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A similarity‐based approach to time‐varying coefficient non‐stationary autoregression

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  • Offer Lieberman

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  • Offer Lieberman, 2012. "A similarity‐based approach to time‐varying coefficient non‐stationary autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(3), pages 484-502, May.
  • Handle: RePEc:bla:jtsera:v:33:y:2012:i:3:p:484-502
    DOI: j.1467-9892.2012.00783.x
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    File URL: http://hdl.handle.net/10.1111/j.1467-9892.2012.00783.x
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    Cited by:

    1. Hamid, Alain & Heiden, Moritz, 2015. "Forecasting volatility with empirical similarity and Google Trends," Journal of Economic Behavior & Organization, Elsevier, vol. 117(C), pages 62-81.
    2. Lieberman, Offer & Phillips, Peter C.B., 2017. "A multivariate stochastic unit root model with an application to derivative pricing," Journal of Econometrics, Elsevier, vol. 196(1), pages 99-110.
    3. Kinjo Keita & Sugawara Shinya, 2016. "Predicting Empirical Patterns in Viewing Japanese TV Dramas Using Case-Based Decision Theory," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 16(2), pages 679-709, June.
    4. Golosnoy, Vasyl & Hamid, Alain & Okhrin, Yarema, 2014. "The empirical similarity approach for volatility prediction," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 321-329.
    5. Kapetanios, George & Mitchell, James & Shin, Yongcheol, 2014. "A nonlinear panel data model of cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 179(2), pages 134-157.
    6. Offer Lieberman & Peter C. B. Phillips, 2014. "Norming Rates And Limit Theory For Some Time-Varying Coefficient Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 592-623, November.
    7. Teitelbaum, Joshua C., 2013. "Asymmetric empirical similarity," Mathematical Social Sciences, Elsevier, vol. 66(3), pages 346-351.

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