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Tests for Skewness, Kurtosis, and Normality for Time Series Data

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Cited by:

  1. Farooq Anwar & Dr. Julian Paul Sidin, 2016. "Interactive Effects of Social Support and Incivility on Affective Commitment in Banking Sector of Pakistan," International Journal of Business and Administrative Studies, Professor Dr. Bahaudin G. Mujtaba, vol. 2(6), pages 213-224.
  2. Javier Alejo & Antonio Galvao & Gabriel Montes-Rojas & Walter Sosa-Escudero, 2015. "Tests for normality in linear panel-data models," Stata Journal, StataCorp LP, vol. 15(3), pages 822-832, September.
  3. Laurent Barras & Patrick Gagliardini & Olivier Scaillet, 2022. "Skill, Scale, and Value Creation in the Mutual Fund Industry," Journal of Finance, American Finance Association, vol. 77(1), pages 601-638, February.
  4. Angus Moore, 2017. "Measuring Economic Uncertainty and Its Effects," The Economic Record, The Economic Society of Australia, vol. 93(303), pages 550-575, December.
  5. repec:exl:29stat:v:20:y:2019:i:3:p:1-30 is not listed on IDEAS
  6. Kohlbrecher, Britta & Merkl, Christian, 2022. "Business cycle asymmetries and the labor market," Journal of Macroeconomics, Elsevier, vol. 73(C).
  7. Galbraith, John W. & van Norden, Simon, 2019. "Asymmetry in unemployment rate forecast errors," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1613-1626.
  8. Clements, Michael P., 2018. "Are macroeconomic density forecasts informative?," International Journal of Forecasting, Elsevier, vol. 34(2), pages 181-198.
  9. Görtz, Christoph & Yeromonahos, Mallory, 2022. "Asymmetries in risk premia, macroeconomic uncertainty and business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
  10. Tomas Kliestik & Alena Novak Sedlackova & Martin Bugaj & Andrej Novak, 2022. "Stability of profits and earnings management in the transport sector of Visegrad countries," Oeconomia Copernicana, Institute of Economic Research, vol. 13(2), pages 475-509, June.
  11. Esfandiar Maasoumi & Jeffrey Racine, 2009. "A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 246-261.
  12. Congressional Budget Office, 2022. "A Markov-Switching Model of the Unemployment Rate: Working Paper 2022-05," Working Papers 57582, Congressional Budget Office.
  13. Paul Beaudry & Dana Galizia & Franck Portier, 2020. "Putting the Cycle Back into Business Cycle Analysis," American Economic Review, American Economic Association, vol. 110(1), pages 1-47, January.
  14. Nicholas Bloom & Fatih Guvenen & Sergio Salgado, 2016. "Skewed Business Cycles," 2016 Meeting Papers 1621, Society for Economic Dynamics.
  15. Rossi, Barbara & Sekhposyan, Tatevik, 2019. "Alternative tests for correct specification of conditional predictive densities," Journal of Econometrics, Elsevier, vol. 208(2), pages 638-657.
  16. Antonello D’Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2016. "Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 569-594, Emerald Group Publishing Limited.
  17. Verma Vivek & Nath Dilip C., 2019. "Characterization Of The Sum Of Binomial Random Variables Under Ranked Set Sampling," Statistics in Transition New Series, Polish Statistical Association, vol. 20(3), pages 1-29, September.
  18. Moeti Damane, 2022. "Investigating the determinants of commercial bank interest rate spreads in Lesotho: Evidence from autoregressive distributed lag (ARDL) and non‐linear ARDL approaches," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4256-4278, October.
  19. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2020. "Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions," Working Papers 20-02R, Federal Reserve Bank of Cleveland, revised 22 Sep 2020.
  20. Delle-Monache, Davide & De-Polis, Andrea & Petrella, Ivan, 2020. "Modelling and Forecasting Macroeconomic Downside Risk," EMF Research Papers 34, Economic Modelling and Forecasting Group.
  21. Mohamed Boutahar, 2010. "Behaviour of skewness, kurtosis and normality tests in long memory data," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(2), pages 193-215, June.
  22. Vivek Verma & Dilip C. Nath, 2019. "Characterization Of The Sum Of Binomial Random Variables Under Ranked Set Sampling," Statistics in Transition New Series, Polish Statistical Association, vol. 20(3), pages 1-29, September.
  23. Syed Abul, Basher & Salem, Nechi & Hui, Zhu, 2014. "Dependence patterns across Gulf Arab stock markets: a copula approach," MPRA Paper 56566, University Library of Munich, Germany.
  24. Chacko George & Florian Kuhn, 2019. "Business Cycle Implications of Capacity Constraints under Demand Shocks," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 32, pages 94-121, April.
  25. Zacharias Psaradakis & Marian Vavra, 2017. "Normality Tests for Dependent Data," Working and Discussion Papers WP 12/2017, Research Department, National Bank of Slovakia.
  26. Peter Huber & Michael Pfaffermayr, 2007. "The Anatomy of the Firm Size Distribution: The Evolution of its Variance and Skewness," WIFO Working Papers 295, WIFO.
  27. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
  28. Djoko Roespinoedji & Roeshartono Roespinoedji & Mohammed R.A. Siam & Mohd Farid Shamsudin, 2019. "An Empirical Study on Short Term and Long-term Consequences of Crude Oil on Economic Wellbeing of Indonesia by Applying Autoregressive Distributed Lag Model," International Journal of Energy Economics and Policy, Econjournals, vol. 9(5), pages 474-480.
  29. Demetrescu, Matei & Kruse, Robinson, 2015. "Testing heteroskedastic time series for normality," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113221, Verein für Socialpolitik / German Economic Association.
  30. Matteo Grigoletto & Francesco Lisi, 2011. "Practical implications of higher moments in risk management," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 20(4), pages 487-506, November.
  31. Ötüken Senger, 2013. "Impact of Skewness on Statistical Power," Modern Applied Science, Canadian Center of Science and Education, vol. 7(8), pages 1-49, August.
  32. Makram El-Shagi & Sebastian Giesen, 2013. "Testing for Structural Breaks at Unknown Time: A Steeplechase," Computational Economics, Springer;Society for Computational Economics, vol. 41(1), pages 101-123, January.
  33. Gerrit B. Koester & Christoph Priesmeier, 2013. "Does Wagner´s Law Ruin the Sustainability of German Public Finances?," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 69(3), pages 256-288, September.
  34. Hagströmer, Björn & Anderson, Richard G. & Binner, Jane & Elger, Thomas & Nilsson, Birger, 2007. "Mean-Variance vs. Full-Scale Optimization: Broad Evidence for the UK," Working Papers 2008:1, Lund University, Department of Economics.
  35. Domenico Ferraro & Giuseppe Fiori, 2018. "The Scarring Effect of Asymmetric Business Cycles," 2018 Meeting Papers 283, Society for Economic Dynamics.
  36. Tanya Araujo & João Dias & Samuel Eleutério & Francisco Louçã, 2012. "How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market," Working Papers Department of Economics 2012/21, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
  37. Muammer Wali & Meher Manzur, 2013. "Exchange Rate Volatility Before and After the Float," The World Economy, Wiley Blackwell, vol. 36(8), pages 1091-1097, August.
  38. Maxand, Simone, 2020. "Identification of independent structural shocks in the presence of multiple Gaussian components," Econometrics and Statistics, Elsevier, vol. 16(C), pages 55-68.
  39. João Leitão & João Capucho, 2021. "Institutional, Economic, and Socio-Economic Determinants of the Entrepreneurial Activity of Nations," Administrative Sciences, MDPI, vol. 11(1), pages 1-32, March.
  40. Mr. Julio Escolano & Vitor Gaspar, 2016. "Optimal Debt Policy Under Asymmetric Risk," IMF Working Papers 2016/178, International Monetary Fund.
  41. Soberón, Alexandra & Stute, Winfried, 2017. "Assessing skewness, kurtosis and normality in linear mixed models," Journal of Multivariate Analysis, Elsevier, vol. 161(C), pages 123-140.
  42. Piotr Bórawski & Marek Bartłomiej Bórawski & Andrzej Parzonko & Ludwik Wicki & Tomasz Rokicki & Aleksandra Perkowska & James William Dunn, 2021. "Development of Organic Milk Production in Poland on the Background of the EU," Agriculture, MDPI, vol. 11(4), pages 1-25, April.
  43. Pierre Perron & Yohei Yamamoto & Jing Zhou, 2020. "Testing jointly for structural changes in the error variance and coefficients of a linear regression model," Quantitative Economics, Econometric Society, vol. 11(3), pages 1019-1057, July.
  44. Thi Hong Van Hoang & Qasim Raza Syed, 2021. "Investor Sentiment and Volatility Prediction of Currencies and Commodities During the COVID-19 Pandemic," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 1(4), pages 1-6.
  45. repec:hal:journl:peer-00834423 is not listed on IDEAS
  46. Thanasis Stengos & Ximing Wu, 2010. "Information-Theoretic Distribution Test with Application to Normality," Econometric Reviews, Taylor & Francis Journals, vol. 29(3), pages 307-329.
  47. Christian Bontemps & Nour Meddahi, 2012. "Testing distributional assumptions: A GMM aproach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 978-1012, September.
  48. Richard Gerlach & Zudi Lu & Hai Huang, 2013. "Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 534-550, September.
  49. Luiz Renato Lima & Lucas Lúcio Godeiro & Mohammed Mohsin, 2021. "Time-Varying Dictionary and the Predictive Power of FED Minutes," Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 149-181, January.
  50. Aneta Bełdycka-Bórawska & Piotr Bórawski & Michał Borychowski & Rafał Wyszomierski & Marek Bartłomiej Bórawski & Tomasz Rokicki & Luiza Ochnio & Krzysztof Jankowski & Bartosz Mickiewicz & James W. Dun, 2021. "Development of Solid Biomass Production in Poland, Especially Pellet, in the Context of the World’s and the European Union’s Climate and Energy Policies," Energies, MDPI, vol. 14(12), pages 1-22, June.
  51. El-Shagi, M. & Knedlik, T. & von Schweinitz, G., 2013. "Predicting financial crises: The (statistical) significance of the signals approach," Journal of International Money and Finance, Elsevier, vol. 35(C), pages 76-103.
  52. Andrea Bastianin, 2020. "Robust measures of skewness and kurtosis for macroeconomic and financial time series," Applied Economics, Taylor & Francis Journals, vol. 52(7), pages 637-670, February.
  53. Dante Amengual & Xinyue Bei & Marine Carrasco & Enrique Sentana, 2022. "Score-type tests for normal mixtures," Working Papers wp2022_2213, CEMFI.
  54. Domenico Ferraro & Giuseppe Fiori, 2023. "Search Frictions, Labor Supply, and the Asymmetric Business Cycle," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(1), pages 5-42, February.
  55. Hajar Nasrazadani & Maria Pilar Mu oz Gracia, 2017. "Comparing Iranian and Spanish Electricity Markets with Nonlinear Time Series," International Journal of Energy Economics and Policy, Econjournals, vol. 7(2), pages 262-286.
  56. Niu, Cuizhen & Guo, Xu & Li, Yong & Zhu, Lixing, 2018. "Pairwise distance-based tests for conditional symmetry," Computational Statistics & Data Analysis, Elsevier, vol. 128(C), pages 145-162.
  57. Knüppel, Malte, 2014. "Can Capacity Constraints Explain Asymmetries Of The Business Cycle?," Macroeconomic Dynamics, Cambridge University Press, vol. 18(1), pages 65-92, January.
  58. Mutschler, Willi, 2018. "Higher-order statistics for DSGE models," Econometrics and Statistics, Elsevier, vol. 6(C), pages 44-56.
  59. Psaradakis, Zacharias & Vávra, Marián, 2017. "A distance test of normality for a wide class of stationary processes," Econometrics and Statistics, Elsevier, vol. 2(C), pages 50-60.
  60. Donghang Luo & Ke Zhu & Huan Gong & Dong Li, 2020. "Testing error distribution by kernelized Stein discrepancy in multivariate time series models," Papers 2008.00747, arXiv.org.
  61. Pavol Durana & Katarina Valaskova & Darina Chlebikova & Vladislav Krastev & Irina Atanasova, 2020. "Heads and Tails of Earnings Management: Quantitative Analysis in Emerging Countries," Risks, MDPI, vol. 8(2), pages 1-20, June.
  62. Luke Hartigan, 2016. "Testing for Symmetry in Weakly Dependent Time Series," Discussion Papers 2016-18, School of Economics, The University of New South Wales.
  63. Steven Cook, 2009. "A re-examination of the stationarity of inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 1047-1053.
  64. Bogdan-Cristian Chiripuci & Marius Constantin & Maria-Floriana Popescu & Albert Scrieciu, 2020. "The Socio-Economic Impact of Migration on the Labor Market in the Romanian Danube Region," Sustainability, MDPI, vol. 12(20), pages 1-26, October.
  65. Ivanović, Blagoje & Milošević, Bojana & Obradović, Marko, 2020. "Comparison of symmetry tests against some skew-symmetric alternatives in i.i.d. and non-i.i.d. setting," Computational Statistics & Data Analysis, Elsevier, vol. 151(C).
  66. Chioneso S. Marange & Yongsong Qin & Raymond T. Chiruka & Jesca M. Batidzirai, 2023. "A Blockwise Empirical Likelihood Test for Gaussianity in Stationary Autoregressive Processes," Mathematics, MDPI, vol. 11(4), pages 1-20, February.
  67. Jason Brown & Nida Çakır Melek & Johannes Matschke & Sai Sattiraju, 2023. "The Missing Tail Risk in Option Prices," Research Working Paper RWP 23-02, Federal Reserve Bank of Kansas City.
  68. Domenico Ferraro, 2018. "The Asymmetric Cyclical Behavior of the U.S. Labor Market," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 30, pages 145-162, October.
  69. James Mitchell & Richard J. Smith & Martin R. Weale, 2013. "Efficient Aggregation Of Panel Qualitative Survey Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(4), pages 580-603, June.
  70. Adjemian, Stéphane & Karamé, Frédéric & Langot, François, 2021. "Nonlinearities and Workers’ Heterogeneity in Unemployment Dynamics," Dynare Working Papers 71, CEPREMAP.
  71. Leucht, Anne, 2012. "Characteristic function-based hypothesis tests under weak dependence," Journal of Multivariate Analysis, Elsevier, vol. 108(C), pages 67-89.
  72. Tincho Almuzara & Dante Amengual & Enrique Sentana, 2017. "Normality Tests for Latent Variables," Working Papers wp2018_1708, CEMFI.
  73. repec:rim:rimwps:24-07 is not listed on IDEAS
  74. P. Alexander van den Blink & Jasper L. Steyn, 2018. "Strategic Complexity of Impactful Innovation in Automotive Component Manufacturing in an Emerging Economy," International Journal of Innovation and Technology Management (IJITM), World Scientific Publishing Co. Pte. Ltd., vol. 15(05), pages 1-31, October.
  75. Zacharias Psaradakis & Marián Vávra, 2015. "A Quantile-based Test for Symmetry of Weakly Dependent Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(4), pages 587-598, July.
  76. Jump, Robert Calvert & Levine, Paul, 2019. "Behavioural New Keynesian models," Journal of Macroeconomics, Elsevier, vol. 59(C), pages 59-77.
  77. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521520911.
  78. Drautzburg, Thorsten & Wright, Jonathan H., 2023. "Refining set-identification in VARs through independence," Journal of Econometrics, Elsevier, vol. 235(2), pages 1827-1847.
  79. Emilian DOBRESCU, 2022. "Macroeconomic Measurement of Expectations versus Reality," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 5-30, October.
  80. Turan Bali & Panayiotis Theodossiou, 2007. "A conditional-SGT-VaR approach with alternative GARCH models," Annals of Operations Research, Springer, vol. 151(1), pages 241-267, April.
  81. Marian Vavra, 2016. "Testing the Validity of Assumptions of UC-ARIMA Models for Trend-Cycle Decompositions," Working and Discussion Papers WP 4/2016, Research Department, National Bank of Slovakia.
  82. Rodríguez, Gabriel, 2017. "Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 393-420.
  83. Marián Vávra, 2020. "Assessing distributional properties of forecast errors for fan-chart modelling," Empirical Economics, Springer, vol. 59(6), pages 2841-2858, December.
  84. Telan Wu & Hui Jin & Xiaoguang Yang, 2022. "To What Extent May Transit Stop Spacing Be Increased before Driving Away Riders? Referring to Evidence of the 2017 NHTS in the United States," Sustainability, MDPI, vol. 14(10), pages 1-19, May.
  85. Matei Demetrescu & Robinson Kruse-Becher, 2021. "Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models," CREATES Research Papers 2021-07, Department of Economics and Business Economics, Aarhus University.
  86. Bontemps, Christian & Meddahi, Nour, 2005. "Testing normality: a GMM approach," Journal of Econometrics, Elsevier, vol. 124(1), pages 149-186, January.
  87. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Tinbergen Institute Discussion Papers 08-050/4, Tinbergen Institute.
  88. Abdalwali Lutfi & Maryam Ashraf & Waqas Ahmad Watto & Mahmaod Alrawad, 2022. "Do Uncertainty and Financial Development Influence the FDI Inflow of a Developing Nation? A Time Series ARDL Approach," Sustainability, MDPI, vol. 14(19), pages 1-11, October.
  89. Young-Sun Jang & Young Joo Ko, 2019. "How latecomers catch up to leaders in high-energy physics as Big Science: transition from national system to international collaboration," Scientometrics, Springer;Akadémiai Kiadó, vol. 119(1), pages 437-480, April.
  90. Malte Knüppel, 2015. "Evaluating the Calibration of Multi-Step-Ahead Density Forecasts Using Raw Moments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 270-281, April.
  91. Lena Mareen Koerber & Daisuke Nagakura & Ippei Fujiwara, 2011. "How much Asymmetry is there in Bond Returns and Exchange Rates?," Bank of Japan Working Paper Series 11-E-10, Bank of Japan.
  92. Tanya Ara'ujo & Jo~ao Dias & Samuel Eleut'erio & Francisco Louc{c}~a, 2012. "How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market," Papers 1207.1202, arXiv.org.
  93. Galvao, Antonio F. & Montes-Rojas, Gabriel & Sosa-Escudero, Walter & Wang, Liang, 2013. "Tests for skewness and kurtosis in the one-way error component model," Journal of Multivariate Analysis, Elsevier, vol. 122(C), pages 35-52.
  94. Abbritti, Mirko & Fahr, Stephan, 2013. "Downward wage rigidity and business cycle asymmetries," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 871-886.
  95. Haji Ali Beigi, Maryam, 2021. "Is more diverse always the better? External knowledge source clusters and innovation performance in Germany," Ilmenau Economics Discussion Papers 156, Ilmenau University of Technology, Institute of Economics.
  96. Dong, John Qi & Netten, Jork, 2017. "Information technology and external search in the open innovation age: New findings from Germany," Technological Forecasting and Social Change, Elsevier, vol. 120(C), pages 223-231.
  97. Enrique Sentana, 2009. "The econometrics of mean-variance efficiency tests: a survey," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 65-101, November.
  98. Jordà, Òscar & Knüppel, Malte & Marcellino, Massimiliano, 2013. "Empirical simultaneous prediction regions for path-forecasts," International Journal of Forecasting, Elsevier, vol. 29(3), pages 456-468.
  99. Yu‐Fan Huang & Sui Luo, 2020. "Can Stock Volatility Be Benign? New Measurements and Macroeconomic Implications," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(4), pages 933-950, June.
  100. Giet, Ludovic & Lubrano, Michel, 2008. "A minimum Hellinger distance estimator for stochastic differential equations: An application to statistical inference for continuous time interest rate models," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2945-2965, February.
  101. Masayuki Hirukawa & Mari Sakudo, 2016. "Testing Symmetry of Unknown Densities via Smoothing with the Generalized Gamma Kernels," Econometrics, MDPI, vol. 4(2), pages 1-27, June.
  102. Panagiotelis, Anastasios & Smith, Michael, 2010. "Bayesian skew selection for multivariate models," Computational Statistics & Data Analysis, Elsevier, vol. 54(7), pages 1824-1839, July.
  103. Alain Guay, 2020. "Identification of Structural Vector Autoregressions Through Higher Unconditional Moments," Working Papers 20-19, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
  104. McKay, Alisdair & Reis, Ricardo, 2008. "The brevity and violence of contractions and expansions," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 738-751, May.
  105. Jasman Tuyon & Zamri Ahmada, 2016. "Behavioural finance perspectives on Malaysian stock market efficiency," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(1), pages 43-61, March.
  106. Anatolyev Stanislav, 2019. "Volatility filtering in estimation of kurtosis (and variance)," Dependence Modeling, De Gruyter, vol. 7(1), pages 1-23, February.
  107. Miguel Fuentes & Pablo Pincheira & Juan Manuel Julio & Hernán Rincón & Santiago García-Verdú & Miguel Zerecero & Marco Vega & Erick Lahura & Ramon Moreno, 2014. "The effects of intraday foreign exchange market operations in Latin America: results for Chile, Colombia, Mexico and Peru," Borradores de Economia 849, Banco de la Republica de Colombia.
  108. Araújo, Tanya & Dias, João & Eleutério, Samuel & Louçã, Francisco, 2013. "A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3708-3714.
  109. Skare, Marinko & PORADA-ROCHON, Małgorzata, 2022. "The role of innovation in sustainable growth: A dynamic panel study on micro and macro levels 1990–2019," Technological Forecasting and Social Change, Elsevier, vol. 175(C).
  110. Haji Ali Beigi, Maryam, 2021. "External knowledge diversity, competition intensity and innovation performance in logistics: Implications for less versus more innovative industries," Ilmenau Economics Discussion Papers 157, Ilmenau University of Technology, Institute of Economics.
  111. Fang Duan & Dominik Wied, 2018. "A residual-based multivariate constant correlation test," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 81(6), pages 653-687, August.
  112. Nasari, Masoud M. & Ould-Haye, Mohamedou, 2021. "A consistent estimator for skewness of partial sums of dependent data," Statistics & Probability Letters, Elsevier, vol. 171(C).
  113. Panayotis Michaelides & Mike Tsionas & Panos Xidonas, 2020. "A Bayesian Signals Approach for the Detection of Crises," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(3), pages 551-585, September.
  114. Zacharias Psaradakis & Marián Vávra, 2022. "Using Triples to Assess Symmetry Under Weak Dependence," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(4), pages 1538-1551, October.
  115. James Mitchell & Richard J. Smith & Martin R. Weale, 2005. "Forecasting Manufacturing Output Growth Using Firm‐Level Survey Data," Manchester School, University of Manchester, vol. 73(4), pages 479-499, July.
  116. Christoph Gortz & John D. Tsoukalas, 2013. "Learning, Capital Embodied Technology and Aggregate Fluctuations," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(4), pages 708-723, October.
  117. Francesco Lisi, 2007. "Testing asymmetry in financial time series," Quantitative Finance, Taylor & Francis Journals, vol. 7(6), pages 687-696.
  118. Karanasos, M. & Kartsaklas, A., 2009. "Dual long-memory, structural breaks and the link between turnover and the range-based volatility," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 838-851, December.
  119. Kontogeorgos, Georgios & Lambrias, Kyriacos, 2019. "An analysis of the Eurosystem/ECB projections," Working Paper Series 2291, European Central Bank.
  120. Hussin Abdullah & Nor Aznin Abu Bakar & Mohd Razani Mohd Jali & Fatimah Wati Ibrahim, 2017. "The Current State of Malaysia s Journey towards a Green Economy: The Perceptions of the Companies on Environmental Efficiency and Sustainability," International Journal of Energy Economics and Policy, Econjournals, vol. 7(1), pages 253-258.
  121. Chen, Yi-Ting & Ho, Keng-Yu & Tzeng, Larry Y., 2014. "Riskiness-minimizing spot-futures hedge ratio," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 154-164.
  122. Sebastian Schweer & Christian H. Weiß, 2016. "Testing for Poisson arrivals in INAR(1) processes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 25(3), pages 503-524, September.
  123. Jordà, Òscar & Knüppel, Malte & Marcellino, Massimiliano, 2013. "Empirical simultaneous prediction regions for path-forecasts," International Journal of Forecasting, Elsevier, vol. 29(3), pages 456-468.
  124. Jean-Jacques Forneron, 2019. "A Sieve-SMM Estimator for Dynamic Models," Papers 1902.01456, arXiv.org, revised Jan 2023.
  125. Björn Hagströmer & Richard G. Anderson & Jane M. Binner & Thomas Elger & Birger Nilsson, 2008. "Mean–Variance Versus Full‐Scale Optimization: Broad Evidence For The Uk," Manchester School, University of Manchester, vol. 76(s1), pages 134-156, September.
  126. Mnasri, Ayman & Nechi, Salem, 2016. "Impact of terrorist attacks on stock market volatility in emerging markets," Emerging Markets Review, Elsevier, vol. 28(C), pages 184-202.
  127. Zacharias Psaradakis & Marian Vavra, 2018. "Bootstrap Assisted Tests of Symmetry for Dependent Data," Working and Discussion Papers WP 5/2018, Research Department, National Bank of Slovakia.
  128. Jean‐François Rouillard, 2023. "Credit Crunch and Downward Nominal Wage Rigidities," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(4), pages 889-914, June.
  129. Peter Huber & Michael Pfaffermayr, 2010. "Testing for Conditional Convergence in Variance and Skewness: The Firm Size Distribution Revisited," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(5), pages 648-668, October.
  130. Amiri , Hossein & Najafi Nejad , Mahmood & Mousavi , Seyede Mohadese, 2021. "Estimation of Value at Risk (VaR) Based On Lévy-GARCH Models: Evidence from Tehran Stock Exchange," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 16(2), pages 165-186, June.
  131. Guay, Alain, 2021. "Identification of structural vector autoregressions through higher unconditional moments," Journal of Econometrics, Elsevier, vol. 225(1), pages 27-46.
  132. Domenico Ferraro, 2023. "Fast Rises, Slow Declines: Asymmetric Unemployment Dynamics with Matching Frictions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(2-3), pages 349-378, March.
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