| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A General Framework for Testing the Granger Noncausality Hypothesis |
0 |
0 |
0 |
0 |
0 |
1 |
7 |
498 |
| A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model |
0 |
0 |
0 |
86 |
0 |
1 |
10 |
265 |
| A Review of PC-GIVE: A Statistical Package for Econometric Modelling |
0 |
0 |
0 |
4 |
0 |
0 |
4 |
18 |
| A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market |
0 |
1 |
1 |
57 |
0 |
3 |
14 |
185 |
| A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market |
0 |
0 |
1 |
100 |
0 |
1 |
12 |
153 |
| A Time Series Model for an Exchange Rate in a Target Zone with Applications |
0 |
0 |
0 |
324 |
0 |
0 |
6 |
897 |
| A general framework for testing the Granger noncausality hypothesis |
0 |
0 |
0 |
258 |
0 |
0 |
24 |
958 |
| A new GARCH model with a deterministic time-varying intercept |
0 |
1 |
1 |
28 |
0 |
2 |
16 |
35 |
| A nonlinear time series model of El Niño |
0 |
0 |
0 |
27 |
0 |
0 |
14 |
1,112 |
| A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model |
0 |
0 |
1 |
106 |
0 |
1 |
16 |
67 |
| A simple nonlinear time series model with misleading linear properties |
0 |
0 |
0 |
20 |
0 |
0 |
12 |
1,226 |
| A simple variable selection technique for nonlinear models |
0 |
0 |
0 |
7 |
0 |
0 |
6 |
463 |
| A simple variable selection technique for nonlinear models |
0 |
0 |
0 |
59 |
0 |
0 |
7 |
1,823 |
| A time series model for an exchange rate in a target zone with applications |
0 |
0 |
0 |
225 |
0 |
0 |
15 |
851 |
| An Extended Constant Conditional Correlation GARCH Model and Its Fourth-Moment Structure |
0 |
0 |
0 |
161 |
0 |
0 |
11 |
1,255 |
| An application of the analogy between vector ARCH and vector random coefficient autoregressive models |
0 |
0 |
0 |
275 |
0 |
0 |
8 |
714 |
| An introduction to univariate GARCH models |
0 |
1 |
3 |
2,505 |
0 |
3 |
22 |
4,860 |
| Another Look at Swedish Business Cycles, 1861-1988 |
0 |
0 |
0 |
346 |
0 |
2 |
25 |
1,307 |
| Another Look at Swedish Business Cycles, 1861-1988 |
0 |
0 |
0 |
26 |
0 |
2 |
12 |
341 |
| Building Neural Network Models for Time Series: A Statistical Approach |
0 |
0 |
0 |
1,106 |
0 |
0 |
12 |
2,650 |
| Building neural network models for time series: A statistical approach |
0 |
0 |
0 |
2,763 |
1 |
3 |
10 |
6,858 |
| Common Factors in Conditional Distributions |
0 |
0 |
0 |
7 |
0 |
0 |
8 |
61 |
| Common factors in conditional distributions |
0 |
0 |
0 |
223 |
0 |
0 |
11 |
1,089 |
| Common factors in conditional distributions for Bivariate time series |
0 |
0 |
0 |
1 |
0 |
0 |
11 |
14 |
| Common factors in conditional distributions for Bivariate time series |
0 |
0 |
0 |
240 |
0 |
0 |
9 |
616 |
| Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model |
0 |
0 |
0 |
28 |
0 |
1 |
10 |
53 |
| Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model |
0 |
0 |
1 |
17 |
0 |
0 |
8 |
52 |
| Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model |
0 |
0 |
0 |
47 |
0 |
1 |
26 |
78 |
| Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations |
0 |
0 |
0 |
64 |
0 |
1 |
12 |
184 |
| Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations |
0 |
0 |
0 |
76 |
0 |
0 |
9 |
210 |
| Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model |
0 |
0 |
0 |
46 |
0 |
1 |
12 |
154 |
| Determining the Number of Regimes in a Threshold Autoregressive Model Using Smooth Transition Autoregressions |
0 |
0 |
0 |
721 |
0 |
0 |
18 |
1,411 |
| Error correction in DHSY |
0 |
0 |
0 |
213 |
0 |
0 |
8 |
639 |
| Evaluating GARCH Models |
0 |
0 |
1 |
816 |
0 |
1 |
13 |
1,398 |
| Evaluating GARCH models |
0 |
0 |
0 |
324 |
0 |
0 |
9 |
2,113 |
| Evaluating models of autoregressive conditional duration |
0 |
0 |
1 |
733 |
0 |
1 |
9 |
1,539 |
| Financial sector and output dynamics in the euro area countries |
0 |
0 |
0 |
4 |
0 |
0 |
7 |
37 |
| Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques |
0 |
1 |
2 |
353 |
1 |
3 |
20 |
652 |
| Forecasting economic variables with nonlinear models |
0 |
0 |
0 |
899 |
0 |
1 |
40 |
1,919 |
| Forecasting inflation with gradual regime shifts and exogenous information |
0 |
0 |
0 |
93 |
0 |
1 |
8 |
233 |
| Forecasting inflation with gradual regime shifts and exogenous information |
0 |
0 |
0 |
298 |
1 |
3 |
12 |
589 |
| Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009 |
0 |
0 |
0 |
157 |
0 |
2 |
10 |
259 |
| Forecasting the Outputof Finnish Forest Industries Using Business Survey Data |
0 |
0 |
0 |
2 |
0 |
0 |
4 |
14 |
| Forecasting with nonlinear time series models |
0 |
0 |
0 |
696 |
0 |
0 |
9 |
1,435 |
| Forecasting with smooth transition autoregressive models |
0 |
0 |
0 |
62 |
0 |
1 |
5 |
1,538 |
| Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model |
0 |
0 |
1 |
96 |
0 |
3 |
21 |
86 |
| Fourth Moment Structure of a Family of First-Order Exponential GARCH Models |
0 |
0 |
0 |
49 |
0 |
3 |
12 |
1,006 |
| Fourth Moment Structure of a Family of First-Order Exponential GARCH Models |
0 |
0 |
0 |
0 |
1 |
3 |
25 |
280 |
| Fourth Moment Structure of the GARCH (p, q) Process |
0 |
0 |
0 |
81 |
1 |
1 |
9 |
1,397 |
| Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis |
0 |
0 |
0 |
98 |
0 |
2 |
15 |
156 |
| Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis |
0 |
0 |
0 |
64 |
0 |
0 |
9 |
60 |
| Higher-order dependence in the general Power ARCH process and a special case |
0 |
0 |
0 |
237 |
1 |
3 |
9 |
998 |
| How to Use Preliminary Values in Forecasting the Monthly Index of Industrial Production? |
0 |
0 |
0 |
1 |
0 |
0 |
8 |
25 |
| Investigating Stability and Linearity of a German M1 Money Demand Function |
0 |
0 |
0 |
69 |
0 |
0 |
8 |
408 |
| Investigating Stability and Linearity of a German M1 Money Demand Function |
0 |
0 |
0 |
62 |
1 |
1 |
12 |
1,698 |
| Labour Hoarding Over the Business Cycle: Testing the Quadratic Adjustment Cost Hypothesis |
0 |
0 |
0 |
2 |
0 |
1 |
5 |
24 |
| Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination |
0 |
0 |
0 |
767 |
1 |
2 |
21 |
1,505 |
| Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination |
0 |
0 |
0 |
240 |
0 |
3 |
15 |
1,513 |
| Linearity and Misspecification Tests for Vector Smooth Transition Regression Models |
0 |
0 |
0 |
339 |
1 |
3 |
16 |
375 |
| Linearity and misspecification tests for vector smooth transition regression models |
0 |
0 |
0 |
31 |
1 |
2 |
6 |
86 |
| Long Monthly European Temperature Series and the North Atlantic Oscillation |
0 |
0 |
0 |
62 |
1 |
2 |
16 |
56 |
| Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model |
0 |
0 |
0 |
69 |
0 |
0 |
10 |
106 |
| Modelling Changes in the Unconditional Variance of Long Stock Return Series |
0 |
0 |
0 |
108 |
0 |
2 |
14 |
277 |
| Modelling Changes in the Unconditional Variance of Long Stock Return Series |
0 |
0 |
0 |
97 |
0 |
0 |
6 |
263 |
| Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure |
0 |
0 |
1 |
167 |
1 |
1 |
12 |
377 |
| Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure |
0 |
0 |
0 |
210 |
0 |
1 |
16 |
786 |
| Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure |
0 |
0 |
0 |
71 |
0 |
2 |
21 |
234 |
| Modelling Economic High-Frequency Time Series |
0 |
0 |
0 |
296 |
0 |
0 |
5 |
770 |
| Modelling Economic Relationships with Smooth Transition Regressions |
0 |
0 |
0 |
9 |
3 |
11 |
70 |
5,019 |
| Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model |
0 |
0 |
1 |
197 |
0 |
4 |
24 |
443 |
| Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model |
0 |
0 |
0 |
304 |
0 |
3 |
21 |
1,254 |
| Modelling Volatility by Variance Decomposition |
0 |
1 |
1 |
117 |
0 |
1 |
12 |
272 |
| Modelling Volatility by Variance Decomposition |
0 |
0 |
0 |
184 |
0 |
1 |
10 |
460 |
| Modelling and forecasting WIG20 daily returns |
0 |
0 |
1 |
35 |
0 |
2 |
14 |
112 |
| Modelling and forecasting WIG20 daily returns |
0 |
0 |
1 |
18 |
0 |
0 |
19 |
83 |
| Modelling asymmetries and moving equilibria in unemployment rates |
0 |
0 |
0 |
77 |
0 |
0 |
10 |
1,426 |
| Modelling autoregressive processes with a shifting mean |
0 |
0 |
0 |
102 |
0 |
2 |
11 |
294 |
| Modelling autoregressive processes with a shifting mean |
0 |
0 |
0 |
88 |
0 |
1 |
10 |
221 |
| Modelling autoregressive processes with a shifting mean |
0 |
0 |
0 |
89 |
0 |
2 |
16 |
605 |
| Modelling conditional correlations of asset returns: A smooth transition approach |
0 |
0 |
1 |
269 |
0 |
0 |
9 |
562 |
| Modelling economic high-frequency time series with STAR-STGARCH models |
0 |
0 |
0 |
1,026 |
0 |
3 |
13 |
2,940 |
| Modelling the Demand for M3 in the Unified Germany |
0 |
0 |
0 |
53 |
0 |
1 |
13 |
346 |
| Modelling the Demand for M3 in the unified Germany |
0 |
0 |
0 |
0 |
0 |
0 |
13 |
1,072 |
| Models with Multiplicative Decomposition of Conditional Variances and Correlations |
0 |
0 |
0 |
53 |
0 |
2 |
8 |
131 |
| Models with Multiplicative Decomposition of Conditional Variances and Correlations |
0 |
0 |
1 |
37 |
1 |
2 |
14 |
154 |
| Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations |
0 |
0 |
0 |
424 |
0 |
3 |
11 |
1,120 |
| Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations |
0 |
0 |
1 |
256 |
1 |
2 |
11 |
617 |
| Multivariate GARCH models |
0 |
0 |
1 |
455 |
0 |
3 |
14 |
1,217 |
| Multivariate GARCH models |
0 |
0 |
2 |
818 |
1 |
4 |
37 |
1,766 |
| Nonlinear error-correction and the UK demand for broad money, 1878-1993 |
0 |
0 |
0 |
74 |
0 |
2 |
8 |
1,114 |
| Nonlinear models for autoregressive conditional heteroskedasticity |
0 |
0 |
1 |
157 |
1 |
3 |
14 |
310 |
| Nonlinear models in macroeconometrics |
0 |
0 |
2 |
382 |
0 |
1 |
18 |
184 |
| Panel Smooth Transition Regression Models |
1 |
10 |
49 |
3,302 |
14 |
56 |
304 |
10,155 |
| Panel Smooth Transition Regression Models |
1 |
1 |
6 |
850 |
3 |
7 |
57 |
2,550 |
| Panel Smooth Transition Regression Models |
0 |
1 |
5 |
258 |
0 |
12 |
48 |
976 |
| Parameterizing Unconditional Skewness in Models for Financial Time Series |
0 |
0 |
0 |
234 |
0 |
2 |
14 |
663 |
| Parameterizing unconditional skewness in models for financial time series |
0 |
0 |
1 |
86 |
1 |
4 |
16 |
265 |
| Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models |
0 |
0 |
0 |
42 |
0 |
0 |
12 |
346 |
| Power Properties of Linearity Tests for Time Series |
0 |
0 |
0 |
0 |
0 |
0 |
9 |
932 |
| Properties of Moments of a Family of GARCH Processes |
0 |
0 |
0 |
203 |
1 |
3 |
11 |
1,423 |
| Properties of the Autocorrelation Function of Squared Observations for Second Order GARCH Processes under Two Sets of Parameter Constraints |
0 |
0 |
0 |
17 |
0 |
1 |
15 |
2,155 |
| Short-Term Forecasting of Industrial Production with Business Survey Data: Experience from Finland's Great Depression |
0 |
0 |
0 |
3 |
0 |
2 |
7 |
42 |
| Simulation-based finite-sample linearity test against smooth transition models |
0 |
0 |
0 |
121 |
0 |
0 |
9 |
828 |
| Sir Clive Granger's contributions to nonlinear time series and econometrics |
0 |
0 |
0 |
223 |
0 |
1 |
10 |
92 |
| Smooth Transition Autoregressive Models - A Survey of Recent Developments |
0 |
0 |
1 |
1,811 |
4 |
5 |
30 |
3,441 |
| Smooth Transition Models |
0 |
0 |
0 |
3 |
1 |
3 |
13 |
1,562 |
| Smooth transition autoregressive models - A survey of recent developments |
0 |
0 |
3 |
463 |
0 |
5 |
50 |
931 |
| Some results on improving the least squares estimation of linear models by mixed estimation |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
23 |
| Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications |
0 |
2 |
11 |
552 |
1 |
5 |
36 |
979 |
| Specification, estimation and evaluation of vector smooth transition autoregressive models with applications |
0 |
0 |
8 |
111 |
0 |
2 |
26 |
318 |
| Statistical Properties of the Asymmetric Power ARCH Process |
0 |
0 |
0 |
62 |
0 |
1 |
11 |
1,404 |
| Statistical methods for modelling neural networks |
0 |
0 |
0 |
850 |
0 |
5 |
16 |
2,223 |
| Stylized Facts of Daily Return Series and the Hidden Markov Model |
0 |
0 |
0 |
0 |
0 |
7 |
24 |
1,924 |
| Stylized Facts of Financial Time Series and Three Popular Models of Volatility |
0 |
0 |
0 |
876 |
2 |
3 |
39 |
3,075 |
| Stylized Facts of Return Series, Robust Estimates, and Three Popular Models of Volatility |
0 |
0 |
0 |
182 |
0 |
0 |
12 |
569 |
| THE NET BARTER TERMS OF TRADE: A SMOOTH TRANSITION APPROACH |
0 |
0 |
0 |
87 |
1 |
1 |
21 |
2,381 |
| Testing Linearity against Nonlinear Moving Average Models |
0 |
0 |
0 |
20 |
0 |
0 |
9 |
1,286 |
| Testing Linearity against Nonlinear Moving Average Models |
0 |
0 |
0 |
21 |
0 |
1 |
7 |
1,750 |
| Testing Linearity of Economic Time Series against Cyclical A symmetry |
0 |
0 |
0 |
6 |
0 |
0 |
4 |
32 |
| Testing Parameter Constancy In Linear Models Against Stochastic Stationary Parameters |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
113 |
| Testing Parameter Constancy and super Exogeneity in Econometric Equations |
0 |
0 |
0 |
1 |
0 |
1 |
9 |
1,165 |
| Testing Parameter Constancy in Linear Models against Stochastic Stationary Parameters |
0 |
0 |
0 |
0 |
1 |
1 |
10 |
807 |
| Testing constancy of the error covariance matrix in vector models |
0 |
0 |
0 |
223 |
0 |
0 |
4 |
1,254 |
| Testing constancy of unconditional variance in volatility models by misspecification and specification tests |
0 |
0 |
0 |
23 |
0 |
1 |
9 |
57 |
| Testing constancy of unconditional variance in volatility models by misspecification and specification tests |
0 |
0 |
0 |
72 |
0 |
0 |
8 |
114 |
| Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model |
0 |
0 |
0 |
415 |
0 |
2 |
11 |
1,068 |
| Testing parameter constancy in stationary vector autoregressive models against continuous change |
0 |
0 |
0 |
365 |
0 |
0 |
8 |
1,642 |
| Testing parametric additive time-varying GARCH models |
1 |
1 |
9 |
9 |
2 |
3 |
22 |
22 |
| Testing the Adequacy of Smooth Transition Autoregressive Models |
0 |
0 |
0 |
0 |
0 |
2 |
74 |
1,545 |
| Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form |
0 |
0 |
0 |
0 |
0 |
1 |
8 |
35 |
| Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form |
0 |
0 |
0 |
177 |
1 |
1 |
11 |
509 |
| Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form |
0 |
0 |
0 |
112 |
0 |
0 |
7 |
246 |
| The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016 |
0 |
0 |
1 |
32 |
0 |
1 |
11 |
71 |
| The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series |
0 |
0 |
0 |
11 |
0 |
1 |
11 |
104 |
| The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series |
0 |
0 |
0 |
204 |
0 |
0 |
8 |
975 |
| The polynomial distributed lag revisited |
0 |
0 |
0 |
5 |
0 |
0 |
6 |
26 |
| Thresholds and Smooth Transitions in Vector Autoregressive Models |
0 |
0 |
4 |
884 |
0 |
2 |
38 |
1,737 |
| Time-Varying Smooth Transition Autoregressive Models |
0 |
0 |
0 |
175 |
0 |
0 |
18 |
2,161 |
| Transition from the Taylor rule to the zero lower bound |
0 |
0 |
2 |
42 |
0 |
0 |
8 |
119 |
| Two Stylized Facts and the Garch (1,1) Model |
0 |
0 |
0 |
0 |
0 |
1 |
13 |
1,920 |
| Unit roots, nonlinearities and structural breaks |
0 |
0 |
0 |
290 |
2 |
4 |
12 |
516 |
| Univariate nonlinear time series models |
0 |
0 |
0 |
271 |
0 |
0 |
9 |
1,264 |
| Total Working Papers |
3 |
20 |
127 |
36,737 |
53 |
271 |
2,378 |
136,826 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model |
0 |
0 |
0 |
3 |
0 |
1 |
14 |
36 |
| A Note on Bias in the Almon Distributed Lag Estimator |
0 |
0 |
0 |
102 |
0 |
0 |
5 |
342 |
| A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model |
0 |
0 |
0 |
3 |
0 |
2 |
6 |
14 |
| A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market |
0 |
0 |
1 |
23 |
0 |
1 |
12 |
105 |
| A sequential procedure for determining the number of regimes in a threshold autoregressive model |
0 |
0 |
0 |
64 |
0 |
1 |
16 |
287 |
| A simple nonlinear time series model with misleading linear properties |
0 |
1 |
1 |
260 |
1 |
3 |
14 |
551 |
| A time series model for an exchange rate in a target zone with applications |
0 |
0 |
0 |
121 |
0 |
0 |
9 |
368 |
| AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE |
0 |
0 |
0 |
36 |
1 |
2 |
12 |
137 |
| Another Look at Swedish Business Cycles, 1861-1988 |
0 |
0 |
0 |
213 |
0 |
1 |
15 |
621 |
| Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks |
0 |
0 |
0 |
7 |
1 |
1 |
9 |
30 |
| Building neural network models for time series: a statistical approach |
0 |
0 |
0 |
530 |
2 |
5 |
20 |
1,187 |
| Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models |
2 |
2 |
3 |
950 |
2 |
5 |
23 |
2,028 |
| Comments on N. R. Ericsson, D. F. Hendry and K.M. Prestwich, “The Demand for Broad Money in the United Kingdom, 1878–1993” |
0 |
0 |
0 |
2 |
1 |
1 |
5 |
13 |
| Common factors in conditional distributions for bivariate time series |
0 |
0 |
0 |
109 |
0 |
2 |
9 |
302 |
| Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model |
0 |
0 |
0 |
4 |
0 |
0 |
6 |
25 |
| Comprehensively testing linearity hypothesis using the smooth transition autoregressive model |
0 |
0 |
1 |
6 |
0 |
2 |
6 |
15 |
| Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations |
0 |
0 |
0 |
18 |
0 |
2 |
10 |
97 |
| Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model |
0 |
0 |
0 |
1 |
0 |
2 |
22 |
26 |
| Evaluating GARCH models |
0 |
0 |
4 |
317 |
0 |
3 |
23 |
682 |
| Evaluating Models of Autoregressive Conditional Duration |
0 |
0 |
1 |
108 |
0 |
0 |
8 |
256 |
| FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS |
0 |
0 |
0 |
38 |
0 |
1 |
11 |
96 |
| Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques |
0 |
0 |
1 |
20 |
0 |
1 |
14 |
74 |
| Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009 |
0 |
0 |
0 |
38 |
1 |
4 |
13 |
137 |
| Forecasting the Finnish Consumer Price Inflation Using Artificial Neural Network Models and Three Automated Model Selection Techniques |
0 |
0 |
0 |
47 |
0 |
0 |
17 |
133 |
| Forecasting the consumption of alcoholic beverages in Finland: A box-Jenkins approach |
0 |
0 |
0 |
29 |
1 |
1 |
6 |
117 |
| Formation of Firms' Production Decisions in Finnish Manufacturing Industries |
0 |
0 |
0 |
13 |
0 |
0 |
4 |
162 |
| Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis |
0 |
0 |
0 |
13 |
0 |
0 |
10 |
48 |
| INTRODUCTION TO THE SPECIAL ISSUE: NONLINEAR MODELING OF MULTIVARIATE MACROECONOMIC RELATIONS |
0 |
0 |
2 |
17 |
0 |
1 |
7 |
66 |
| Investigating Stability and Linearity of a German M1 Money Demand Function |
0 |
0 |
1 |
322 |
0 |
3 |
22 |
914 |
| Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination |
0 |
0 |
2 |
302 |
0 |
3 |
17 |
672 |
| Long memory and nonlinear time series |
0 |
0 |
0 |
81 |
0 |
0 |
6 |
209 |
| Long monthly European temperature series and the North Atlantic Oscillation |
0 |
0 |
0 |
5 |
2 |
3 |
17 |
29 |
| Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model |
0 |
0 |
0 |
2 |
0 |
1 |
4 |
9 |
| MINK AND MUSKRAT INTERACTION:A STRUCTURAL ANALYSIS |
0 |
0 |
0 |
2 |
3 |
3 |
7 |
17 |
| MODELING ASYMMETRIES AND MOVING EQUILIBRIA IN UNEMPLOYMENT RATES |
0 |
0 |
0 |
113 |
0 |
0 |
12 |
379 |
| MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS |
0 |
0 |
0 |
95 |
1 |
2 |
13 |
195 |
| Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach |
0 |
1 |
1 |
44 |
0 |
5 |
17 |
125 |
| Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model |
0 |
1 |
2 |
162 |
0 |
2 |
21 |
431 |
| Modeling The Demand For M3 In The Unified Germany |
0 |
0 |
0 |
143 |
0 |
1 |
11 |
431 |
| Modelling Autoregressive Processes with a Shifting Mean |
0 |
0 |
0 |
103 |
0 |
2 |
11 |
281 |
| Modelling Nonlinearity in U.S. Gross National Product 1889-1987 |
0 |
0 |
0 |
0 |
0 |
2 |
14 |
1,297 |
| Modelling and Forecasting WIG20 Daily Returns |
0 |
0 |
0 |
11 |
0 |
3 |
18 |
92 |
| Modelling changes in the unconditional variance of long stock return series |
0 |
0 |
1 |
43 |
0 |
2 |
18 |
162 |
| Modelling volatility by variance decomposition |
0 |
2 |
4 |
91 |
0 |
6 |
23 |
333 |
| Non-linear error correction and the UK demand for broad money, 1878-1993 |
0 |
0 |
0 |
288 |
1 |
1 |
10 |
674 |
| POWER OF THE NEURAL NETWORK LINEARITY TEST |
2 |
9 |
30 |
149 |
4 |
19 |
91 |
308 |
| Parameterizing Unconditional Skewness in Models for Financial Time Series |
0 |
0 |
0 |
28 |
0 |
2 |
22 |
125 |
| Positivity constraints on the conditional variances in the family of conditional correlation GARCH models |
1 |
1 |
1 |
56 |
1 |
3 |
19 |
211 |
| Power Properties of Linearity Tests for Time Series |
0 |
0 |
0 |
169 |
0 |
0 |
12 |
396 |
| Professor Clive W.J. Granger: An interview for the International Journal of Forecasting |
0 |
0 |
0 |
58 |
1 |
2 |
6 |
122 |
| Properties of moments of a family of GARCH processes |
1 |
1 |
1 |
277 |
2 |
2 |
39 |
605 |
| Properties of the Autocorrelation Function of Squared Observations for Second‐order Garch Processes Under Two Sets of Parameter Constraints |
0 |
0 |
0 |
2 |
0 |
1 |
14 |
30 |
| Reply |
0 |
0 |
0 |
24 |
0 |
0 |
9 |
101 |
| SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS |
0 |
0 |
4 |
2,458 |
0 |
4 |
49 |
4,833 |
| Short-term forecasting of industrial production with business survey data: experience from Finland's great depression 1990-1993 |
0 |
0 |
0 |
33 |
0 |
1 |
17 |
133 |
| Simulation‐based Finite Sample Linearity Test against Smooth Transition Models* |
0 |
0 |
0 |
115 |
0 |
0 |
16 |
343 |
| Sir Clive William John Granger, 1934-2009 |
0 |
0 |
0 |
16 |
2 |
2 |
6 |
105 |
| Specification and testing of multiplicative time-varying GARCH models with applications |
0 |
0 |
0 |
30 |
1 |
3 |
13 |
97 |
| Stylized facts of daily return series and the hidden Markov model |
1 |
4 |
5 |
444 |
4 |
15 |
26 |
1,087 |
| Stylized facts of return series, robust estimates and three popular models of volatility |
0 |
1 |
2 |
68 |
0 |
3 |
17 |
185 |
| Testing Parameter Constancy and Super Exogeneity in Econometric Equations |
0 |
0 |
0 |
1 |
0 |
2 |
12 |
489 |
| Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change |
0 |
0 |
0 |
139 |
0 |
0 |
17 |
407 |
| Testing constancy of the error covariance matrix in vector models |
0 |
0 |
0 |
70 |
0 |
0 |
7 |
197 |
| Testing constancy of unconditional variance in volatility models by misspecification and specification tests |
0 |
0 |
0 |
11 |
0 |
2 |
18 |
74 |
| Testing for volatility interactions in the Constant Conditional Correlation GARCH model |
0 |
0 |
0 |
177 |
0 |
0 |
9 |
623 |
| Testing parameter constancy in linear models against stochastic stationary parameters |
0 |
0 |
0 |
38 |
0 |
1 |
7 |
143 |
| Testing the adequacy of smooth transition autoregressive models |
0 |
0 |
1 |
672 |
2 |
4 |
20 |
1,306 |
| Testing the constancy of regression parameters against continuous structural change |
0 |
0 |
0 |
400 |
0 |
1 |
9 |
929 |
| The Effect of the North Atlantic Oscillation on Monthly Precipitation in Selected European Locations: A Non‐Linear Time Series Approach |
0 |
0 |
0 |
1 |
1 |
2 |
13 |
18 |
| The International Institute of Forecasters Award for the Best Forecasting Paper |
0 |
0 |
0 |
13 |
0 |
0 |
7 |
80 |
| The Polynomial Distributed Lag Revisited |
0 |
0 |
0 |
0 |
1 |
1 |
6 |
386 |
| The combination of forecasts using changing weights |
0 |
0 |
1 |
380 |
0 |
0 |
9 |
770 |
| The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series |
0 |
0 |
0 |
84 |
0 |
1 |
10 |
478 |
| The extended Stein procedure for simultaneous model selection and parameter estimation |
0 |
0 |
0 |
43 |
0 |
2 |
7 |
156 |
| The net barter terms of trade: A smooth transition approach |
0 |
0 |
0 |
290 |
0 |
0 |
5 |
1,492 |
| The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016 |
0 |
0 |
0 |
7 |
0 |
3 |
13 |
42 |
| Time-Varying Smooth Transition Autoregressive Models |
0 |
0 |
0 |
8 |
0 |
1 |
18 |
1,703 |
| Transition from the Taylor rule to the zero lower bound |
0 |
0 |
2 |
7 |
0 |
2 |
19 |
33 |
| Underestimation of mean square error matrix in misspecified linear models |
0 |
0 |
0 |
10 |
0 |
0 |
12 |
77 |
| Use of preliminary values in forecasting industrial production |
0 |
0 |
0 |
20 |
0 |
0 |
5 |
97 |
| Usefulness of proxy variables in linear models with stochastic regressors |
0 |
0 |
0 |
18 |
0 |
1 |
13 |
86 |
| Working With Clive Granger: Two Short Memories |
0 |
0 |
0 |
47 |
0 |
0 |
4 |
92 |
| Total Journal Articles |
7 |
23 |
72 |
11,262 |
36 |
161 |
1,163 |
32,564 |
LogEc is hosted by the
Örebro University School of Business.