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2“...Econometric Reviews, 26(2–4):113–172, 2007 Copyright © Taylor & Francis Group, LLC ISSN: 0747-4938 print/1532-4168 online DOI: 10.1080/07474930701220071 BA...”
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3by Ahmed, Nesreen K Atiya, Amir F Gayar, Neamat el El-Shishiny, Hisham Published in Econometric reviews (2010)“...In this work we present a large scale comparison study for the major machine learning models for time series forecasting. Specifically, we apply the models on...”
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4“...This article provides an overview of the existing literature on panel data models with error cross-sectional dependence (CSD). We distinguish between weak and...”
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5“...We explore mixed data sampling (henceforth MIDAS) regression models. The regressions involve time series data sampled at different frequencies. Volatility and...”
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6“...The aim of this article is to bring together different specifications for copula models with time-varying dependence structure. Copula models are widely used...”
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7“...This article reviews the exciting and rapidly expanding literature on realized volatility. After presenting a general univariate framework for estimating...”
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8by Corsi, Fulvio Mittnik, Stefan Pigorsch, Christian Pigorsch, Uta Published in Econometric reviews (19.02.2008)“...Econometric Reviews, 27(1–3):46–78, 2008 Copyright © Taylor & Francis Group, LLC ISSN: 0747-4938 print/1532-4168 online DOI: 10.1080/07474930701853616 THE VOLA...”
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9“...A correction on the optimal block size algorithms of Politis and White ( 2004 ) is given following a correction of Lahiri's (Lahiri 1999 ) theoretical results...”
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10by Alexandrov, Theodore Bianconcini, Silvia Dagum, Estela Bee Maass, Peter McElroy, Tucker S Published in Econometric reviews (01.11.2012)“...This article presents a review of some modern approaches to trend extraction for one-dimensional time series, which is one of the major tasks of time series...”
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11“...Various univariate and multivariate models of volatility have been used to evaluate market risk, asymmetric shocks, thresholds, leverage effects, and...”
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12“...We review the different block bootstrap methods for time series, and present them in a unified framework. We then revisit a recent result of Lahiri [Lahiri, S...”
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13“...It is widely known that significant in-sample evidence of predictability does not guarantee significant out-of-sample predictability. This is often interpreted...”
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14“...This article presents results concerning the performance of both single equation and system panel cointegration tests and estimators. The study considers the...”
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15“...The literature on multivariate stochastic volatility (MSV) models has developed significantly over the last few years. This paper reviews the substantial...”
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16by Gengenbach, Christian Palm, Franz C Urbain, Jean-Pierre Published in Econometric reviews (24.11.2009)“...Econometric Reviews, 29(2):111–145, 2010 Copyright © Taylor & Francis Group, LLC ISSN: 0747-4938 print/1532-4168 online DOI: 10.1080/07474930903382125 PANEL...”
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17by Breitung, Jörg Published in Econometric reviews (01.04.2005)“...In this article, a parametric framework for estimation and inference in cointegrated panel data models is considered that is based on a cointegrated VAR(p)...”
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18“...The challenge of the econometric problem in production efficiency analysis is that the efficiency scores to be analyzed are unobserved. Statistical properties...”
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19by Greene, William Published in Econometric reviews (31.12.2004)“...The maximum likelihood estimator (MLE) in nonlinear panel data models with fixed effects is widely understood (with a few exceptions) to be biased and...”
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20“...Econometric Reviews, 25(1):85–116, 2006 Copyright © Taylor & Francis Group, LLC ISSN: 0747-4938 print/1532-4168 online DOI: 10.1080/07474930500545504...”