? Zbl 0949.62030
Davidson, Russell; MacKinnon, James G.
51
2000
Unit root tests under time-varying variances. Zbl 1133.62350
Cavaliere, Giuseppe
45
2004
Nonparametric testing of closeness between two unknown distribution functions. Zbl 0893.62038
Li, Qi
45
1996
Recent developments in bootstrapping time series (with comment). Zbl 0949.62022
Berkowitz, Jeremy; Kilian, Lutz
43
2000
Correction to “automatic block-length selection for the dependent bootstrap” by D. Politis and H. White. Zbl 1400.62193
Patton, Andrew; Politis, Dimitris N.; White, Halbert
41
2009
Bootstrapping time series models. (With discussion). Zbl 0855.62074
Li, Hongyi; Maddala, G. S.
39
1996
Continuous time Wishart process for stochastic risk. Zbl 1105.62104
Gourieroux, C.
38
2006
Best spatial two-stage least squares estimators for a spatial autoregressive model with autoregressive disturbances. Zbl 1030.62069
Lee, Lung-fei
36
2003
Realized volatility: a review. Zbl 1148.62089
McAleer, Michael; Medeiros, Marcelo C.
35
2008
Artificial neural networks: An econometric perspective. (With comments). Zbl 0832.62101
Kuan, Chung-Ming; White, Halbert
34
1994
MIDAS regressions: further results and new directions. Zbl 1108.62092
Ghysels, Eric; Sinko, Arthur; Valkanov, Rossen
34
2007
Empirical characteristic function estimation and its applications. Zbl 1123.62030
Yu, Jun
32
2004
A compendium to information theory in economics and econometrics. Zbl 0769.62003
Maasoumi, Esfandiar
32
1993
The generalized fluctuation test: A unifying view. Zbl 0832.62085
Kuan, Chung-Ming; Hornik, Kurt
31
1995
Estimation and testing for unit root processes with GARCH(1,1) errors: theory and Monte Carlo evidence. Zbl 1106.62346
Ling, Shiqing; Li, W. K.; McAleer, Michael
29
2003
Basic structure of the asymptotic theory in dynamic nonlinear econometric models. I: Consistency and approximation concepts. Zbl 0737.62096
Pötscher, Benedikt M.; Prucha, Ingmar R.
29
1991
The volatility of realized volatility. Zbl 1359.91032
Corsi, Fulvio; Mittnik, Stefan; Pigorsch, Christian; Pigorsch, Uta
27
2008
Asymptotic and bootstrap inference for AR(\(\infty\)) processes with conditional heteroskedasticity. Zbl 1126.62079
Gonçalves, Sílvia; Kilian, Lutz
27
2007
Bootstrap methods for heteroskedastic regression models: Evidence on estimation and testing. Zbl 0928.62049
Cribari-Neto, Francisco; Zarkos, Spyros G.
25
1999
In-sample or out-of-sample tests of predictability: which one should we use? Zbl 1062.62213
Inoue, Atsushi; Kilian, Lutz
24
2004
Making Wald tests work for cointegrated VAR systems. Zbl 0893.62085
Dolado, Juan J.; Lütkepohl, Helmut
23
1996
The role of the constant and linear terms in cointegration analysis of nonstationary variables. Zbl 0829.62086
Johansen, Søren
22
1994
Generalized integer-valued autoregression. Zbl 1077.62530
Brännäs, Kurt; Hellström, Jörgen
22
2001
Factor multivariate stochastic volatility via Wishart processes. Zbl 1113.62131
Philipov, Alexander; Glickman, Mark E.
22
2006
Multivariate stochastic volatility models: Bayesian estimation and model comparison. Zbl 1113.62133
Yu, Jun; Meyer, Renate
22
2006
A consistent method for the selection of relevant instruments. Zbl 1181.62192
Hall, Alastair R.; Peixe, Fernanda P. M.
21
2003
GMM estimation with persistent panel data: An application to production functions. Zbl 0953.62123
Blundell, Richard; Bond, Stephen
20
2000
Sampling returns for realized variance calculations: tick time or transaction time? Zbl 1359.62514
Griffin, Jim E.; Oomen, Roel C. A.
19
2008
On testing equality of distributions of technical efficiency scores. Zbl 1106.62126
Simar, Léopold; Zelenyuk, Valentin
19
2006
State space modeling of multiple time series. Zbl 0733.62098
Aoki, Masanao; Havenner, Arthur
18
1991
Asymmetric multivariate stochastic volatility. Zbl 1112.62116
Asai, Manabu; McAleer, Michael
18
2006
A review of systems cointegration tests. Zbl 1044.62120
Hubrich, Kirstin; Lütkepohl, Helmut; Saikkonen, Pentti
17
2001
Moving average-based estimators of integrated variance. Zbl 1148.62088
Hansen, Peter R.; Large, Jeremy; Lunde, Asger
16
2008
Structure and asymptotic theory for multivariate asymmetric conditional volatility. Zbl 1168.62083
McAleer, Michael; Hoti, Suhejla; Chan, Felix
16
2009
An efficient algorithm to compute maximum entropy densities. Zbl 0932.62006
Ormoneit, Dirk; White, Halbert
16
1999
An introduction to hypergeometric functions for economists. Zbl 1073.91526
Abadir, Karim M.
16
1999
Testing the martingale difference hypothesis. Zbl 1030.62066
Domínguez, Manuel A.; Lobato, Ignacio N.
16
2003
A residual-based test of the null of cointegration in panel data. Zbl 0896.62131
McCoskey, Suzanne; Kao, Chihwa
16
1998
How can we define the concept of long memory? An econometric survey. Zbl 1115.62346
Guégan, Dominique
15
2005
Is adaptive estimation useful for panel models with heteroskedasticity in the individual specific error component? Some Monte Carlo evidence.. Zbl 1034.62059
Roy, Nilanjana
15
2002
Locally optimal one-sided tests for multiparameter hypotheses. Zbl 0891.62011
King, Maxwell L.; Wu, Ping X.
15
1997
Confidence intervals for impulse responses under departures from normality. Zbl 0893.62040
Kilian, Lutz
15
1998
Nonstationary panel data analysis: An overview of some recent developments. Zbl 0953.62126
Phillips, Peter C. B.; Moon, Hyungsik R.
15
2000
Optimal portfolio diversification using the maximum entropy principle. Zbl 05309109
Bera, Anil K.; Park, Sung Y.
15
2008
Estimating partially linear panel data models with one-way error components. Zbl 0915.62095
Li, Qi; Ullah, Aman
14
1998
Vector autoregression and causality: A theoretical overview and simulation study. Zbl 0829.62087
Toda, Hiro Y.; Philips, Peter C. B.
14
1994
Finite sample evidence suggesting a heavy tail problem of the generalized empirical likelihood estimator. Zbl 1140.62025
Guggenberger, Patrik
14
2008
Classical and Bayesian analysis of univariate and multivariate stochastic volatility models. Zbl 1113.62130
Liesenfeld, Roman; Richard, Jean-François
14
2006
Using high-frequency data in dynamic portfolio choice. Zbl 1359.91030
Bandi, Federico M.; Russell, Jeffrey R.; Zhu, Yinghua
13
2008
Bootstrap \(M\) unit root tests. Zbl 1168.62080
Cavaliere, Giuseppe; Taylor, A. M. Robert
13
2009
Detecting parameter shift in GARCH models. Zbl 0832.62099
Chu, Chia-Shang James
13
1995
Bootstrapping a consistent nonparametric goodness-of-fit test. Zbl 0832.62038
Fan, Yanqin
13
1995
A unified approach to structural change tests based on ML scores, \(F\) statistics, and OLS residuals. Zbl 1080.62012
Zeileis, Achim
13
2005
The performance of panel unit root and stationarity tests: results from a large scale simulation study. Zbl 1225.62118
Hlouskova, Jaroslava; Wagner, Martin
13
2006
Predicting the daily covariance matrix for S&P 100 stocks using intraday data-but which frequency to use? Zbl 1359.62522
de Pooter, Michiel; Martens, Martin; van Dijk, Dick
12
2008
Long-run structural modelling. Zbl 1104.91061
Pesaran, M. Hashem; Shin, Yongcheol
12
2002
Dynamic asymmetric leverage in stochastic volatility models. Zbl 1075.62092
Asai, Manabu; McAleer, Michael
12
2005
The exact risk performance of a pre-test estimator in a heteroskedastic linear regression model under the balanced loss function. Zbl 0891.62045
Ohtani, Kazuhiro; Giles, David E. A.; Giles, Judith A.
12
1997
Estimation of long-run inefficiency levels: a dynamic frontier approach. Zbl 1179.62160
Ahn, Seung C.; Good, David H.; Sickles, Robin C.
12
2000
An introduction to econometric applications of empirical process theory for dependent random variables. Zbl 0802.62099
Andrews, Donald W. K.
12
1993
Bayesian clustering of many GARCH models. Zbl 1112.62016
Bauwens, L.; Rombouts, J. V. K.
12
2007
Panel unit root tests in the presence of cross-sectional dependencies: comparison and implications for modelling. Zbl 1205.91138
Gengenbach, Christian; Palm, Franz C.; Urbain, Jean-Pierre
11
2010
Double length artificial regressions for testing spatial dependence. Zbl 1018.62049
Baltagi, Badi H.; Li, Dong
11
2001
Problems related to confidence intervals for impulse responses of autoregressive processes. Zbl 0962.62080
Benkwitz, Alexander; Lütkepohl, Helmut; Neumann, Michael H.
11
2000
A class of improved parametrically guided nonparametric regression estimators. Zbl 1140.62034
Martins-Filho, Carlos; Mishra, Santosh; Ullah, Aman
11
2008
Testing the significance of categorical predictor variables in nonparametric regression models. Zbl 1106.62046
Racine, Jeffery S.; Hart, Jeffrey; Li, Qi
11
2006
Testing, estimation in GMM and CUE with nearly-weak identification. Zbl 1187.62040
Caner, Mehmet
10
2010
Evaluating direct multistep forecasts. Zbl 1080.62049
Clark, Todd E.; McCracken, Michael W.
10
2005
Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integration. Zbl 1080.62059
Nielsen, Morten Ørregaard; Frederiksen, Per Houmann
10
2005
A Monte Carlo comparison of various asymptotic approximations to the distribution of instrumental variables estimators. Zbl 1034.62007
Hahn, Jinyong; Inoue, Atsushi
10
2002
Unit root tests with infinite variance errors. Zbl 1044.62090
Ahn, Sung K.; Fotopoulos, Stergios B.; He, Lijian
10
2001
Nuisance parameter free properties of correlation integral based statistics. Zbl 0905.62118
de Lima, Pedro J. F.
10
1996
Multivariate stochastic volatility models with correlated errors. Zbl 1113.62127
Chan, David; Kohn, Robert; Kirby, Chris
10
2006
A generalized dynamic conditional correlation model: Simulation and application to many assets. Zbl 1172.62036
Hafner, Christian M.; Franses, Philip Hans
10
2009
Normalization in econometrics. Zbl 1112.62135
Hamilton, James D.; Waggoner, Daniel F.; Zha, Tao
10
2007
Estimating mixtures of normal distributions via empirical characteristic function. Zbl 0903.62025
Tran, Kien C.
9
1998
Inference on cointegrating ranks using LR and LM tests based on pseudo-likelihoods. Zbl 0908.62089
Lucas, André
9
1998
Fast double bootstrap tests of nonnested linear regression models. Zbl 1049.62074
Davidson, Russell; MacKinnon, James G.
9
2002
A separability result for GMM estimation, with applications to GLS prediction and conditional moment tests. Zbl 0832.62046
Ahn, Seung C.; Schmidt, Peter
9
1995
A non-nested test of level-differenced versus log-differenced stationary models. Zbl 0875.62605
Pesaran, Bahram; Pesaran, M. Hashem
9
1995
A test for the presence of conditional heteroskedasticity within ARCH-M framework. Zbl 0836.62068
Bera, Anil K.; Ra, Sungsup
9
1995
Simple LM tests for the unbalanced nested error component regression model. Zbl 1033.62054
Baltagi, Badi H.; Song, Seuck Heun; Jung, Byoung Cheol
9
2002
Asymptotic distributions of seasonal unit root tests: a unifying approach. Zbl 1064.62562
Osborn, Denise R.; Rodrigues, Paulo M. M.
9
2002
Reliable inference for GMM estimators? Finite sample properties of alternative test procedures in linear panel data models. Zbl 1061.62023
Bond, Stephen; Windmeijer, Frank
9
2005
A hierarchy of Lorenz curves based on the generalized Tukey’s lambda distribution. Zbl 0891.62090
Sarabia, José-María
9
1997
Testing autocorrelation in a system perspective. Zbl 1072.62631
Edgerton, David; Shukur, Ghazi
9
1999
The size and power of bootstrap and Bartlett-corrected tests of hypotheses on the cointegrating vectors. Zbl 1087.62099
Omtzigt, Pieter; Fachin, Stefano
9
2006
Econometric tests of rationality and market efficiency (with comments by D. K. Backus and A. W. Gregory, F. S. Mishkin, R. J. Shiller, M. R. Wickens and reply). Zbl 0718.62284
Baillie, Richard T.
9
1989
Inferences from cross-sectional, stochastic frontier models. Zbl 1180.62194
Simar, Léopold; Wilson, Paul W.
9
2010
Endogeneity in nonlinear regressions with integrated time series. Zbl 1209.62149
Chang, Yoosoon; Park, Joon Y.
6
2011
Estimation and asymptotic inference in the AR-ARCH model. Zbl 1209.62201
Lange, Theis; Rahbek, Anders; Jensen, Søren Tolver
6
2011
Testing for a unit root in a stationary ESTAR process. Zbl 1210.62122
Kılıç, Rehim
5
2011
A Bayesian analysis of unit roots and structural breaks in the level, trend, and error variance of autoregressive models of economic series. Zbl 1209.62202
Meligkotsidou, Loukia; Tzavalis, Elias; Vrontos, Ioannis D.
4
2011
Small sample estimation bias in GARCH models with any number of exogenous variables in the mean equation. Zbl 1210.62120
Iglesias, Emma M.; Phillips, Garry D. A.
4
2011
Minimum divergence, generalized empirical likelihoods, and higher order expansions. Zbl 1217.62042
Ragusa, Giuseppe
4
2011
Bayesian interpretations of heteroskedastic consistent covariance estimators using the informed Bayesian bootstrap. Zbl 1217.62035
Poirier, Dale J.
3
2011
Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model. Zbl 1218.62092
Kapetanios, George; Shin, Yongcheol
3
2011
Empirical likelihood for efficient semiparametric average treatment effects. Zbl 1209.62045
Bravo, Francesco; Jacho-Chávez, David T.
2
2011
Continuous empirical characteristic function estimation of mixtures of normal parameters. Zbl 1209.62052
Xu, Dinghai; Knight, John
2
2011
The relation of different concepts of causality used in time series and microeconometrics. Zbl 1208.91116
Lechner, Michael
2
2011
Robust misspecification tests for the Heckman’s two-step estimator. Zbl 1209.62016
Montes-Rojas, Gabriel V.
2
2011
On the discretization of continuous-time filters for nonstationary stock and flow time series. Zbl 1218.62098
McElroy, Tucker; Trimbur, Thomas M.
2
2011
Two-step estimation of endogenous and exogenous group effects. Zbl 1208.91122
Shang, Qingyan; Lee, Lung-Fei
1
2011
Estimation of allocative inefficiency and productivity growth with dynamic adjustment costs. Zbl 1210.91099
Atkinson, Scott E.; Cornwell, Christopher
1
2011
Estimation under inequality constraints: semiparametric estimation of conditional duration models. Zbl 1217.62043
Ranasinghe, Kulan; Silvapulle, Mervyn J.
1
2011
Bootstrap unit root tests in models with GARCH(1,1) errors. Zbl 1217.62132
Gospodinov, Nikolay; Tao, Ye
1
2011
Fuzzy autoregressive rules: towards linguistic time series modeling. Zbl 1218.62102
Aznarte, José Luis; Alcalá-Fdez, Jesús; Arauzo, Antonio; Benítez, José Manuel
1
2011
Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices. Zbl 1218.62091
Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert
1
2011
Panel unit root tests in the presence of cross-sectional dependencies: comparison and implications for modelling. Zbl 1205.91138
Gengenbach, Christian; Palm, Franz C.; Urbain, Jean-Pierre
11
2010
Testing, estimation in GMM and CUE with nearly-weak identification. Zbl 1187.62040
Caner, Mehmet
10
2010
Inferences from cross-sectional, stochastic frontier models. Zbl 1180.62194
Simar, Léopold; Wilson, Paul W.
9
2010
Implementing Box-Cox quantile regression. Zbl 1270.62083
Fitzenberger, Bernd; Wilke, Ralf A.; Zhang, Xuan
7
2010
Efficient posterior simulation for cointegrated models with priors on the cointegration space. Zbl 1185.62157
Koop, Gary; León-González, Roberto; Strachan, Rodney W.
7
2010
Nonparametric entropy-based tests of independence between stochastic processes. Zbl 1187.62083
Fernandes, Marcelo; Néri, Breno
7
2010
To combine forecasts or to combine information? Zbl 1201.91154
Huang, Huiyu; Lee, Tae-Hwy
6
2010
Cointegrating regressions with time heterogeneity. Zbl 1192.62198
Kim, Chang Sik; Park, Joon Y.
6
2010
Local GMM estimation of semiparametric panel data with smooth coefficient models. Zbl 1180.62064
Tran, Kien C.; Tsionas, Efthymios G.
5
2010
The benefits of bagging for forecast models of realized volatility. Zbl 1201.91228
Hillebrand, Eric; Medeiros, Marcelo C.
4
2010
On some models for value-at-risk. Zbl 1205.91095
Yu, Philip L. H.; Li, Wai Keung; Jin, Shusong
4
2010
The performance of panel cointegration methods: results from a large scale simulation study. Zbl 1270.62123
Wagner, Martin; Hlouskova, Jaroslava
3
2010
Distributional overlap: simple, multivariate, parametric, and nonparametric tests for alienation, convergence, and general distributional difference issues. Zbl 1187.91148
Anderson, Gordon; Ge, Ying; Leo, Teng Wah
3
2010
Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments. Zbl 1205.91135
Armah, Nii Ayi; Swanson, Norman R.
3
2010
A multivariate threshold varying conditional correlations model. Zbl 1180.62123
Kwan, W.; Li, W. K.; Ng, K. W.
3
2010
On deconvolution as a first stage nonparametric estimator. Zbl 1192.62117
Hu, Yingyao; Ridder, Geert
3
2010
Information-theoretic distribution test with application to normality. Zbl 1187.62086
Stengos, Thanasis; Wu, Ximing
1
2010
Estimating interest rate curves by support vector regression. Zbl 1202.91352
Monteiro, André d’Almeida
1
2010
A semiparametric analysis of gasoline demand in the United States reexamining the impact of price. Zbl 1192.62256
Manzan, Sebastiano; Zerom, Dawit
1
2010
Correction to “automatic block-length selection for the dependent bootstrap” by D. Politis and H. White. Zbl 1400.62193
Patton, Andrew; Politis, Dimitris N.; White, Halbert
41
2009
Structure and asymptotic theory for multivariate asymmetric conditional volatility. Zbl 1168.62083
McAleer, Michael; Hoti, Suhejla; Chan, Felix
16
2009
Bootstrap \(M\) unit root tests. Zbl 1168.62080
Cavaliere, Giuseppe; Taylor, A. M. Robert
13
2009
A generalized dynamic conditional correlation model: Simulation and application to many assets. Zbl 1172.62036
Hafner, Christian M.; Franses, Philip Hans
10
2009
Representation of cointegrated autoregressive processes with application to fractional processes. Zbl 1161.62059
Johansen, Søren
7
2009
Pairwise likelihood inference for general state space models. Zbl 1161.62061
Varin, Cristiano; Vidoni, Paolo
7
2009
Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling. Zbl 1172.62020
Camba-Mendez, Gonzalo; Kapetanios, George
6
2009
A robust entropy-based test of asymmetry for discrete and continuous processes. Zbl 1156.62054
Maasoumi, Esfandiar; Racine, Jeffrey S.
5
2009
Econometric applications of the forward search in regression: robustness, diagnostics, and graphics. Zbl 1161.62446
Atkinson, Anthony C.
4
2009
Regular variation and extremal dependence of GARCH residuals with application to market risk measures. Zbl 1161.62072
Laurini, Fabrizio; Tawn, Jonathan A.
4
2009
Instrumental variables estimation of heteroskedastic linear models using all lags of instruments. Zbl 1168.62055
West, Kenneth D.; Wong, Ka-Fu; Anatolyev, Stanislav
4
2009
A note on unit root tests with infinite variance noise. Zbl 1172.62027
Samarakoon, D. M. Mahinda; Knight, Keith
4
2009
A cascade linear filter to reduce revisions and false turning points for real time trend-cycle estimation. Zbl 1161.62062
Dagum, Estela Bee; Luati, Alessandra
3
2009
Periodic long-memory GARCH models. Zbl 1161.62054
Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco
3
2009
Testing parameter constancy in stationary vector autoregressive models against continuous change. Zbl 1156.62056
He, Changli; Teräsvirta, Timo; González, Andrés
3
2009
A new bispectral test for nonlinear serial dependence. Zbl 1156.62060
Rusticelli, Elena; Ashley, Richard A.; Dagum, Estela Bee; Patterson, Douglas M.
3
2009
Parametric nonlinear regression with endogenous switching. Zbl 1172.62022
Terza, Joseph V.
3
2009
Robust transformations in univariate and multivariate time series. Zbl 1156.62057
Riani, Marco
2
2009
Asymptotically distribution-free goodness-of-fit testing: a unifying view. Zbl 1172.62014
Li, Bo
2
2009
Editorial: Special issue on statistical inference on time series stochastic and deterministic dynamics. Zbl 1453.00028
Dagum, Estela Bee; Bordignon, Silvano
1
2009
Performance of model selection criteria in Bayesian threshold VAR (TVAR) models. Zbl 05529881
Kwon, Yongjae; Bozdogan, Hamparsum; Bensmail, Halima
1
2009
Time-varying mixing weights in mixture autoregressive conditional duration models. Zbl 1161.62073
de Luca, Giovanni; Gallo, Giampiero M.
1
2009
On the model-based interpretation of filters and the reliability of trend-cycle estimates. Zbl 1161.62060
Proietti, Tommaso
1
2009
Assessing and improving the performance of nearly efficient unit root tests in small samples. Zbl 1168.62079
Broda, Simon; Carstensen, Kai; Paolella, Marc S.
1
2009
Pairwise tests of purchasing power parity. Zbl 1172.62038
Pesaran, M. Hashem; Smith, Ron P.; Yamagata, Takashi; Hvozdyk, Lyudmyla
1
2009
Length-bias correction in transformation models with supplementary data. Zbl 1172.62075
Shin, Youngki
1
2009
Tests for a unit root using three-regime TAR models: power comparison and some applications. Zbl 05618781
Maki, Daiki
1
2009
Realized volatility: a review. Zbl 1148.62089
McAleer, Michael; Medeiros, Marcelo C.
35
2008
The volatility of realized volatility. Zbl 1359.91032
Corsi, Fulvio; Mittnik, Stefan; Pigorsch, Christian; Pigorsch, Uta
27
2008
Sampling returns for realized variance calculations: tick time or transaction time? Zbl 1359.62514
Griffin, Jim E.; Oomen, Roel C. A.
19
2008
Moving average-based estimators of integrated variance. Zbl 1148.62088
Hansen, Peter R.; Large, Jeremy; Lunde, Asger
16
2008
Optimal portfolio diversification using the maximum entropy principle. Zbl 05309109
Bera, Anil K.; Park, Sung Y.
15
2008
Finite sample evidence suggesting a heavy tail problem of the generalized empirical likelihood estimator. Zbl 1140.62025
Guggenberger, Patrik
14
2008
Using high-frequency data in dynamic portfolio choice. Zbl 1359.91030
Bandi, Federico M.; Russell, Jeffrey R.; Zhu, Yinghua
13
2008
Predicting the daily covariance matrix for S&P 100 stocks using intraday data-but which frequency to use? Zbl 1359.62522
de Pooter, Michiel; Martens, Martin; van Dijk, Dick
12
2008
A class of improved parametrically guided nonparametric regression estimators. Zbl 1140.62034
Martins-Filho, Carlos; Mishra, Santosh; Ullah, Aman
11
2008
Refined inference on long memory in realized volatility. Zbl 1359.91033
Lieberman, Offer; Phillips, Peter C. B.
8
2008
Generalized safety first and a new twist on portfolio performance. Zbl 05309108
Haley, M. Ryan; Whiteman, Charles H.
7
2008
Nonparametric estimation methods of integrated multivariate volatilities. Zbl 1359.62448
Hoshikawa, Toshiya; Nagai, Keiji; Kanatani, Taro; Nishiyama, Yoshihiko
6
2008
Edgeworth corrections for realized volatility. Zbl 1359.62445
Gonçalves, Sílvia; Meddahi, Nour
6
2008
Bayes estimate and inference for entropy and information index of fit. Zbl 05309107
Mazzuchi, Thomas A.; Soofi, Ehsan S.; Soyer, Refik
6
2008
Realized volatility and long memory: an overview. Zbl 1359.62460
Maasoumi, Esfandiar; McAleer, Michael
5
2008
Why aggregate long memory time series? Zbl 1359.62386
Souza, Leonardo Rocha
3
2008
Information theoretic and entropy methods: an overview. Zbl 05309102
Golan, Amos; Maasoumi, Esfandiar
3
2008
Approximate entropy as an irregularity measure for financial data. Zbl 05309103
Pincus, Steve
3
2008
Testing for nonstationarity using maximum entropy resampling: A misspecification testing perspective. Zbl 05309104
Koutris, Andreas; Heracleous, Maria S.; Spanos, Aris
3
2008
Determining the number of factors and lag order in dynamic factor models: A minimum entropy approach. Zbl 05309105
Jacobs, Jan P. A. M.; Otter, Pieter W.
3
2008
Large-deviations theory and empirical estimator choice. Zbl 1152.62018
Grendár, Marian; Judge, George
2
2008
A generalized cross-entropy approach for modeling spatially correlated counts. Zbl 1140.62004
Bhati, Avinash Singh
2
2008
A composite generalized cross-entropy formulation in small samples estimation. Zbl 1140.62005
Papalia, R. Bernardini
2
2008
Finite sample performance in cointegration analysis of nonlinear time series with long memory. Zbl 1359.91027
Gonçalves da Silva, Afonso; Robinson, Peter M.
1
2008
Entropy-based moment selection in the presence of weak identification. Zbl 05309106
Hall, Alastair R.; Inoue, Atsushi; Shin, Changmock
1
2008
Bayesian analysis of DSGE models. Zbl 1112.62015
An, Sungbae; Schorfheide, Frank
69
2007
MIDAS regressions: further results and new directions. Zbl 1108.62092
Ghysels, Eric; Sinko, Arthur; Valkanov, Rossen
34
2007
Asymptotic and bootstrap inference for AR(\(\infty\)) processes with conditional heteroskedasticity. Zbl 1126.62079
Gonçalves, Sílvia; Kilian, Lutz
27
2007
Bayesian clustering of many GARCH models. Zbl 1112.62016
Bauwens, L.; Rombouts, J. V. K.
12
2007
Normalization in econometrics. Zbl 1112.62135
Hamilton, James D.; Waggoner, Daniel F.; Zha, Tao
10
2007
Forecast combination and model averaging using predictive measures. Zbl 1112.62020
Eklund, Jana; Karlsson, Sune
8
2007
Forecasting performance of an open economy DSGE model. Zbl 1112.62133
Adolfson, Malin; Lindé, Jesper; Villani, Mattias
7
2007
Bayesian analysis of DSGE models: some comments. Zbl 1193.62181
Adolfson, Malin; Lindé, Jesper; Villani, Mattias
4
2007
Bayesian analysis of DSGE models – rejoinder. Zbl 1193.62182
An, Sungbae; Schorfheide, Frank
4
2007
Flexible threshold models for modelling interest rate volatility. Zbl 1112.62117
Dellaportas, Petros; Denison, David G. T.; Holmes, Chris
4
2007
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Cited by 3,399 Authors

40 McAleer, Michael
29 Taylor, A. M. Robert
27 Cavaliere, Giuseppe
26 Cribari-Neto, Francisco
19 Politis, Dimitris Nicolas
19 Rachev, Svetlozar T.
16 White, Halbert Lynn jun.
15 Cordeiro, Gauss Moutinho
15 Lee, Lung-Fei
15 Phillips, Peter Charles Bonest
15 Westerlund, Joakim
14 Ferrari, Silvia Lopes de Paula
14 Gourieroux, Christian
14 Pesaran, M. Hashem
14 Shin, Dongwan
14 Tsionas, Efthymios G.
13 Asai, Manabu
13 Bollerslev, Tim
13 Ghysels, Eric
13 Mittnik, Stefan
12 Maasoumi, Esfandiar
12 Sentana, Enrique
11 Baltagi, Badi H.
11 Franses, Philip Hans
11 Linton, Oliver Bruce
11 Lütkepohl, Helmut
11 Saikkonen, Pentti
10 Demetrescu, Matei
10 Hall, Alastair R.
10 Horváth, Lajos
10 Kozubowski, Tomasz J.
10 Kumbhakar, Subal C.
10 Park, Joon Y.
10 Rahbek, Anders
9 Barnett, William A.
9 del Barrio Castro, Tomas
9 Dufour, Jean-Marie
9 Godfrey, Leslie G.
9 Hafner, Christian Matthias
9 Harvey, David I.
9 Kapetanios, George
9 Lahiri, Soumendra Nath
9 Leybourne, Stephen J.
9 Martin, Gael M.
9 Medeiros, Marcelo C.
9 Meintanis, Simos G.
9 Panorska, Anna K.
9 Renault, Eric
9 Ullah, Aman
8 Abadir, Karim M.
8 Escanciano, Juan Carlos
8 Fiorentini, Gabriele
8 Hassler, Uwe
8 Inoue, Atsushi
8 Kerstens, Kristiaan
8 King, Maxwell Leslie
8 Li, Qi
8 Nordman, Daniel J.
8 Rodrigues, Paulo M. M.
8 Shukur, Ghazi
8 So, Mike K. P.
8 Tzavalis, Elias
8 Zeileis, Achim
7 Bekiros, Stelios D.
7 Bera, Anil K.
7 Boswijk, H. Peter
7 Breitung, Jorg
7 Chang, Yoosoon
7 Clark, Todd E.
7 Corradi, Valentina
7 Georgiev, Iliyan
7 Gonçalves, Sílvia
7 Gospodinov, Nikolay
7 Heun Song, Seuck
7 Hong, Yongmiao
7 Kilian, Lutz
7 Kokoszka, Piotr S.
7 Lee, Sangyeol
7 Lemonte, Artur José
7 Palm, Franz C.
7 Patton, Andrew J.
7 Perron, Pierre
7 Prucha, Ingmar R.
7 Rombouts, Jeroen V. K.
7 Serletis, Apostolos
7 Shephard, Neil
7 Swanson, Norman Rasmus
7 Wang, Lihong
7 Xiao, Zhijie
7 Xu, Keli
7 Yamagata, Takashi
7 Zumbach, Gilles O.
6 Bravo, Francesco
6 Chan, Felix T. S.
6 Chen, Cathy W. S.
6 Davidson, Russell
6 de Jong, Robert M.
6 Escobar, Marcos
6 Fernandes, Marcelo
6 Forsyth, Peter A.
...and 3,299 more Authors
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Cited in 227 Journals

594 Journal of Econometrics
145 Computational Statistics and Data Analysis
144 Econometric Theory
143 Economics Letters
138 Econometric Reviews
94 Journal of Economic Dynamics & Control
81 Communications in Statistics. Theory and Methods
69 Journal of Time Series Analysis
68 Journal of Statistical Computation and Simulation
67 Quantitative Finance
60 European Journal of Operational Research
47 Journal of Statistical Planning and Inference
47 Journal of Applied Statistics
45 Communications in Statistics. Simulation and Computation
43 Mathematics and Computers in Simulation
41 Statistics & Probability Letters
40 Statistical Papers
39 Journal of Multivariate Analysis
35 The Econometrics Journal
28 Mathematical and Computer Modelling
28 Computational Statistics
26 The Annals of Statistics
18 Annals of the Institute of Statistical Mathematics
17 Journal of the Korean Statistical Society
17 Journal of Time Series Econometrics
16 Journal of Nonparametric Statistics
14 Computational Economics
14 Statistical Methods and Applications
13 Annals of Operations Research
12 Open Economies Review
12 Bernoulli
12 International Journal of Theoretical and Applied Finance
12 Journal of Forecasting
11 Statistics
11 Test
10 Metrika
10 Chaos, Solitons and Fractals
10 Journal of Computational and Applied Mathematics
10 Insurance Mathematics & Economics
10 Applied Stochastic Models in Business and Industry
10 Asia-Pacific Financial Markets
10 Electronic Journal of Statistics
10 Statistics and Computing
9 Journal of the American Statistical Association
8 International Journal of Systems Science
8 Scandinavian Journal of Statistics
8 Physica D
8 Macroeconomic Dynamics
8 Journal of Systems Science and Complexity
8 AStA. Advances in Statistical Analysis
8 The Annals of Applied Statistics
8 Annals of Finance
7 Physica A
7 Applied Mathematics Letters
7 Chaos
7 Methodology and Computing in Applied Probability
7 Journal of Statistical Theory and Practice
7 Journal of Econometric Methods
6 Metron
6 Stochastic Processes and their Applications
6 Applied Mathematical Finance
6 Science China. Mathematics
5 The Canadian Journal of Statistics
5 Studies in Nonlinear Dynamics and Econometrics
5 AStA. Allgemeines Statistisches Archiv
5 Statistical Modelling
5 Entropy
4 Journal of Computational Physics
4 Psychometrika
4 Applied Mathematics and Computation
4 Acta Mathematicae Applicatae Sinica. English Series
4 Statistical Science
4 Neural Computation
4 The Annals of Applied Probability
4 Linear Algebra and its Applications
4 Mathematical Finance
4 Australian & New Zealand Journal of Statistics
4 Statistical Inference for Stochastic Processes
4 Journal of Economic Growth
4 Brazilian Journal of Probability and Statistics
4 Review of Derivatives Research
4 Statistical Methodology
4 SIAM Journal on Financial Mathematics
4 Sankhyā. Series B
4 Journal of the Japan Statistical Society. Japanese Issue
3 Computers & Mathematics with Applications
3 Journal of Mathematical Analysis and Applications
3 Lithuanian Mathematical Journal
3 Biometrics
3 Fuzzy Sets and Systems
3 Information Sciences
3 International Economic Review
3 Kybernetika
3 Statistica Sinica
3 Complexity
3 Mathematical Problems in Engineering
3 Finance and Stochastics
3 Discrete Dynamics in Nature and Society
3 Communications in Nonlinear Science and Numerical Simulation
3 CEJOR. Central European Journal of Operations Research
...and 127 more Journals
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Cited in 37 Fields

2,320 Statistics (62-XX)
885 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
395 Numerical analysis (65-XX)
238 Probability theory and stochastic processes (60-XX)
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17 Information and communication theory, circuits (94-XX)
11 Geophysics (86-XX)
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5 General and overarching topics; collections (00-XX)
5 History and biography (01-XX)
5 Harmonic analysis on Euclidean spaces (42-XX)
4 Special functions (33-XX)
4 Partial differential equations (35-XX)
4 Statistical mechanics, structure of matter (82-XX)
3 Mechanics of deformable solids (74-XX)
2 Number theory (11-XX)
2 Measure and integration (28-XX)
2 Integral transforms, operational calculus (44-XX)
2 Calculus of variations and optimal control; optimization (49-XX)
2 Differential geometry (53-XX)
2 Fluid mechanics (76-XX)
1 Mathematical logic and foundations (03-XX)
1 Several complex variables and analytic spaces (32-XX)
1 Approximations and expansions (41-XX)
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