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 21-30 of 43 total displayed.

Past content

Articles
A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data

Peter Reinhard Hansen and Asger Lunde
J. Financial Econometrics 2005; 3: 525-554. [Abstract] [Full text] [PDF]  

Articles
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes

Roel C. A. Oomen
J. Financial Econometrics 2005; 3: 555-577. [Abstract] [Full text] [PDF]  

Articles
The Accuracy of Density Forecasts from Foreign Exchange Options

Peter Christoffersen and Stefano Mazzotta
J. Financial Econometrics 2005; 3: 578-605. [Abstract] [Full text] [PDF]  

Articles
Autoregressive Conditional Kurtosis

Chris Brooks, Simon P. Burke, Saeed Heravi, and Gita Persand
J. Financial Econometrics 2005; 3: 399-421. [Abstract] [Full text] [PDF]  

Articles
The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification: A Monte Carlo Study

Guglielmo Maria Caporale, Christos Ntantamis, Theologos Pantelidis, and Nikitas Pittis
J. Financial Econometrics 2005; 3: 282-309. [Abstract] [Full text] [PDF]  

Articles
Profitability, capacity, and uncertainty: a model of UK manufacturing investment

Ciaran Driver, Paul Temple, and Giovanni Urga
Oxf. Econ. Pap. 2005; 57: 120-141. [Abstract] [Full text] [PDF]  

research-article
The Phillips Curve, the IS Curve and Monetary Transmission: Evidence for the US and the Euro Area

Charles Goodhart and Boris Hofmann
CESifo Economic Studies 2005; 51: 757-775. [Abstract] [PDF]  

ARTICLES
The conventional wage share vs. full employment: implications for the development of growth theory

Norman Sedgley and Bruce Elmslie
Camb. J. Econ. 2004; 28: 875-888. [Abstract] [Full text] [PDF]  

Articles
A New Approach to Markov-Switching GARCH Models

Markus Haas, Stefan Mittnik, and Marc S. Paolella
J. Financial Econometrics 2004; 2: 493-530. [Abstract] [Full text] [PDF]  

Articles
Stochastic Conditional Duration Models with "Leverage Effect" for Financial Transaction Data

Dingan Feng, George J. Jiang, and Peter X.-K. Song
J. Financial Econometrics 2004; 2: 390-421. [Abstract] [Full text] [PDF]  

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