Marius Ooms
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Geert Mesters & Siem Jan Koopman & Marius Ooms, 2011.
"Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models,"
Tinbergen Institute Discussion Papers
11-090/4, Tinbergen Institute.
- G. Mesters & S. J. Koopman & M. Ooms, 2016. "Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models," Econometric Reviews, Taylor & Francis Journals, vol. 35(4), pages 659-687, April.
Cited by:
- Antonello D'Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2015.
"Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models,"
Finance and Economics Discussion Series
2015-66, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- Tobias Hartl & Roland Weigand, 2018.
"Multivariate Fractional Components Analysis,"
Papers
1812.09149, arXiv.org, revised Jan 2019.
- Hartl, Tobias & Weigand, Roland, 2019. "Multivariate Fractional Components Analysis," University of Regensburg Working Papers in Business, Economics and Management Information Systems 38283, University of Regensburg, Department of Economics.
- Tobias Hartl & Roland Weigand, 2018.
"Approximate State Space Modelling of Unobserved Fractional Components,"
Papers
1812.09142, arXiv.org, revised May 2020.
- Tobias Hartl & Roland Jucknewitz, 2022. "Approximate state space modelling of unobserved fractional components," Econometric Reviews, Taylor & Francis Journals, vol. 41(1), pages 75-98, January.
- Jin, Sainan & Miao, Ke & Su, Liangjun, 2021.
"On factor models with random missing: EM estimation, inference, and cross validation,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 745-777.
- Su, Liangjun & Miao, Ke & Jin, Sainan, 2019. "On Factor Models with Random Missing: EM Estimation, Inference, and Cross Validation," Economics and Statistics Working Papers 4-2019, Singapore Management University, School of Economics.
- Siem Jan Koopman & Marcel Scharth, 2011.
"The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures,"
Tinbergen Institute Discussion Papers
11-132/4, Tinbergen Institute.
- Siem Jan Koopman & Marcel Scharth, 2012. "The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures," Journal of Financial Econometrics, Oxford University Press, vol. 11(1), pages 76-115, December.
- Francisco Blasques & Meindert Heres Hoogerkamp & Siem Jan Koopman & Ilka van de Werve, 2020.
"Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data,"
Tinbergen Institute Discussion Papers
20-078/III, Tinbergen Institute, revised 21 Jan 2021.
- Blasques, Francisco & Hoogerkamp, Meindert Heres & Koopman, Siem Jan & van de Werve, Ilka, 2021. "Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1426-1441.
- Barhoumi, K. & Darné, O. & Ferrara, L., 2013.
"Dynamic Factor Models: A review of the Literature ,"
Working papers
430, Banque de France.
- Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2014. "Dynamic factor models: A review of the literature," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2013(2), pages 73-107.
- Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2013. "Dynamic factor models: A review of the literature," Post-Print hal-01385974, HAL.
- Irma Hindrayanto & John A.D. Aston & Siem Jan Koopman & Marius Ooms, 2010.
"Modeling Trigonometric Seasonal Components for Monthly Economic Time Series,"
Tinbergen Institute Discussion Papers
10-018/4, Tinbergen Institute.
- Irma Hindrayanto & John A.D. Aston & Siem Jan Koopman & Marius Ooms, 2013. "Modelling trigonometric seasonal components for monthly economic time series," Applied Economics, Taylor & Francis Journals, vol. 45(21), pages 3024-3034, July.
Cited by:
- González-Rivera, Gloria & Rodríguez Caballero, Carlos Vladimir & Ruiz Ortega, Esther, 2023. "Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula," DES - Working Papers. Statistics and Econometrics. WS 37968, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Castillo-Manzano, José I. & Pedregal, Diego J. & Pozo-Barajas, Rafael, 2016. "An econometric evaluation of the management of large-scale transport infrastructure in Spain during the great recession: Lessons for infrastructure bubbles," Economic Modelling, Elsevier, vol. 53(C), pages 302-313.
- V. Dordonnat & S.J. Koopman & M. Ooms & A. Dessertaine & J. Collet, 2008.
"An Hourly Periodic State Space Model for Modelling French National Electricity Load,"
Tinbergen Institute Discussion Papers
08-008/4, Tinbergen Institute.
- Dordonnat, V. & Koopman, S.J. & Ooms, M. & Dessertaine, A. & Collet, J., 2008. "An hourly periodic state space model for modelling French national electricity load," International Journal of Forecasting, Elsevier, vol. 24(4), pages 566-587.
Cited by:
- Ohtsuka, Yoshihiro & Oga, Takashi & Kakamu, Kazuhiko, 2010. "Forecasting electricity demand in Japan: A Bayesian spatial autoregressive ARMA approach," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2721-2735, November.
- Bingtuan Gao & Xiaofeng Liu & Zhenyu Zhu, 2018. "A Bottom-Up Model for Household Load Profile Based on the Consumption Behavior of Residents," Energies, MDPI, vol. 11(8), pages 1-16, August.
- Lisi, Francesco & Pelagatti, Matteo M., 2018. "Component estimation for electricity market data: Deterministic or stochastic?," Energy Economics, Elsevier, vol. 74(C), pages 13-37.
- Angelica Gianfreda & Luigi Grossi, 2011.
"Forecasting Italian Electricity Zonal Prices with Exogenous Variables,"
Working Papers
01/2011, University of Verona, Department of Economics.
- Gianfreda, Angelica & Grossi, Luigi, 2012. "Forecasting Italian electricity zonal prices with exogenous variables," Energy Economics, Elsevier, vol. 34(6), pages 2228-2239.
- Eduardo Caro & Jesús Juan, 2020. "Short-Term Load Forecasting for Spanish Insular Electric Systems," Energies, MDPI, vol. 13(14), pages 1-26, July.
- Engeland, Kolbjørn & Borga, Marco & Creutin, Jean-Dominique & François, Baptiste & Ramos, Maria-Helena & Vidal, Jean-Philippe, 2017. "Space-time variability of climate variables and intermittent renewable electricity production – A review," Renewable and Sustainable Energy Reviews, Elsevier, vol. 79(C), pages 600-617.
- Marie Bessec & Julien Fouquau, 2018.
"Short-run electricity load forecasting with combinations of stationary wavelet transforms,"
Post-Print
hal-01644930, HAL.
- Bessec, Marie & Fouquau, Julien, 2018. "Short-run electricity load forecasting with combinations of stationary wavelet transforms," European Journal of Operational Research, Elsevier, vol. 264(1), pages 149-164.
- Tawil, Tony El & Charpentier, Jean Frédéric & Benbouzid, Mohamed, 2018. "Sizing and rough optimization of a hybrid renewable-based farm in a stand-alone marine context," Renewable Energy, Elsevier, vol. 115(C), pages 1134-1143.
- Wang, Yaoping & Bielicki, Jeffrey M., 2018. "Acclimation and the response of hourly electricity loads to meteorological variables," Energy, Elsevier, vol. 142(C), pages 473-485.
- Dilaver, Zafer & Hunt, Lester C., 2011.
"Industrial electricity demand for Turkey: A structural time series analysis,"
Energy Economics, Elsevier, vol. 33(3), pages 426-436, May.
- Zafer Dilaver & Lester C Hunt, 2010. "Industrial Electricity Demand for Turkey: A Structural Time Series Analysis," Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS) 129, Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey.
- Dordonnat, Virginie & Koopman, Siem Jan & Ooms, Marius, 2012. "Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3134-3152.
- Shao, Zhen & Chao, Fu & Yang, Shan-Lin & Zhou, Kai-Le, 2017. "A review of the decomposition methodology for extracting and identifying the fluctuation characteristics in electricity demand forecasting," Renewable and Sustainable Energy Reviews, Elsevier, vol. 75(C), pages 123-136.
- Chan, Kam Fong & Gray, Philip & van Campen, Bart, 2008. "A new approach to characterizing and forecasting electricity price volatility," International Journal of Forecasting, Elsevier, vol. 24(4), pages 728-743.
- Charlton, Nathaniel & Singleton, Colin, 2014. "A refined parametric model for short term load forecasting," International Journal of Forecasting, Elsevier, vol. 30(2), pages 364-368.
- Trapero, Juan R. & Pedregal, Diego J., 2009. "Frequency domain methods applied to forecasting electricity markets," Energy Economics, Elsevier, vol. 31(5), pages 727-735, September.
- Webel, Karsten, 2022. "A review of some recent developments in the modelling and seasonal adjustment of infra-monthly time series," Discussion Papers 31/2022, Deutsche Bundesbank.
- Antoniadis, Anestis & Brossat, Xavier & Cugliari, Jairo & Poggi, Jean-Michel, 2016. "A prediction interval for a function-valued forecast model: Application to load forecasting," International Journal of Forecasting, Elsevier, vol. 32(3), pages 939-947.
- Taylor, James W., 2008. "An evaluation of methods for very short-term load forecasting using minute-by-minute British data," International Journal of Forecasting, Elsevier, vol. 24(4), pages 645-658.
- Zhineng Hu & Jing Ma & Liangwei Yang & Liming Yao & Meng Pang, 2019. "Monthly electricity demand forecasting using empirical mode decomposition-based state space model," Energy & Environment, , vol. 30(7), pages 1236-1254, November.
- Vaz, Lucélia Viviane & Filho, Getulio Borges da Silveira, 2017. "Functional Autoregressive Models: An Application to Brazilian Hourly Electricity Load," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 37(2), November.
- Dilaver, Zafer & Hunt, Lester C., 2011.
"Turkish aggregate electricity demand: An outlook to 2020,"
Energy, Elsevier, vol. 36(11), pages 6686-6696.
- Zafer Dilaver & Lester C Hunt, 2011. "Turkish Aggregate Electricity Demand: An Outlook to 2020," Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS) 132, Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey.
- Zawadzki Jan, 2023. "Comparative Analysis of Methods for Hourly Electricity Demand Forecasting in the Absence of Data – A Case Study," Economic and Regional Studies / Studia Ekonomiczne i Regionalne, Sciendo, vol. 16(1), pages 34-50, March.
- Cho, Haeran & Goude, Yannig & Brossat, Xavier & Yao, Qiwei, 2013. "Modeling and forecasting daily electricity load curves: a hybrid approach," LSE Research Online Documents on Economics 49634, London School of Economics and Political Science, LSE Library.
- Tristan Launay & Anne Philippe & Sophie Lamarche, 2015. "Construction of an informative hierarchical prior for a small sample with the help of historical data and application to electricity load forecasting," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(2), pages 361-385, June.
- Goia, Aldo & May, Caterina & Fusai, Gianluca, 2010. "Functional clustering and linear regression for peak load forecasting," International Journal of Forecasting, Elsevier, vol. 26(4), pages 700-711, October.
- Faheem Jan & Ismail Shah & Sajid Ali, 2022. "Short-Term Electricity Prices Forecasting Using Functional Time Series Analysis," Energies, MDPI, vol. 15(9), pages 1-15, May.
- Abdelmonaem Jornaz & V. A. Samaranayake, 2019. "A Multi-Step Approach to Modeling the 24-hour Daily Profiles of Electricity Load using Daily Splines," Energies, MDPI, vol. 12(21), pages 1-22, November.
- Verstraete, Gylian & Aghezzaf, El-Houssaine & Desmet, Bram, 2019. "A data-driven framework for predicting weather impact on high-volume low-margin retail products," Journal of Retailing and Consumer Services, Elsevier, vol. 48(C), pages 169-177.
- Andersen, F.M. & Larsen, H.V. & Juul, N. & Gaardestrup, R.B., 2014. "Differentiated long term projections of the hourly electricity consumption in local areas. The case of Denmark West," Applied Energy, Elsevier, vol. 135(C), pages 523-538.
- Komi Nagbe & Jairo Cugliari & Julien Jacques, 2018. "Short-Term Electricity Demand Forecasting Using a Functional State Space Model," Energies, MDPI, vol. 11(5), pages 1-24, May.
- Fondeur, Y. & Karamé, F., 2013.
"Can Google data help predict French youth unemployment?,"
Economic Modelling, Elsevier, vol. 30(C), pages 117-125.
- Y. Fondeur & F. Karamé, 2013. "Can Google data help predict French youth unemployment?," Post-Print hal-02297071, HAL.
- Frédéric Karamé & Yannick Fondeur, 2012. "Can Google Data Help Predict French Youth Unemployment?," Documents de recherche 12-03, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
- Keita Honjo & Hiroto Shiraki & Shuichi Ashina, 2018. "Dynamic linear modeling of monthly electricity demand in Japan: Time variation of electricity conservation effect," PLOS ONE, Public Library of Science, vol. 13(4), pages 1-23, April.
- Jose Juan Caceres-Hernandez & Gloria Martin-Rodriguez & Jonay Hernandez-Martin, 2022. "A proposal for measuring and comparing seasonal variations in hourly economic time series," Empirical Economics, Springer, vol. 62(4), pages 1995-2021, April.
- Brabec, Marek & Konár, Ondrej & Pelikán, Emil & Malý, Marek, 2008. "A nonlinear mixed effects model for the prediction of natural gas consumption by individual customers," International Journal of Forecasting, Elsevier, vol. 24(4), pages 659-678.
- Arora, Siddharth & Taylor, James W., 2018. "Rule-based autoregressive moving average models for forecasting load on special days: A case study for France," European Journal of Operational Research, Elsevier, vol. 266(1), pages 259-268.
- Soares, Lacir J. & Medeiros, Marcelo C., 2008. "Modeling and forecasting short-term electricity load: A comparison of methods with an application to Brazilian data," International Journal of Forecasting, Elsevier, vol. 24(4), pages 630-644.
- Mestekemper, Thomas & Kauermann, Göran & Smith, Michael S., 2013. "A comparison of periodic autoregressive and dynamic factor models in intraday energy demand forecasting," International Journal of Forecasting, Elsevier, vol. 29(1), pages 1-12.
- Takeda, Hisashi & Tamura, Yoshiyasu & Sato, Seisho, 2016. "Using the ensemble Kalman filter for electricity load forecasting and analysis," Energy, Elsevier, vol. 104(C), pages 184-198.
- F. M. Andersen & H. V. Larsen & L. Kitzing & P. E. Morthorst, 2014. "Who gains from hourly time‐of‐use retail prices on electricity? An analysis of consumption profiles for categories of Danish electricity customers," Wiley Interdisciplinary Reviews: Energy and Environment, Wiley Blackwell, vol. 3(6), pages 582-593, November.
- Kaneko, Nanae & Fujimoto, Yu & Kabe, Satoshi & Hayashida, Motonari & Hayashi, Yasuhiro, 2020. "Sparse modeling approach for identifying the dominant factors affecting situation-dependent hourly electricity demand," Applied Energy, Elsevier, vol. 265(C).
- Masoud Sobhani & Allison Campbell & Saurabh Sangamwar & Changlin Li & Tao Hong, 2019. "Combining Weather Stations for Electric Load Forecasting," Energies, MDPI, vol. 12(8), pages 1-11, April.
- Zawadzki, Jan, 2023. "Comparative Analysis Of Methods For Hourly Electricity Demand Forecasting In The Absence Of Data – A Case Study," Economic and Regional Studies (Studia Ekonomiczne i Regionalne), John Paul II University of Applied Sciences in Biala Podlaska, vol. 16(1), March.
- Andersen, F.M. & Larsen, H.V. & Gaardestrup, R.B., 2013. "Long term forecasting of hourly electricity consumption in local areas in Denmark," Applied Energy, Elsevier, vol. 110(C), pages 147-162.
- Alfredo Nespoli & Emanuele Ogliari & Silvia Pretto & Michele Gavazzeni & Sonia Vigani & Franco Paccanelli, 2021. "Electrical Load Forecast by Means of LSTM: The Impact of Data Quality," Forecasting, MDPI, vol. 3(1), pages 1-11, February.
- Ooms, M., 2008.
"Trends in Applied Econometrics Software Development 1985-2008, an analysis of Journal of Applied Econometrics research articles, software reviews, data and code,"
Serie Research Memoranda
0021, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
Cited by:
- Rodolphe Buda, 2013. "SIMUL 3.2: An Econometric Tool for Multidimensional Modelling," Computational Economics, Springer;Society for Computational Economics, vol. 41(4), pages 517-524, April.
- Rodolphe Buda, 2015. "Data Checking and Econometric Software Development: A Technique of Traceability by Fictive Data Encoding," Computational Economics, Springer;Society for Computational Economics, vol. 46(2), pages 325-357, August.
- Siem Jan Koopman & André Lucas & Marius Ooms & Kees van Montfort & Victor van der Geest, 2007.
"Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model,"
Tinbergen Institute Discussion Papers
07-027/4, Tinbergen Institute.
- Siem Jan Koopman & Marius Ooms & André Lucas & Kees van Montfort & Victor Van Der Geest, 2008. "Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 62(1), pages 104-130, February.
Cited by:
- Vujić Sunčica & Koopman Siem Jan & Commandeur J.F., 2012. "Economic Trends and Cycles in Crime: A Study for England and Wales," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 232(6), pages 652-677, December.
- Vujić, Sunčica & Commandeur, Jacques J.F. & Koopman, Siem Jan, 2016. "Intervention time series analysis of crime rates: The case of sentence reform in Virginia," Economic Modelling, Elsevier, vol. 57(C), pages 311-323.
- Geert Mesters & Siem Jan Koopman, 2012.
"Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time,"
Tinbergen Institute Discussion Papers
12-009/4, Tinbergen Institute, revised 18 Mar 2014.
- Mesters, G. & Koopman, S.J., 2014. "Generalized dynamic panel data models with random effects for cross-section and time," Journal of Econometrics, Elsevier, vol. 180(2), pages 127-140.
- Suncica Vujic & Jacques Commandeur & Siem Jan Koopman, 2012. "Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia," Tinbergen Institute Discussion Papers 12-007/4, Tinbergen Institute.
- Charles S. Bos & Siem Jan Koopman & Marius Ooms, 2007.
"Long memory modelling of inflation with stochastic variance and structural breaks,"
CREATES Research Papers
2007-44, Department of Economics and Business Economics, Aarhus University.
- C.S. Bos & S.J. Koopman & M. Ooms, 2007. "Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks," Tinbergen Institute Discussion Papers 07-099/4, Tinbergen Institute.
Cited by:
- Josu Arteche, 2012. "Standard and seasonal long memory in volatility: an application to Spanish inflation," Empirical Economics, Springer, vol. 42(3), pages 693-712, June.
- Grassi, Stefano & Proietti, Tommaso, 2008.
"Has the Volatility of U.S. Inflation Changed and How?,"
MPRA Paper
11453, University Library of Munich, Germany.
- Grassi Stefano & Proietti Tommaso, 2010. "Has the Volatility of U.S. Inflation Changed and How?," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-22, September.
- Luis A. Gil-Alana & Yadollah Dadgar & Rouhollah Nazari, 2019. "Iranian inflation: peristence and structural breaks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(2), pages 398-408, April.
- Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2006.
"Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment,"
Tinbergen Institute Discussion Papers
06-101/4, Tinbergen Institute.
- Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2009. "Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(5), pages 683-713, October.
Cited by:
- Sergey Seleznev & Natalia Turdyeva & Ramis Khabibullin & Anna Tsvetkova, 2020. "Seasonal adjustment of the Bank of Russia Payment System financial flows data," Bank of Russia Working Paper Series wps65, Bank of Russia.
- Uwe Blien & Oliver Ludewig & Anja Rossen, 2023. "Contradictory effects of technological change across developed countries," Review of International Economics, Wiley Blackwell, vol. 31(2), pages 580-608, May.
- Hindrayanto, Irma & Koopman, Siem Jan & Ooms, Marius, 2010. "Exact maximum likelihood estimation for non-stationary periodic time series models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2641-2654, November.
- Rodrigo Barbone Gonzalez & Joaquim Lima & Leonardo Marinho, 2015. "Countercyclical Capital Buffers: bayesian estimates and alternatives focusing on credit growth," Working Papers Series 384, Central Bank of Brazil, Research Department.
- Rodrigo Barbone Gonzalez & Joaquim Lima & Leonardo Marinho, 2015. "Business and Financial Cycles: an estimation of cycles’ length focusing on Macroprudential Policy," Working Papers Series 385, Central Bank of Brazil, Research Department.
- Jurgen A. Doornik & Marius Ooms, 2005.
"Outlier Detection in GARCH Models,"
Economics Papers
2005-W24, Economics Group, Nuffield College, University of Oxford.
- Jurgen A. Doornik & Marius Ooms, 2005. "Outlier Detection in GARCH Models," Tinbergen Institute Discussion Papers 05-092/4, Tinbergen Institute.
Cited by:
- E. Ruiz & M.A. Carnero & D. Pereira, 2004. "Effects of Level Outliers on the Identification and Estimation of GARCH Models," Econometric Society 2004 Australasian Meetings 21, Econometric Society.
- Amélie Charles & Olivier Darné, 2012.
"Volatility Persistence in Crude Oil Markets,"
Working Papers
hal-00719387, HAL.
- Amélie Charles & Olivier Darné, 2014. "Volatility persistence in crude oil markets," Post-Print hal-00940312, HAL.
- Charles, Amélie & Darné, Olivier, 2014. "Volatility persistence in crude oil markets," Energy Policy, Elsevier, vol. 65(C), pages 729-742.
- Charles, Amélie & Darné, Olivier, 2014.
"Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013,"
Journal of Banking & Finance, Elsevier, vol. 43(C), pages 188-199.
- Amélie Charles & Olivier Darné, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Post-Print hal-01122507, HAL.
- Jurgen A. Doornik & Marius Ooms, 2003.
"Multimodality in the GARCH Regression Model,"
Economics Papers
2003-W20, Economics Group, Nuffield College, University of Oxford.
- Doornik, Jurgen A. & Ooms, Marius, 2008. "Multimodality in GARCH regression models," International Journal of Forecasting, Elsevier, vol. 24(3), pages 432-448.
- Eugenia Sanin, María & Violante, Francesco & Mansanet-Bataller, María, 2015.
"Understanding volatility dynamics in the EU-ETS market,"
Energy Policy, Elsevier, vol. 82(C), pages 321-331.
- Maria Eugenia Sanin & Maria Mansanet-Bataller & Francesco Violante, 2015. "Understanding volatility dynamics in the EU-ETS market," CREATES Research Papers 2015-04, Department of Economics and Business Economics, Aarhus University.
- Maria Eugenia Sanin & Francesco Violante & Maria Mansanet-Bataller, 2015. "Understanding volatility dynamics in the EU-ETS market," Post-Print hal-02878047, HAL.
- Grané, Aurea & Veiga, Helena, 2010. "Outliers in Garch models and the estimation of risk measures," DES - Working Papers. Statistics and Econometrics. WS ws100502, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Beum-Jo Park, 2009. "Risk-return relationship in equity markets: using a robust GMM estimator for GARCH-M models," Quantitative Finance, Taylor & Francis Journals, vol. 9(1), pages 93-104.
- Vigne, Samuel A. & Lucey, Brian M. & O’Connor, Fergal A. & Yarovaya, Larisa, 2017. "The financial economics of white precious metals — A survey," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 292-308.
- M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2008. "Estimating and Forecasting GARCH Volatility in the Presence of Outiers," Working Papers. Serie AD 2008-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Behmiri, Niaz Bashiri & Manera, Matteo, 2015.
"The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices,"
Energy: Resources and Markets
208768, Fondazione Eni Enrico Mattei (FEEM).
- Behmiri, Niaz Bashiri & Manera, Matteo, 2015. "The role of outliers and oil price shocks on volatility of metal prices," Resources Policy, Elsevier, vol. 46(P2), pages 139-150.
- Niaz Bashiri Behmiri & Matteo Manera, 2015. "The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices," Working Papers 2015.77, Fondazione Eni Enrico Mattei.
- Zhang, Dayong & Dickinson, David & Barassi, Marco, 2008. "Volatility Switching in Shanghai Stock Exchange: Does regulation help reduce volatility?," MPRA Paper 70352, University Library of Munich, Germany.
- Grané, Aurea & Veiga, Helena, 2009. "Wavelet-based detection of outliers in volatility models," DES - Working Papers. Statistics and Econometrics. WS ws090403, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Grané, Aurea & Veiga, Helena, 2010. "Wavelet-based detection of outliers in financial time series," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2580-2593, November.
- Lisa Crosato & Luigi Grossi, 2019. "Correcting outliers in GARCH models: a weighted forward approach," Statistical Papers, Springer, vol. 60(6), pages 1939-1970, December.
- Amira Akl Ahmed & Doaa Akl Ahmed, 2016. "Modelling Conditional Volatility and Downside Risk for Istanbul Stock Exchange," Working Papers 1028, Economic Research Forum, revised Jul 2016.
- Amélie Charles, 2008. "Forecasting volatility with outliers in GARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 551-565.
- Fagiani, Riccardo & Hakvoort, Rudi, 2014. "The role of regulatory uncertainty in certificate markets: A case study of the Swedish/Norwegian market," Energy Policy, Elsevier, vol. 65(C), pages 608-618.
- Maurício Yoshinori Une & Marcelo Savino Portugal, 2005. "Can fear beat hope? A story of GARCH-in-Mean-Level effects for Emerging Market Country Risks," Econometrics 0509006, University Library of Munich, Germany.
- Mangold, Benedikt & Pleier, Thomas & Brug, Christoph & Nolzen, Jan & Stübinger, Johannes, 2014. "Verbesserung des Lernverhaltens durch Online-Tests: Ein Jahr später," Discussion Papers 91/2013, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
- Juraj Valachy & Ev??en Ko?enda, 2003.
"Exchange Rate Regimes and Volatility: Comparison of the Snake and Visegrad,"
William Davidson Institute Working Papers Series
2003-622, William Davidson Institute at the University of Michigan.
- Kocenda, Evzen & Valachy, Juraj, 2006. "Exchange rate volatility and regime change: A Visegrad comparison," Journal of Comparative Economics, Elsevier, vol. 34(4), pages 727-753, December.
- Koenig, P., 2011. "Modelling Correlation in Carbon and Energy Markets," Cambridge Working Papers in Economics 1123, Faculty of Economics, University of Cambridge.
- Olmo, J., 2009. "Extreme Value Theory Filtering Techniques for Outlier Detection," Working Papers 09/09, Department of Economics, City University London.
- Carnero, M. Angeles & Pérez, Ana, 2019. "Leverage effect in energy futures revisited," Energy Economics, Elsevier, vol. 82(C), pages 237-252.
- Puigvert Gutiérrez, Josep Maria & Fortiana Gregori, Josep, 2008. "Clustering techniques applied to outlier detection of financial market series using a moving window filtering algorithm," Working Paper Series 948, European Central Bank.
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MPRA Paper
22642, University Library of Munich, Germany.
- Regnard, Nazim & Zakoïan, Jean-Michel, 2011. "A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices," Energy Economics, Elsevier, vol. 33(6), pages 1240-1251.
- Ye, Xunyu & Gao, Ping & Li, Handong, 2015. "Improving estimation of the fractionally differencing parameter in the SARFIMA model using tapered periodogram," Economic Modelling, Elsevier, vol. 46(C), pages 167-179.
- Massimiliano Caporin & Fulvio Fontini & Paolo Santucci De Magistris, 2017. "Price convergence within and between the Italian electricity day-ahead and dispatching services markets," "Marco Fanno" Working Papers 0215, Dipartimento di Scienze Economiche "Marco Fanno".
- Rangga Handika & Rangga Handika & Sigit Triandaru, 2016. "Is the Best Generalized Autoregressive Conditional Heteroskedasticity(p,q) Value-at-risk Estimate also the Best in Reality? An Evidence from Australian Interconnected Power Markets," International Journal of Energy Economics and Policy, Econjournals, vol. 6(4), pages 814-821.
- Panagiotelis, Anastasios & Smith, Michael, 2008. "Bayesian density forecasting of intraday electricity prices using multivariate skew t distributions," International Journal of Forecasting, Elsevier, vol. 24(4), pages 710-727.
- Carlo Fezzi & Luca Mosetti, 2018. "Size matters: Estimation sample length and electricity price forecasting accuracy," DEM Working Papers 2018/10, Department of Economics and Management.
- Kim, Myung Suk, 2013. "Modeling special-day effects for forecasting intraday electricity demand," European Journal of Operational Research, Elsevier, vol. 230(1), pages 170-180.
- Zorana Zoran Stanković & Milena Nebojsa Rajic & Zorana Božić & Peđa Milosavljević & Ancuța Păcurar & Cristina Borzan & Răzvan Păcurar & Emilia Sabău, 2024. "The Volatility Dynamics of Prices in the European Power Markets during the COVID-19 Pandemic Period," Sustainability, MDPI, vol. 16(6), pages 1-16, March.
- Tashpulatov, Sherzod N., 2013.
"Estimating the volatility of electricity prices: The case of the England and Wales wholesale electricity market,"
Energy Policy, Elsevier, vol. 60(C), pages 81-90.
- Sherzod N. Tashpulatov, 2011. "Estimating the Volatility of Electricity Prices: The Case of the England and Wales Wholesale Electricity Market," CERGE-EI Working Papers wp439, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Hipòlit Torró & Julio Lucia, 2008. "Short-term electricity futures prices: Evidence on the time-varying risk premium," Working Papers. Serie EC 2008-08, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Bruno Bosco & Lucia Parisio & Matteo Pelagatti & Fabio Baldi, 2010. "Long-run relations in european electricity prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(5), pages 805-832.
- Ole E. Barndorff-Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2013. "Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes," Papers 1307.6332, arXiv.org.
- Paraschiv, Florentina & Bunn, Derek & Westgaard, Sjur, 2016. "Estimation and Application of Fully Parametric Multifactor Quantile Regression with Dynamic Coefficients," Working Papers on Finance 1607, University of St. Gallen, School of Finance.
- Chelsey Hill & James Li & Matthew J. Schneider & Martin T. Wells, 2021. "The tensor auto‐regressive model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 636-652, July.
- Katarzyna Maciejowska & Rafal Weron, 2015. "Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals," HSC Research Reports HSC/15/04, Hugo Steinhaus Center, Wroclaw University of Technology.
- Lilian de Menezes & Melanie A. Houllier, 2013. "Modelling Germany´s Energy Transition and its Potential Effect on European Electricity Spot Markets," EcoMod2013 5395, EcoMod.
- Christian Huurman & Francesco Ravazzolo & Chen Zhou, 2007. "The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts," Tinbergen Institute Discussion Papers 07-036/4, Tinbergen Institute.
- García-Martos, Carolina & Rodríguez, Julio & Sánchez, María Jesús, 2011. "Forecasting electricity prices and their volatilities using Unobserved Components," Energy Economics, Elsevier, vol. 33(6), pages 1227-1239.
- Avesani, Diego & Zanfei, Ariele & Di Marco, Nicola & Galletti, Andrea & Ravazzolo, Francesco & Righetti, Maurizio & Majone, Bruno, 2022. "Short-term hydropower optimization driven by innovative time-adapting econometric model," Applied Energy, Elsevier, vol. 310(C).
- Higgs, Helen & Lien, Gudbrand & Worthington, Andrew C., 2015. "Australian evidence on the role of interregional flows, production capacity, and generation mix in wholesale electricity prices and price volatility," Economic Analysis and Policy, Elsevier, vol. 48(C), pages 172-181.
- M. Pilar Muñoz & Cristina Corchero & F.-Javier Heredia, 2013. "Improving Electricity Market Price Forecasting with Factor Models for the Optimal Generation Bid," International Statistical Review, International Statistical Institute, vol. 81(2), pages 289-306, August.
- Daniel Ambach & Carsten Croonenbroeck, 2016. "Space-time short- to medium-term wind speed forecasting," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 25(1), pages 5-20, March.
- Ziel, Florian & Steinert, Rick & Husmann, Sven, 2015. "Efficient modeling and forecasting of electricity spot prices," Energy Economics, Elsevier, vol. 47(C), pages 98-111.
- Per B. Solibakke, 2022. "Step‐ahead spot price densities using daily synchronously reported prices and wind forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 17-42, January.
- Torro, Hipolit, 2009. "Assessing the influence of spot price predictability on electricity futures hedging," MPRA Paper 18892, University Library of Munich, Germany.
- Duván Humberto Cataño & Carlos Vladimir Rodríguez-Caballero & Daniel Peña, 2019. "Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings," CREATES Research Papers 2019-23, Department of Economics and Business Economics, Aarhus University.
- Sherzod N. Tashpulatov, 2021. "The Impact of Regulatory Reforms on Demand Weighted Average Prices," Mathematics, MDPI, vol. 9(10), pages 1-15, May.
- Liebl, Dominik, 2013. "Modeling and Forecasting Electricity Spot Prices: A Functional Data Perspective," MPRA Paper 50881, University Library of Munich, Germany.
- Sucarrat, Genaro & Escribano, Álvaro, 2010. "The power log-GARCH model," UC3M Working papers. Economics we1013, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Souhir Ben Amor & Heni Boubaker & Lotfi Belkacem, 2022. "A Dual Generalized Long Memory Modelling for Forecasting Electricity Spot Price: Neural Network and Wavelet Estimate," Papers 2204.08289, arXiv.org.
- G P Girish & Aviral Kumar Tiwari, 2016. "A comparison of different univariate forecasting models forSpot Electricity Price in India," Economics Bulletin, AccessEcon, vol. 36(2), pages 1039-1057.
- Wegmüller, Philipp & Glocker, Christian & Guggia, Valentino, 2023.
"Weekly economic activity: Measurement and informational content,"
International Journal of Forecasting, Elsevier, vol. 39(1), pages 228-243.
- Philipp Wegmüller & Christian Glocker & Valentino Guggia, 2021. "Weekly Economic Activity: Measurement and Informational Content," WIFO Working Papers 627, WIFO.
- Bruno Bosco & Lucia Parisio & Matteo Pelagatti, 2007. "Deregulated Wholesale Electricity Prices in Italy: An Empirical Analysis," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 13(4), pages 415-432, November.
- Amaral, Luiz Felipe & Souza, Reinaldo Castro & Stevenson, Maxwell, 2008. "A smooth transition periodic autoregressive (STPAR) model for short-term load forecasting," International Journal of Forecasting, Elsevier, vol. 24(4), pages 603-615.
- Ziel, Florian & Steinert, Rick & Husmann, Sven, 2015. "Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets," Energy Economics, Elsevier, vol. 51(C), pages 430-444.
- Martina Assereto & Julie Byrne, 2020. "The Implications of Policy Uncertainty on Solar Photovoltaic Investment," Energies, MDPI, vol. 13(23), pages 1-20, November.
- Huurman, Christian & Ravazzolo, Francesco & Zhou, Chen, 2012. "The power of weather," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3793-3807.
- Marius Ooms & M. Angeles Carnero & Siem Jan Koopman, 2004.
"Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices,"
Econometric Society 2004 Australasian Meetings
158, Econometric Society.
- M. Angeles Carnero & Siem Jan Koopman & Marius Ooms, 2003. "Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 03-071/4, Tinbergen Institute.
Cited by:
- Massimiliano Caporin & Juliusz Pres' & Hipolit Torro, 2010.
"Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options,"
"Marco Fanno" Working Papers
0123, Dipartimento di Scienze Economiche "Marco Fanno".
- Caporin, Massimiliano & Preś, Juliusz & Torro, Hipolit, 2012. "Model based Monte Carlo pricing of energy and temperature Quanto options," Energy Economics, Elsevier, vol. 34(5), pages 1700-1712.
- Caporin, Massimiliano & Pres, Juliusz & Torro, Hipolit, 2010. "Model based Monte Carlo pricing of energy and temperature quanto options," MPRA Paper 25538, University Library of Munich, Germany.
- Haldrup, Niels & Nielsen, Morten Orregaard, 2006.
"A regime switching long memory model for electricity prices,"
Journal of Econometrics, Elsevier, vol. 135(1-2), pages 349-376.
- Niels Haldrup & Morten O. Nielsen, 2004. "A Regime Switching Long Memory Model for Electricity Prices," Economics Working Papers 2004-2, Department of Economics and Business Economics, Aarhus University.
- Torro, Hipolit, 2007.
"Forecasting Weekly Electricity Prices at Nord Pool,"
International Energy Markets Working Papers
7437, Fondazione Eni Enrico Mattei (FEEM).
- Hipòlit Torró, 2007. "Forecasting Weekly Electricity Prices at Nord Pool," Working Papers 2007.88, Fondazione Eni Enrico Mattei.
- Karakatsani, Nektaria V. & Bunn, Derek W., 2008. "Forecasting electricity prices: The impact of fundamentals and time-varying coefficients," International Journal of Forecasting, Elsevier, vol. 24(4), pages 764-785.
- Kosater, Peter, 2006. "On the impact of weather on German hourly power prices," Discussion Papers in Econometrics and Statistics 1/06, University of Cologne, Institute of Econometrics and Statistics.
- Karakatsani Nektaria V & Bunn Derek W., 2010. "Fundamental and Behavioural Drivers of Electricity Price Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-42, September.
- Haldrup; Niels & Morten Oerregaard Nielsen, 2005.
"Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices,"
Economics Working Papers
2005-18, Department of Economics and Business Economics, Aarhus University.
- Haldrup Niels & Nielsen Morten Ø., 2006. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(3), pages 1-24, September.
- Sandro Sapio, 2004.
"Market Design, Bidding Rules, and Long Memory in Electricity Prices,"
LEM Papers Series
2004/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Sandro Sapio, 2004. "Markets Design, Bidding Rules, and Long Memory in Electricity Prices," Revue d'Économie Industrielle, Programme National Persée, vol. 107(1), pages 151-170.
- Misiorek Adam & Trueck Stefan & Weron Rafal, 2006. "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(3), pages 1-36, September.
- Rafal Weron, 2006. "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0601.
- Taylor, James W. & de Menezes, Lilian M. & McSharry, Patrick E., 2006. "A comparison of univariate methods for forecasting electricity demand up to a day ahead," International Journal of Forecasting, Elsevier, vol. 22(1), pages 1-16.
- S. Vijayalakshmi & G. P. Girish, 2015. "Artificial Neural Networks for Spot Electricity Price Forecasting: A Review," International Journal of Energy Economics and Policy, Econjournals, vol. 5(4), pages 1092-1097.
- Karakatsani, Nektaria V. & Bunn, Derek W., 2008. "Intra-day and regime-switching dynamics in electricity price formation," Energy Economics, Elsevier, vol. 30(4), pages 1776-1797, July.
- Siem Jan Koopman & Marius Ooms, 2004.
"Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models,"
Tinbergen Institute Discussion Papers
04-135/4, Tinbergen Institute.
- Koopman, Siem Jan & Ooms, Marius, 2006. "Forecasting daily time series using periodic unobserved components time series models," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 885-903, November.
- Malo, Pekka, 2009. "Modeling electricity spot and futures price dependence: A multifrequency approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(22), pages 4763-4779.
- Kosater, Peter & Mosler, Karl, 2006.
"Can Markov regime-switching models improve power-price forecasts? Evidence from German daily power prices,"
Applied Energy, Elsevier, vol. 83(9), pages 943-958, September.
- Kosater, Peter & Mosler, Karl, 2005. "Can Markov-regime switching models improve power price forecasts? Evidence for German daily power prices," Discussion Papers in Econometrics and Statistics 1/05, University of Cologne, Institute of Econometrics and Statistics.
- Siem Jan Koopman & Marius Ooms, 2004.
"Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models,"
Tinbergen Institute Discussion Papers
04-135/4, Tinbergen Institute.
- Koopman, Siem Jan & Ooms, Marius, 2006. "Forecasting daily time series using periodic unobserved components time series models," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 885-903, November.
Cited by:
- Cornillon, P.-A. & Imam, W. & Matzner-Lober, E., 2008. "Forecasting time series using principal component analysis with respect to instrumental variables," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1269-1280, January.
- Alonso, Andres M. & Sipols, Ana E., 2008. "A time series bootstrap procedure for interpolation intervals," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 1792-1805, January.
- Martín Rodríguez, Gloria & Cáceres Hernández, José Juan, 2010. "Splines and the proportion of the seasonal period as a season index," Economic Modelling, Elsevier, vol. 27(1), pages 83-88, January.
- Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2009.
"Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(5), pages 683-713, October.
- Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2006. "Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment," Tinbergen Institute Discussion Papers 06-101/4, Tinbergen Institute.
- Proietti, Tommaso, 2007. "Signal extraction and filtering by linear semiparametric methods," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 935-958, October.
- Webel, Karsten, 2022. "A review of some recent developments in the modelling and seasonal adjustment of infra-monthly time series," Discussion Papers 31/2022, Deutsche Bundesbank.
- Yılmaz, Engin, 2015. "Forecasting tourist arrivals to Turkey," MPRA Paper 68616, University Library of Munich, Germany.
- Zhineng Hu & Jing Ma & Liangwei Yang & Liming Yao & Meng Pang, 2019. "Monthly electricity demand forecasting using empirical mode decomposition-based state space model," Energy & Environment, , vol. 30(7), pages 1236-1254, November.
- Yorghos Tripodis & Jeremy Penzer, 2009. "Modelling time series with season-dependent autocorrelation structure," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(7), pages 559-574.
- Ollech, Daniel, 2018. "Seasonal adjustment of daily time series," Discussion Papers 41/2018, Deutsche Bundesbank.
- Triantafyllopoulos, K. & Nason, G.P., 2007. "A Bayesian analysis of moving average processes with time-varying parameters," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 1025-1046, October.
- Bauer, Dietmar, 2019. "Periodic and seasonal (co-)integration in the state space framework," Economics Letters, Elsevier, vol. 174(C), pages 165-168.
- Jurgen A. Doornik & Marius Ooms, 2003.
"Multimodality in the GARCH Regression Model,"
Economics Papers
2003-W20, Economics Group, Nuffield College, University of Oxford.
- Doornik, Jurgen A. & Ooms, Marius, 2008. "Multimodality in GARCH regression models," International Journal of Forecasting, Elsevier, vol. 24(3), pages 432-448.
Cited by:
- Bernd Hayo & Ali M. Kutan & Matthias Neuenkirch, 2009.
"Federal Reserve Communications and Emerging Equity Markets,"
MAGKS Papers on Economics
200923, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Bernd Hayo & Ali M. Kutan & Matthias Neuenkirch, 2012. "Federal Reserve Communications and Emerging Equity Markets," Southern Economic Journal, John Wiley & Sons, vol. 78(3), pages 1041-1056, January.
- D Büttner & B. Hayo, 2012.
"EMU-related news and financial markets in the Czech Republic, Hungary and Poland,"
Applied Economics, Taylor & Francis Journals, vol. 44(31), pages 4037-4053, November.
- Bernd Hayo & David Buettner, 2011. "EMU-related News and Financial Markets in the Czech Republic, Hungary and Poland," Post-Print hal-00716632, HAL.
- David Büttner & Bernd Hayo, 2008. "EMU-related News and Financial Markets in the Czech Republic, Hungary and Poland," MAGKS Papers on Economics 200815, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- David Büttner & Bernd Hayo & Matthias Neuenkirch, 2009.
"The Impact of Foreign Macroeconomic News on Financial Markets in the Czech Republic, Hungary, and Poland,"
MAGKS Papers on Economics
200903, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- David Büttner & Bernd Hayo & Matthias Neuenkirch, 2012. "The impact of foreign macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 39(1), pages 19-44, February.
- Kim, Suk-Joong, 2007. "Intraday evidence of efficacy of 1991-2004 Yen intervention by the Bank of Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(4), pages 341-360, October.
- Schnabl, Gunther & Hillebrand, Eric, 2006.
"A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility,"
Working Paper Series
650, European Central Bank.
- Eric Hillebrand & Gunther Schnabl, 2008. "A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility," International Economics and Economic Policy, Springer, vol. 5(4), pages 389-401, December.
- Jurgen A. Doornik & Marius Ooms, 2005.
"Outlier Detection in GARCH Models,"
Economics Papers
2005-W24, Economics Group, Nuffield College, University of Oxford.
- Jurgen A. Doornik & Marius Ooms, 2005. "Outlier Detection in GARCH Models," Tinbergen Institute Discussion Papers 05-092/4, Tinbergen Institute.
- Bernd Hayo & Matthias Neuenkirch, 2012.
"Domestic Or U.S. News: What Drives Canadian Financial Markets?,"
Economic Inquiry, Western Economic Association International, vol. 50(3), pages 690-706, July.
- Bernd Hayo & Matthias Neuenkirch, 2009. "Domestic or U.S. News: What Drives Canadian Financial Markets?," MAGKS Papers on Economics 200908, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Coffinet, J. & Frappa, S., 2008. "Macroeconomic Surprises and the Inflation Compensation Curve in the Euro Area," Working papers 220, Banque de France.
- Hayo, Bernd & Kutan, Ali M., 2002.
"The impact of news, oil prices, and international spillovers on Russian financial markets,"
ZEI Working Papers
B 20-2002, University of Bonn, ZEI - Center for European Integration Studies.
- Bernd Hayo & Ali Kutan, 2002. "The Impact of News, Oil Prices, and International Spillovers on Russian Financial Markets," Finance 0209001, University Library of Munich, Germany.
- Bernd Hayo & Ali Kutan & Matthias Neuenkirch, 2015. "Financial market reaction to Federal Reserve communications: Does the global financial crisis make a difference?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(1), pages 185-203, February.
- Vigne, Samuel A. & Lucey, Brian M. & O’Connor, Fergal A. & Yarovaya, Larisa, 2017. "The financial economics of white precious metals — A survey," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 292-308.
- Bernd Hayo & Ali M. Kutan, 2004.
"The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets,"
William Davidson Institute Working Papers Series
2004-656, William Davidson Institute at the University of Michigan.
- Bernd Hayo & Ali Kutan, 2004. "The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets," Finance 0403002, University Library of Munich, Germany.
- Bernd Hayo & Ali M. Kutan, 2005. "The impact of news, oil prices, and global market developments on Russian financial markets," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 13(2), pages 373-393, April.
- Georgios Bampinas & Stilianos Fountas & Theodore Panagiotidis, 2015.
"The Day-of-the-Week Effect is Weak: Evidence from the European Real Estate Sector,"
Working Paper series
15-19, Rimini Centre for Economic Analysis.
- Georgios Bampinas & Stilianos Fountas & Theodore Panagiotidis, 2015. "The day-of-the-week effect is weak: Evidence from the European Real Estate Sector," Discussion Paper Series 2015_02, Department of Economics, University of Macedonia, revised May 2015.
- Casalin, Fabrizio, 2018. "Determinants of holiday effects in mainland Chinese and Hong-Kong markets," China Economic Review, Elsevier, vol. 49(C), pages 45-67.
- Pellegrini, Santiago & Ruiz, Esther & Espasa, Antoni, 2011.
"Prediction intervals in conditionally heteroscedastic time series with stochastic components,"
International Journal of Forecasting, Elsevier, vol. 27(2), pages 308-319.
- Pellegrini, Santiago & Ruiz, Esther & Espasa, Antoni, 2011. "Prediction intervals in conditionally heteroscedastic time series with stochastic components," International Journal of Forecasting, Elsevier, vol. 27(2), pages 308-319, April.
- Manfred Gilli & Peter Winker, 2008.
"Review of Heuristic Optimization Methods in Econometrics,"
Working Papers
001, COMISEF.
- Manfred GILLI & Peter WINKER, 2008. "A review of heuristic optimization methods in econometrics," Swiss Finance Institute Research Paper Series 08-12, Swiss Finance Institute.
- Sigauke, C. & Chikobvu, D., 2011. "Prediction of daily peak electricity demand in South Africa using volatility forecasting models," Energy Economics, Elsevier, vol. 33(5), pages 882-888, September.
- Carmen Broto, 2012.
"The effectiveness of forex interventions in four Latin American countries,"
Working Papers
1226, Banco de España.
- Broto, Carmen, 2013. "The effectiveness of forex interventions in four Latin American countries," Emerging Markets Review, Elsevier, vol. 17(C), pages 224-240.
- Rezitis Anthony N & Stavropoulos Konstantinos S, 2011. "Price Transmission and Volatility in the Greek Broiler Sector: A Threshold Cointegration Analysis," Journal of Agricultural & Food Industrial Organization, De Gruyter, vol. 9(1), pages 1-37, July.
- Funke, Michael & Shu, Chang & Cheng, Xiaoqiang & Eraslan, Sercan, 2015.
"Assessing the CNH–CNY pricing differential: Role of fundamentals, contagion and policy,"
Journal of International Money and Finance, Elsevier, vol. 59(C), pages 245-262.
- Michael Funke & Chang Shu & Xiaoqiang Cheng & Sercan Eraslan, 2015. "Assessing the CNH-CNY pricing differential: role of fundamentals, contagion and policy," BIS Working Papers 492, Bank for International Settlements.
- Boysen-Hogrefe, Jens, 2017. "Risk assessment on euro area government bond markets – The role of governance," Journal of International Money and Finance, Elsevier, vol. 73(PA), pages 104-117.
- Doyle, John R. & Chen, Catherine Huirong, 2012. "A multidimensional classification of market anomalies: Evidence from 76 price indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1237-1257.
- Siwen Zhou, 2021. "Exploring the driving forces of the Bitcoin currency exchange rate dynamics: an EGARCH approach," Empirical Economics, Springer, vol. 60(2), pages 557-606, February.
- Maurício Yoshinori Une & Marcelo Savino Portugal, 2005. "Can fear beat hope? A story of GARCH-in-Mean-Level effects for Emerging Market Country Risks," Econometrics 0509006, University Library of Munich, Germany.
- Zhou, Siwen, 2018. "Exploring the Driving Forces of the Bitcoin Exchange Rate Dynamics: An EGARCH Approach," MPRA Paper 89445, University Library of Munich, Germany.
- M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2007. "Effects of outliers on the identification and estimation of GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(4), pages 471-497, July.
- Mark, Joy, 2011. "Gold and the US dollar: Hedge or haven?," Finance Research Letters, Elsevier, vol. 8(3), pages 120-131, September.
- Deren Caliskan & Mohammad Najand, 2016. "Stock market returns and the price of gold," Journal of Asset Management, Palgrave Macmillan, vol. 17(1), pages 10-21, January.
- Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2006. "Bootstrap prediction for returns and volatilities in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2293-2312, May.
- Charles S. Bos & Philip Hans Franses & Marius Ooms, 2001.
"Inflation, Forecast Intervals and Long Memory Regression Models,"
Tinbergen Institute Discussion Papers
01-029/4, Tinbergen Institute.
- Bos, Charles S. & Franses, Philip Hans & Ooms, Marius, 2002. "Inflation, forecast intervals and long memory regression models," International Journal of Forecasting, Elsevier, vol. 18(2), pages 243-264.
Cited by:
- J. Cuñado & L. Gil-Alana & F. Gracia, 2009. "US stock market volatility persistence: evidence before and after the burst of the IT bubble," Review of Quantitative Finance and Accounting, Springer, vol. 33(3), pages 233-252, October.
- Carlos Barros & Luis Gil-Alana, 2012.
"Inflation forecasting in Angola: a fractional approach,"
CEsA Working Papers
103, CEsA - Centre for African and Development Studies.
- Carlos P. Barros & Luis A. Gil-Alana, 2013. "Inflation Forecasting in Angola: A Fractional Approach," African Development Review, African Development Bank, vol. 25(1), pages 91-104, March.
- Carlos Barros & Luis Gil-Alana, 2013. "Inflation Forecasting in Angola: A Fractional Approach," African Development Review, African Development Bank, vol. 25(1), pages 91-104.
- Luis A Gil-Alana & Christophe André & Rangan Gupta & Tsangyao Chang & Omid Ranjbar, 2015.
"The Feldstein-Horioka Puzzle in South Africa: A Fractional Cointegration Approach,"
Working Papers
201501, University of Pretoria, Department of Economics.
- Luis A. Gil-Alana & Christophe André & Rangan Gupta & Tsangyao Chang & Omid Ranjbar, 2016. "The Feldstein--Horioka puzzle in South Africa: A fractional cointegration approach," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 25(7), pages 978-991, October.
- Maria Caporale, Guglielmo & A. Gil-Alana, Luis, 2011.
"Multi-Factor Gegenbauer Processes and European Inflation Rates,"
Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 26, pages 386-409.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Multi-Factor Gegenbauer Processes and European Inflation Rates," CESifo Working Paper Series 2648, CESifo.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Multi-Factor Gegenbauer Processes and European Inflation Rates," Discussion Papers of DIW Berlin 879, DIW Berlin, German Institute for Economic Research.
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Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 142(1), pages 67-91, April.
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Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(2), pages 73-80, March.
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"Inflation Persistence and Structural Breaks: The Experience of Inflation Targeting Countries and the US,"
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2016-11, University of Connecticut, Department of Economics.
- Giorgio Canarella & Stephen M. Miller, 2016. "Inflation Persistence and Structural Breaks: The Experience of Inflation Targeting Countries and the US," Working papers 2016-21, University of Connecticut, Department of Economics.
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Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1457-1479, September.
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"The dynamics of inflation: a study of a large number of countries,"
Applied Economics, Taylor & Francis Journals, vol. 44(16), pages 2001-2026, June.
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"Long-Memory Modeling and Forecasting: Evidence from the U.S. Historical Series of Inflation,"
Working Papers
201869, University of Pretoria, Department of Economics.
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"Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour,"
African Development Review, African Development Bank, vol. 26(1), pages 59-73.
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CREATES Research Papers
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"Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements,"
Computing in Economics and Finance 2004
342, Society for Computational Economics.
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"Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory,"
Hannover Economic Papers (HEP)
dp-705, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
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"A Mixture Multiplicative Error Model for Realized Volatility,"
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"Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models,"
Economics Papers
2001-W27, Economics Group, Nuffield College, University of Oxford.
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Cited by:
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"Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices,"
Tinbergen Institute Discussion Papers
03-071/4, Tinbergen Institute.
- Marius Ooms & M. Angeles Carnero & Siem Jan Koopman, 2004. "Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices," Econometric Society 2004 Australasian Meetings 158, Econometric Society.
- McHale, I.G. & Peel, D.A., 2010. "Habit and long memory in UK lottery sales," Economics Letters, Elsevier, vol. 109(1), pages 7-10, October.
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"Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates,"
Documentos de Trabajo del ICAE
2018-22, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Asai Manabu & Peiris Shelton & McAleer Michael & Allen David E., 2020. "Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates," Journal of Time Series Econometrics, De Gruyter, vol. 12(1), pages 1-18, January.
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"Bias Correction of Persistence Measures in Fractionally Integrated Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 721-740, September.
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- Simone D. Grose & Gael M. Martin & D.S. Poskitt, 2014. "Bias Correction of Persistence Measures in Fractionally Integrated Models," Monash Econometrics and Business Statistics Working Papers 19/14, Monash University, Department of Econometrics and Business Statistics.
- Blazej Mazur, 2015. "Density forecasts based on disaggregate data: nowcasting Polish inflation," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 71-87.
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"An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 539-578.
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JRFM, MDPI, vol. 10(4), pages 1-16, December.
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"Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes,"
Monash Econometrics and Business Statistics Working Papers
18/14, Monash University, Department of Econometrics and Business Statistics.
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"Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap,"
Monash Econometrics and Business Statistics Working Papers
8/12, Monash University, Department of Econometrics and Business Statistics.
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- Siem Jan Koopman & Marius Ooms & M. Angeles Carnero, 2005.
"Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices,"
Tinbergen Institute Discussion Papers
05-091/4, Tinbergen Institute.
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"The Exact Maximum Likelihood-Based Test for Fractional Cointegration: Critical Values, Power and Size,"
Computational Economics, Springer;Society for Computational Economics, vol. 24(3), pages 239-255, July.
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- Quinton Morris & Gary Van Vuuren & Paul Styger, 2009. "Further Evidence Of Long Memory In The South African Stock Market," South African Journal of Economics, Economic Society of South Africa, vol. 77(1), pages 81-101, March.
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"Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks,"
Tinbergen Institute Discussion Papers
07-099/4, Tinbergen Institute.
- Charles S. Bos & Siem Jan Koopman & Marius Ooms, 2007. "Long memory modelling of inflation with stochastic variance and structural breaks," CREATES Research Papers 2007-44, Department of Economics and Business Economics, Aarhus University.
- Flores-Muñoz, Francisco & Báez-García, Alberto Javier & Gutiérrez-Barroso, Josué, 2019. "Fractional differencing in stock market price and online presence of global tourist corporations," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 24(48), pages 194-204.
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"Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes,"
Economics Papers
2003-W12, Economics Group, Nuffield College, University of Oxford.
- Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 217-252.
- Eugenie Hol & Siem Jan Koopman & Borus Jungbacker, 2004.
"Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements,"
Computing in Economics and Finance 2004
342, Society for Computational Economics.
- Koopman, Siem Jan & Jungbacker, Borus & Hol, Eugenie, 2005. "Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 445-475, June.
- Siem Jan Koopman & Borus Jungbacker & Eugenie Hol, 2004. "Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements," Tinbergen Institute Discussion Papers 04-016/4, Tinbergen Institute.
- Tommaso Proietti & Federico Maddanu, 2021.
"Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process,"
CEIS Research Paper
518, Tor Vergata University, CEIS, revised 19 Oct 2021.
- Proietti, Tommaso & Maddanu, Federico, 2024. "Modelling cycles in climate series: The fractional sinusoidal waveform process," Journal of Econometrics, Elsevier, vol. 239(1).
- G. Mesters & S. J. Koopman & M. Ooms, 2016.
"Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(4), pages 659-687, April.
- Geert Mesters & Siem Jan Koopman & Marius Ooms, 2011. "Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models," Tinbergen Institute Discussion Papers 11-090/4, Tinbergen Institute.
- D.S. Poskitt & Simone D. Grose & Gael M. Martin, 2013.
"Higher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes,"
Monash Econometrics and Business Statistics Working Papers
25/13, Monash University, Department of Econometrics and Business Statistics.
- D.S. Poskitt & Simone D. Grose & Gael M. Martin, 2012. "Higher Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes," Monash Econometrics and Business Statistics Working Papers 9/12, Monash University, Department of Econometrics and Business Statistics.
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- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2020. "Modelling Loans to Non-Financial Corporations within the Eurozone: A Long-Memory Approach," CESifo Working Paper Series 8674, CESifo.
- Bos, Charles S. & Koopman, Siem Jan & Ooms, Marius, 2014. "Long memory with stochastic variance model: A recursive analysis for US inflation," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 144-157.
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"The exact minimum likelihood estimation of ARFIMA processes and model selection criteria: A Monte Carlo study,"
THEMA Working Papers
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"A Class of Indirect Inference Estimators: Higher Order Asymptotics and Approximate Bias Correction (Revised),"
DEOS Working Papers
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"Time Series Models for Business and Economic Forecasting,"
Cambridge Books,
Cambridge University Press, number 9780521817707.
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"Time Series Modelling using TSMod 3.24,"
International Journal of Forecasting, Elsevier, vol. 20(3), pages 515-522.
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"A Fast Fractional Difference Algorithm,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 35(5), pages 428-436, August.
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- Andreas Noack Jensen & Morten Ø. Nielsen, 2013. "A Fast Fractional Difference Algorithm," Working Paper 1307, Economics Department, Queen's University.
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- Henryk GURGUL & Tomasz WÓJTOWICZ, 2006. "Long Memory on the German Stock Exchange," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(09-10), pages 447-468, September.
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- Kavasseri, Rajesh G. & Seetharaman, Krithika, 2009. "Day-ahead wind speed forecasting using f-ARIMA models," Renewable Energy, Elsevier, vol. 34(5), pages 1388-1393.
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"Multimodality and the GARCH Likelihood,"
Econometric Society World Congress 2000 Contributed Papers
0798, Econometric Society.
- Jurgen A. Doornik and Marius Ooms, 2001. "Multimodality and the GARCH Likelihood," Computing in Economics and Finance 2001 76, Society for Computational Economics.
Cited by:
- Eric Hillebrand & Gunther Schnabl, 2003.
"The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection,"
Departmental Working Papers
2003-09, Department of Economics, Louisiana State University.
- Eric Hillebrand, 2003. "The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection," Departmental Working Papers 2003-10, Department of Economics, Louisiana State University.
- Eric Hillebrand & Gunther Schnabl, 2004. "The Effects of Japanese Foreign Exchange Intervention, GARCH Estimation and Change Point Detection," Money Macro and Finance (MMF) Research Group Conference 2004 7, Money Macro and Finance Research Group.
- Eric Hillebrand & Gunther Schnabl, 2004. "The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection," International Finance 0410008, University Library of Munich, Germany.
- Hillebrand, Eric, 2005. "Neglecting parameter changes in GARCH models," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 121-138.
- Soosung Hwang & Pedro L. Valls Pereira, 2006.
"Small sample properties of GARCH estimates and persistence,"
The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 473-494.
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- Amilon, Henrik, 2003. "GARCH estimation and discrete stock prices: an application to low-priced Australian stocks," Economics Letters, Elsevier, vol. 81(2), pages 215-222, November.
- Yi-Chi Chen, 2013. "The Dynamics of Interbank Rate Behavior Under Alternative Monetary Regimes: The Case of Hong Kong," China Economic Policy Review (CEPR), World Scientific Publishing Co. Pte. Ltd., vol. 2(02), pages 1-21.
- B. D. McCullough & H. D. Vinod, 2003. "Verifying the Solution from a Nonlinear Solver: A Case Study," American Economic Review, American Economic Association, vol. 93(3), pages 873-892, June.
- Kwami Adanu, 2006. "Optimizing the Garch Model–An Application of Two Global and Two Local Search Methods," Computational Economics, Springer;Society for Computational Economics, vol. 28(3), pages 277-290, October.
- Laurini, Márcio Poletti & Portugal, Marcelo Savino, 2004.
"Long memory in the R$ / US$ exchange rate: A robust analysis,"
Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 24(1), May.
- Laurini, M. P. & Portugal, M. S., 2003. "Long Memory int the R$/US$ Exchange Rate: A Robust Analysis," Finance Lab Working Papers flwp_50, Finance Lab, Insper Instituto de Ensino e Pesquisa.
- Henrik Amilon, 2002. "A Score Test for Discreteness in GARCH Models," Research Paper Series 76, Quantitative Finance Research Centre, University of Technology, Sydney.
- Marius Ooms & Björn de Groot & Siem Jan Koopman, 1999.
"Time-Series Modelling of Daily Tax Revenues,"
Computing in Economics and Finance 1999
312, Society for Computational Economics.
- Siem Jan Koopman & Marius Ooms, 2003. "Time Series Modelling of Daily Tax Revenues," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 57(4), pages 439-469, November.
- Siem Jan Koopman & Marius Ooms, 2001. "Time Series Modelling of Daily Tax Revenues," Tinbergen Institute Discussion Papers 01-032/4, Tinbergen Institute.
Cited by:
- Cabrero, Alberto & Camba-Méndez, Gonzalo & Hirsch, Astrid & Nieto, Fernando, 2002.
"Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank,"
Working Paper Series
142, European Central Bank.
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- Alberto Cabrero & Gonzalo Camba-Mendez & Astrid Hirsch & Fernando Nieto, 2002. "Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank," Working Papers 0211, Banco de España.
- Barend Abeln & Jan P.A.M. Jacobs & Machiel Mulder, 2022.
"Seasonal adjustment of daily data with CAMPLET,"
CIRANO Working Papers
2022s-06, CIRANO.
- Barend Abeln & Jan P. A. M. Jacobs, 2023. "Seasonal Adjustment of Daily Data with CAMPLET," SpringerBriefs in Economics, in: Seasonal Adjustment Without Revisions, chapter 0, pages 63-78, Springer.
- Robert Ambrisko, 2022. "Nowcasting Macroeconomic Variables Using High-Frequency Fiscal Data," Working Papers 2022/5, Czech National Bank.
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"The dynamics of economics functions: modelling and forecasting the yield curve,"
Working Papers
0804, Federal Reserve Bank of Dallas.
- Bowsher, Clive G. & Meeks, Roland, 2008. "The Dynamics of Economic Functions: Modeling and Forecasting the Yield Curve," Journal of the American Statistical Association, American Statistical Association, vol. 103(484), pages 1419-1437.
- Clive G. Bowsher & Roland Meeks, 2008. "The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve," Economics Papers 2008-W05, Economics Group, Nuffield College, University of Oxford.
- Clive Bowsher & Roland Meeks, 2008. "The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve," OFRC Working Papers Series 2008fe24, Oxford Financial Research Centre.
- Eliana González & Luis F. Melo & Luis E. Rojas & Brayan Rojas, 2010.
"Estimations of the natural rate of interest in Colombia,"
Borradores de Economia
626, Banco de la Republica de Colombia.
- Eliana González & Luis F. Melo & Luis E. Rojas & Brayan Rojas, 2011. "Estimations of the Natural Rate of Interest in Colombia," Money Affairs, CEMLA, vol. 0(1), pages 33-75, January-J.
- Eliana González & Luis F. Melo & Luis E. Rojas & Brayan Rojas, 2010. "Estimations of the natural rate of interest in Colombia," Borradores de Economia 7667, Banco de la Republica.
- Guglielmo Maria Caporale & Silvia García Tapia & Luis Alberiko Gil-Alana, 2023. "Persistence in Tax Revenues: Evidence from Some OECD Countries," CESifo Working Paper Series 10682, CESifo.
- Webel, Karsten, 2022. "A review of some recent developments in the modelling and seasonal adjustment of infra-monthly time series," Discussion Papers 31/2022, Deutsche Bundesbank.
- Barend Abeln & Jan P.A.M. Jacobs, 2021.
"COVID19 and Seasonal Adjustment,"
CIRANO Working Papers
2021s-05, CIRANO.
- Barend Abeln & Jan P.A.M. Jacobs, 2021. "COVID-19 and seasonal adjustment," CAMA Working Papers 2021-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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- Barend Abeln & Jan P. A. M. Jacobs, 2023. "COVID-19 and Seasonal Adjustment," SpringerBriefs in Economics, in: Seasonal Adjustment Without Revisions, chapter 0, pages 53-61, Springer.
- Clive Bowsher & Roland Meeks, 2006.
"High Dimensional Yield Curves: Models and Forecasting,"
Economics Series Working Papers
2006-FE-11, University of Oxford, Department of Economics.
- Clive Bowsher & Roland Meeks, 2006. "High Dimensional Yield Curves: Models and Forecasting," Economics Papers 2006-W12, Economics Group, Nuffield College, University of Oxford.
- Clive G. Bowsher & Roland Meeks, 2006. "High Dimensional Yield Curves: Models and Forecasting," OFRC Working Papers Series 2006fe11, Oxford Financial Research Centre.
- Ollech, Daniel, 2018. "Seasonal adjustment of daily time series," Discussion Papers 41/2018, Deutsche Bundesbank.
- Siem Jan Koopman & Marius Ooms, 2004.
"Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models,"
Tinbergen Institute Discussion Papers
04-135/4, Tinbergen Institute.
- Koopman, Siem Jan & Ooms, Marius, 2006. "Forecasting daily time series using periodic unobserved components time series models," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 885-903, November.
- Ooms, M. & Doornik, J.A., 1999.
"Inference and Forecasting for Fractional Autoregressive Integrated Moving Average Models, with an application to US and UK inflation,"
Econometric Institute Research Papers
EI 9947/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
Cited by:
- Isao Ishida & Toshiaki Watanabe, 2009.
"Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model,"
CARF F-Series
CARF-F-145, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," Global COE Hi-Stat Discussion Paper Series gd08-032, Institute of Economic Research, Hitotsubashi University.
- Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," CIRJE F-Series CIRJE-F-608, CIRJE, Faculty of Economics, University of Tokyo.
- Laura Mayoral, 2005.
"The persistence of inflation in OECD countries: A fractionally integrated approach,"
Economics Working Papers
958, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2005.
- María Dolores Gadea & Laura Mayoral, 2006. "The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach," International Journal of Central Banking, International Journal of Central Banking, vol. 2(1), March.
- Laura Mayoral, 2005. "The Persistence of Inflation in OECD Countries:a Fractionally Integrated Approach," Working Papers 259, Barcelona School of Economics.
- Gadea, Maria & Mayoral, Laura, 2005. "The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach," MPRA Paper 815, University Library of Munich, Germany.
- Taner Yigit, 2007.
"Inflation Targeting : An Indirect Approach to Assess the Direct Impact,"
Working Papers
0706, Department of Economics, Bilkent University.
- Yigit, Taner M., 2010. "Inflation targeting: An indirect approach to assess the direct impact," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1357-1368, November.
- Doornik, Jurgen A. & Ooms, Marius, 2003.
"Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models,"
Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 333-348, March.
- Jurgen A. Doornik & Marius Ooms, 2001. "Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models," Economics Papers 2001-W27, Economics Group, Nuffield College, University of Oxford.
- Morana, Claudio, 2000. "Measuring core inflation in the euro area," Working Paper Series 36, European Central Bank.
- Richard T. Baille & Claudio Morana, 2009. "Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach," ICER Working Papers - Applied Mathematics Series 06-2009, ICER - International Centre for Economic Research.
- Emmanuel Dubois & Sandrine Lardic & Valérie Mignon, 2004.
"The Exact Maximum Likelihood-Based Test for Fractional Cointegration: Critical Values, Power and Size,"
Computational Economics, Springer;Society for Computational Economics, vol. 24(3), pages 239-255, July.
- E. Dubois & S. Lardic & V. Mignon, 2003. "The exact maximum likelihood-based test for fractional cointegration: critical values, power and size," THEMA Working Papers 2003-26, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Vasco J. Gabriel & Luis F. Martins, 2000. "The Forecast Performance of Long Memory and Markov Switching Models," NIPE Working Papers 2/2000, NIPE - Universidade do Minho.
- Bhansali, R. J. & Kokoszka, P. S., 2002. "Computation of the forecast coefficients for multistep prediction of long-range dependent time series," International Journal of Forecasting, Elsevier, vol. 18(2), pages 181-206.
- Arielle Beyaert, 2004. "Fractional Output Convergence, with an Application to Nine Developed Countries," Econometric Society 2004 Australasian Meetings 280, Econometric Society.
- Müller-Kademann Christian, 2015. "Internal Validation of Temporal Disaggregation: A Cloud Chamber Approach," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 235(3), pages 298-319, June.
- Yin-Wong Cheung & Sang-Kuck Chung, 2011. "A Long Memory Model with Normal Mixture GARCH," Computational Economics, Springer;Society for Computational Economics, vol. 38(4), pages 517-539, November.
- Morana Claudio, 2002. "Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(3), pages 1-40, November.
- Abidin Ozdemir, Zeynel & Fisunoglu, Mahir, 2008. "On the inflation-uncertainty hypothesis in Jordan, Philippines and Turkey: A long memory approach," International Review of Economics & Finance, Elsevier, vol. 17(1), pages 1-12.
- Isao Ishida & Toshiaki Watanabe, 2009.
"Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model,"
CARF F-Series
CARF-F-145, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Franses, Ph.H.B.F. & Ooms, M. & Bos, C.S., 1998.
"Long memory and level shifts: re-analysing inflation rates,"
Econometric Institute Research Papers
EI 9811, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Philip Hans Franses & Marius Ooms & Charles S. Bos, 1999. "Long memory and level shifts: Re-analyzing inflation rates," Empirical Economics, Springer, vol. 24(3), pages 427-449.
- Charles S. Bos & Philip Hans Franses & Marius Ooms, 1998. "Long Memory and Level Shifts: Re-Analyzing Inflation Rates," Tinbergen Institute Discussion Papers 98-039/4, Tinbergen Institute.
Cited by:
- Eric Hillebrand & Gunther Schnabl & Yasemin Ulu, 2006.
"Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility,"
CESifo Working Paper Series
1766, CESifo.
- Hillebrand, Eric & Schnabl, Gunther & Ulu, Yasemin, 2009. "Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 490-505, July.
- Carlos Barros & Luis Gil-Alana, 2012.
"Inflation forecasting in Angola: a fractional approach,"
CEsA Working Papers
103, CEsA - Centre for African and Development Studies.
- Carlos P. Barros & Luis A. Gil-Alana, 2013. "Inflation Forecasting in Angola: A Fractional Approach," African Development Review, African Development Bank, vol. 25(1), pages 91-104, March.
- Carlos Barros & Luis Gil-Alana, 2013. "Inflation Forecasting in Angola: A Fractional Approach," African Development Review, African Development Bank, vol. 25(1), pages 91-104.
- Maria Caporale, Guglielmo & A. Gil-Alana, Luis, 2011.
"Multi-Factor Gegenbauer Processes and European Inflation Rates,"
Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 26, pages 386-409.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Multi-Factor Gegenbauer Processes and European Inflation Rates," CESifo Working Paper Series 2648, CESifo.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Multi-Factor Gegenbauer Processes and European Inflation Rates," Discussion Papers of DIW Berlin 879, DIW Berlin, German Institute for Economic Research.
- Claudio Morana & Fabio Cesare Bagliano, 2007. "Inflation and monetary dynamics in the USA: a quantity-theory approach," Applied Economics, Taylor & Francis Journals, vol. 39(2), pages 229-244.
- Mohamed Boutahar & Gilles Dufrénot & Anne Péguin-Feissolle, 2008.
"A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t,"
Computational Economics, Springer;Society for Computational Economics, vol. 31(3), pages 225-241, April.
- Mohamed Boutahar & Gilles Dufrénot & Anne Peguin-Feissolle, 2008. "A simple fractionally integrated model with a time-varying long memory parameter dt," Post-Print halshs-00390136, HAL.
- McMillan, David G. & Wohar, Mark E., 2010. "Persistence and time-varying coefficients," Economics Letters, Elsevier, vol. 108(1), pages 85-88, July.
- Benjamin M. Tabak, 2007. "Estimating the Fractional Order of Integration of Yields in the Brazilian Fixed Income Market," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 36(3), pages 231-246, November.
- Choi, Kyongwook & Zivot, Eric, 2007. "Long memory and structural changes in the forward discount: An empirical investigation," Journal of International Money and Finance, Elsevier, vol. 26(3), pages 342-363, April.
- Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2020. "Modeling US historical time-series prices and inflation using alternative long-memory approaches," Empirical Economics, Springer, vol. 58(4), pages 1491-1511, April.
- Haldrup, Niels & Nielsen, Morten Orregaard, 2006.
"A regime switching long memory model for electricity prices,"
Journal of Econometrics, Elsevier, vol. 135(1-2), pages 349-376.
- Niels Haldrup & Morten O. Nielsen, 2004. "A Regime Switching Long Memory Model for Electricity Prices," Economics Working Papers 2004-2, Department of Economics and Business Economics, Aarhus University.
- van Dijk, Dick & Franses, Philip Hans & Paap, Richard, 2002. "A nonlinear long memory model, with an application to US unemployment," Journal of Econometrics, Elsevier, vol. 110(2), pages 135-165, October.
- Adnen Ben Nasr & Ahdi N. Ajmi & Rangan Gupta, 2013.
"Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model,"
Working Papers
201357, University of Pretoria, Department of Economics.
- Baillie Richard T. & Kapetanios George, 2016. "On the estimation of short memory components in long memory time series models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 365-375, September.
- Laura Mayoral, 2005.
"The persistence of inflation in OECD countries: A fractionally integrated approach,"
Economics Working Papers
958, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2005.
- María Dolores Gadea & Laura Mayoral, 2006. "The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach," International Journal of Central Banking, International Journal of Central Banking, vol. 2(1), March.
- Laura Mayoral, 2005. "The Persistence of Inflation in OECD Countries:a Fractionally Integrated Approach," Working Papers 259, Barcelona School of Economics.
- Gadea, Maria & Mayoral, Laura, 2005. "The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach," MPRA Paper 815, University Library of Munich, Germany.
- Charles S. Bos & Philip Hans Franses & Marius Ooms, 2001.
"Inflation, Forecast Intervals and Long Memory Regression Models,"
Tinbergen Institute Discussion Papers
01-029/4, Tinbergen Institute.
- Bos, Charles S. & Franses, Philip Hans & Ooms, Marius, 2002. "Inflation, forecast intervals and long memory regression models," International Journal of Forecasting, Elsevier, vol. 18(2), pages 243-264.
- L.A. Gil-Alana & G.M. caporale, 2004.
"Long-run and Cyclical Dynamics in the US Stock Market,"
Econometric Society 2004 Latin American Meetings
344, Econometric Society.
- Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Economics Series 155, Institute for Advanced Studies.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Long Run And Cyclical Dynamics In The Us Stock Market," Economics and Finance Discussion Papers 05-09, Economics and Finance Section, School of Social Sciences, Brunel University.
- Guglielmo Maria Caporale & Luis Gil‐Alana, 2014. "Long‐Run and Cyclical Dynamics in the US Stock Market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(2), pages 147-161, March.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007. "Long Run and Cyclical Dynamics in the US Stock Market," CESifo Working Paper Series 2046, CESifo.
- Rinke, Saskia & Busch, Marie & Leschinski, Christian, 2017. "Long Memory, Breaks, and Trends: On the Sources of Persistence in Inflation Rates," Hannover Economic Papers (HEP) dp-584, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2011.
"International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?,"
ERC Working Papers
1105, ERC - Economic Research Center, Middle East Technical University, revised Oct 2011.
- Aysit Tansel & Zeynel Abidin Ozdemir & Mehmet Balcilar, 2011. "International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?," Koç University-TUSIAD Economic Research Forum Working Papers 1130, Koc University-TUSIAD Economic Research Forum.
- Ozdemir, Zeynel Abidin & Balcilar, Mehmet & Tansel, Aysit, 2011. "International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?," IZA Discussion Papers 6063, Institute of Labor Economics (IZA).
- Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2011. "International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?," Working Papers 15-28, Eastern Mediterranean University, Department of Economics.
- Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2013. "International Labour Force Participation Rates By Gender: Unit Root Or Structural Breaks?," Bulletin of Economic Research, Wiley Blackwell, vol. 65, pages 142-164, May.
- Hyung, N. & Franses, Ph.H.B.F., 2002. "Inflation rates; long-memoray, level shifts, or both?," Econometric Institute Research Papers EI 2002-08, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Elena Andreou & Eric Ghysels, 2002.
"Detecting multiple breaks in financial market volatility dynamics,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 579-600.
- Elena Andreou & Eric Ghysels, 2001. "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers 2001s-65, CIRANO.
- Elena Andreou & Eric Ghysels, 2001. "Detecting Multiple Breaks in Financial Market Volatility Dynamics," University of Cyprus Working Papers in Economics 0202, University of Cyprus Department of Economics.
- Luis Alberiko Gil-Alaña & Olanrewaju L. Shittu & OlaOluwa S. Yaya, 2013.
"On the persistence and volatility in European, American and Asian stocks bull and bear markets,"
NCID Working Papers
12/2013, Navarra Center for International Development, University of Navarra.
- Gil-Alana, Luis A. & Shittu, Olanrewaju I. & Yaya, OlaOluwa S., 2014. "On the persistence and volatility in European, American and Asian stocks bull and bear markets," Journal of International Money and Finance, Elsevier, vol. 40(C), pages 149-162.
- Gadea, Maria Dolores & Sabate, Marcela & Serrano, Jose Maria, 2004. "Structural breaks and their trace in the memory: Inflation rate series in the long-run," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 117-134, April.
- Haldrup; Niels & Morten Oerregaard Nielsen, 2005.
"Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices,"
Economics Working Papers
2005-18, Department of Economics and Business Economics, Aarhus University.
- Haldrup Niels & Nielsen Morten Ø., 2006. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(3), pages 1-24, September.
- Boubaker Heni & Canarella Giorgio & Miller Stephen M. & Gupta Rangan, 2017.
"Time-varying persistence of inflation: evidence from a wavelet-based approach,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(4), pages 1-18, September.
- Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2016. "Time-Varying Persistence of Inflation: Evidence from a Wavelet-based Approach," Working papers 2016-09, University of Connecticut, Department of Economics.
- Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2016. "Time-Varying Persistence of Inflation: Evidence from a Wavelet-Based Approach," Working Papers 201647, University of Pretoria, Department of Economics.
- LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
- Giorgio Canarella & Stephen M. Miller, 2016.
"Inflation Persistence and Structural Breaks: The Experience of Inflation Targeting Countries and the US,"
Working papers
2016-11, University of Connecticut, Department of Economics.
- Giorgio Canarella & Stephen M. Miller, 2016. "Inflation Persistence and Structural Breaks: The Experience of Inflation Targeting Countries and the US," Working papers 2016-21, University of Connecticut, Department of Economics.
- Morana, Claudio, 2000. "Measuring core inflation in the euro area," Working Paper Series 36, European Central Bank.
- Dennis Alvaro & Ángel Guillén & Gabriel Rodríguez, 2017.
"Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts,"
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"Statistical Software for State Space Methods,"
Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i01).
Cited by:
- Alexander Dokumentov & Rob J. Hyndman, 2015. "STR: A Seasonal-Trend Decomposition Procedure Based on Regression," Monash Econometrics and Business Statistics Working Papers 13/15, Monash University, Department of Econometrics and Business Statistics.
- Gabriele Fiorentini & Enrique Sentana, 2016.
"Neglected serial correlation tests in UCARIMA models,"
SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 121-178, March.
- Gabriele Fiorentini & Enrique Sentana, 2014. "Neglected Serial Correlation Tests in UCARIMA Models," Working Papers wp2014_1406, CEMFI.
- Petris, Giovanni & Petrone, Sonia, 2011. "State Space Models in R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i04).
- Peng, Jyh-Ying & Aston, John A. D., 2011. "The State Space Models Toolbox for MATLAB," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i06).
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Charles S. Bos, 2011.
"A Bayesian Analysis of Unobserved Component Models using Ox,"
Tinbergen Institute Discussion Papers
11-048/4, Tinbergen Institute.
- Bos, Charles S., 2011. "A Bayesian Analysis of Unobserved Component Models Using Ox," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i13).
- Jong-Min Kim & Bainwen Sun & Sunghae Jun, 2019. "Sustainable Technology Analysis Using Data Envelopment Analysis and State Space Models," Sustainability, MDPI, vol. 11(13), pages 1-19, June.
- Tölö, Eero & Jokivuolle, Esa & Virén, Matti, 2017.
"Do banks’ overnight borrowing rates lead their CDS price? Evidence from the Eurosystem,"
Journal of Financial Intermediation, Elsevier, vol. 31(C), pages 93-106.
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- Lucchetti, Riccardo, 2011. "State Space Methods in gretl," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i11).
- Zietz, Joachim & Traian, Anca, 2014. "When was the U.S. housing downturn predictable? A comparison of univariate forecasting methods," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 271-281.
- Gómez, Victor, 2015. "SSMMATLAB: A Set of MATLAB Programs for the Statistical Analysis of State Space Models," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 66(i09).
- Alexander Dokumentov & Rob J. Hyndman, 2022. "STR: Seasonal-Trend Decomposition Using Regression," INFORMS Joural on Data Science, INFORMS, vol. 1(1), pages 50-62, April.
- Qian, Hang, 2015. "Inequality Constrained State Space Models," MPRA Paper 66447, University Library of Munich, Germany.
- Mendelssohn, Roy, 2011. "The STAMP Software for State Space Models," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i02).
- Bell, William R., 2011. "REGCMPNT A Fortran Program for Regression Models with ARIMA Component Errors," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i07).
- Christoph F. Kurz & Martin Rehm & Rolf Holle & Christina Teuner & Michael Laxy & Larissa Schwarzkopf, 2019. "The effect of bariatric surgery on health care costs: A synthetic control approach using Bayesian structural time series," Health Economics, John Wiley & Sons, Ltd., vol. 28(11), pages 1293-1307, November.
- Selukar, Rajesh, 2011. "State Space Modeling Using SAS," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i12).
- Weigand Roland & Wanger Susanne & Zapf Ines, 2018.
"Factor Structural Time Series Models for Official Statistics with an Application to Hours Worked in Germany,"
Journal of Official Statistics, Sciendo, vol. 34(1), pages 265-301, March.
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- Jacques Peeperkorn & Yudhvir Seetharam, 2016. "A learning-augmented approach to pricing risk in South Africa," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 6(1), pages 117-139, April.
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"Exact maximum likelihood estimation for non-stationary periodic time series models,"
Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2641-2654, November.
Cited by:
- Abdelkamel Alj & Christophe Ley & Guy Melard, 2015. "Asymptotic Properties of QML Estimators for VARMA Models with Time-Dependent Coefficients: Part I," Working Papers ECARES ECARES 2015-21, ULB -- Universite Libre de Bruxelles.
- Dordonnat, Virginie & Koopman, Siem Jan & Ooms, Marius, 2012. "Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3134-3152.
- Alj, Abdelkamel & Jónasson, Kristján & Mélard, Guy, 2016. "The exact Gaussian likelihood estimation of time-dependent VARMA models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 633-644.
- Milenković, Miloš S. & Bojović, Nebojša J. & Švadlenka, Libor & Melichar, Vlastimil, 2015. "A stochastic model predictive control to heterogeneous rail freight car fleet sizing problem," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 82(C), pages 162-198.
- Bos, Charles S. & Koopman, Siem Jan & Ooms, Marius, 2014. "Long memory with stochastic variance model: A recursive analysis for US inflation," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 144-157.
- Boshnakov, Georgi N. & Lambert-Lacroix, Sophie, 2012. "A periodic Levinson-Durbin algorithm for entropy maximization," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 15-24, January.
- Thornton, Michael A., 2013. "Removing seasonality under a changing regime: Filtering new car sales," Computational Statistics & Data Analysis, Elsevier, vol. 58(C), pages 4-14.
- Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2009.
"Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(5), pages 683-713, October.
See citations under working paper version above.
- Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2006. "Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment," Tinbergen Institute Discussion Papers 06-101/4, Tinbergen Institute.
- Doornik, Jurgen A. & Ooms, Marius, 2008.
"Multimodality in GARCH regression models,"
International Journal of Forecasting, Elsevier, vol. 24(3), pages 432-448.
See citations under working paper version above.
- Jurgen A. Doornik & Marius Ooms, 2003. "Multimodality in the GARCH Regression Model," Economics Papers 2003-W20, Economics Group, Nuffield College, University of Oxford.
- Dordonnat, V. & Koopman, S.J. & Ooms, M. & Dessertaine, A. & Collet, J., 2008.
"An hourly periodic state space model for modelling French national electricity load,"
International Journal of Forecasting, Elsevier, vol. 24(4), pages 566-587.
See citations under working paper version above.
- V. Dordonnat & S.J. Koopman & M. Ooms & A. Dessertaine & J. Collet, 2008. "An Hourly Periodic State Space Model for Modelling French National Electricity Load," Tinbergen Institute Discussion Papers 08-008/4, Tinbergen Institute.
- Siem Jan Koopman & Marius Ooms & André Lucas & Kees van Montfort & Victor Van Der Geest, 2008.
"Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model,"
Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 62(1), pages 104-130, February.
See citations under working paper version above.
- Siem Jan Koopman & André Lucas & Marius Ooms & Kees van Montfort & Victor van der Geest, 2007. "Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model," Tinbergen Institute Discussion Papers 07-027/4, Tinbergen Institute.
- Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles, 2007.
"Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices,"
Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 16-27, March.
See citations under working paper version above.
- Siem Jan Koopman & Marius Ooms & M. Angeles Carnero, 2005. "Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 05-091/4, Tinbergen Institute.
- Marius Ooms & Jurgen A. Doornik, 2006.
"Econometric software development: past, present and future,"
Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 60(2), pages 206-224, May.
Cited by:
- Ooms, M., 2008. "Trends in Applied Econometrics Software Development 1985-2008, an analysis of Journal of Applied Econometrics research articles, software reviews, data and code," Serie Research Memoranda 0021, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Franses, Ph.H.B.F. & van Dijk, D.J.C., 2009.
"Cointegration in a historical perspective,"
Econometric Institute Research Papers
EI 2009-08, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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- Roger Koenker & Achim Zeileis, 2009. "On reproducible econometric research," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(5), pages 833-847.
- Koopman, Siem Jan & Ooms, Marius, 2006.
"Forecasting daily time series using periodic unobserved components time series models,"
Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 885-903, November.
See citations under working paper version above.
- Siem Jan Koopman & Marius Ooms, 2004. "Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models," Tinbergen Institute Discussion Papers 04-135/4, Tinbergen Institute.
- Bart Hobijn & Philip Hans Franses & Marius Ooms, 2004.
"Generalizations of the KPSS‐test for stationarity,"
Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 58(4), pages 483-502, November.
Cited by:
- Jorge Andrés Tamayo Castaño, 2012. "Asimetrías en la demanda por trabajo en Colombia: el papel del ciclo económico," Borradores de Economia 9286, Banco de la Republica.
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"Tests for the Null Hypothesis of Cointegration: a Monte Carlo Comparison,"
NIPE Working Papers
7/2001, NIPE - Universidade do Minho.
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- P. S. Sephton, 2012. "Breaking deterministics, test size and the efficient Wald test for fractional unit roots," Applied Economics Letters, Taylor & Francis Journals, vol. 19(1), pages 83-85, January.
- Corrado, L. & Martin, R. & Weeks, M., 2004.
"Identifying and Interpreting Convergence Clusters Across Europe,"
Cambridge Working Papers in Economics
0414, Faculty of Economics, University of Cambridge.
- Luisa Corrado & Ron Martin & Melvyn Weeks, 2004. "Identifying And Interpreting Convergence Clusters Across Europe," Royal Economic Society Annual Conference 2004 145, Royal Economic Society.
- Jamie Emerson, 2023. "Education, employment, and labor force participation in the United States," Economics Bulletin, AccessEcon, vol. 43(3), pages 1377-1388.
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"A New Look at Panel Testing of Stationarity and the PPP Hypothesis,"
Economics Working Paper Archive
467, The Johns Hopkins University,Department of Economics.
- Jushan Bai & Serena Ng, 2001. "A New Look at Panel Testing of Stationarity and the PPP Hypothesis," Boston College Working Papers in Economics 518, Boston College Department of Economics.
- Lüders, Erik & Lüders-Amann, Inge & Schröder, Michael, 2004. "The Power Law and Dividend Yields," ZEW Discussion Papers 04-51, ZEW - Leibniz Centre for European Economic Research.
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"Causal relationship between stock prices and exchange rates,"
The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 20(1), pages 67-86.
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- Paul Alagidede & Theodore Panagiotidis & Xu Zhang, 2010. "Causal Relationship between Stock Prices and Exchange Rates," Discussion Paper Series 2010_01, Department of Economics, University of Macedonia, revised Jan 2010.
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"On the stationarity of per capita carbon dioxide emissions over a century,"
Economic Modelling, Elsevier, vol. 33(C), pages 918-925.
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- Maria Christidou & Theodore Panagiotidis & Abhijit Sharma, 2013. "On the stationarity of per capita carbon dioxide emissions over a century," Koç University-TUSIAD Economic Research Forum Working Papers 1317, Koc University-TUSIAD Economic Research Forum.
- Maria Christisou & Theodore Panagiotidis & Abhijit Sharma, 2013. "On the stationarity of per capita carbon dioxide emissions over a century," Discussion Paper Series 2013_02, Department of Economics, University of Macedonia, revised Dec 2013.
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- Christidou, Maria & Panagiotidis, Theodore, 2010.
"Purchasing Power Parity and the European single currency: Some new evidence,"
Economic Modelling, Elsevier, vol. 27(5), pages 1116-1123, September.
- Maria Christidou & Theodore Panagiotidis, 2010. "Purchasing Power Parity and the European Single Currency: Some New Evidence," Working Paper series 19_10, Rimini Centre for Economic Analysis.
- Maria Christidou & Theodore Panagiotidis, 2010. "Purchasing Power Parity and the European Single Currency: Some New Evidence," Discussion Paper Series 2010_03, Department of Economics, University of Macedonia, revised Apr 2010.
- Maria Christidou & Theodore Panagiotidis, 2010. "Purchasing Power Parity and the European Single Currency: Some New Evidence," Koç University-TUSIAD Economic Research Forum Working Papers 1018, Koc University-TUSIAD Economic Research Forum.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
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"Consistent Inference for Predictive Regressions in Persistent Economic Systems,"
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28568, National Bureau of Economic Research, Inc.
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"The fragility of the KPSS stationarity test,"
Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(2), pages 237-253, June.
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"Inflation Persistence and Structural Breaks: The Experience of Inflation Targeting Countries and the US,"
Working papers
2016-11, University of Connecticut, Department of Economics.
- Giorgio Canarella & Stephen M. Miller, 2016. "Inflation Persistence and Structural Breaks: The Experience of Inflation Targeting Countries and the US," Working papers 2016-21, University of Connecticut, Department of Economics.
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"Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate,"
Journal of International Money and Finance, Elsevier, vol. 20(5), pages 639-657, October.
- Kilian, L. & Caner, M., 1999. "Size Distortions of Tests of the Null Hypothesis of Stationarity: Evidence and Implications for the PPP Debate," Papers 99-05, Michigan - Center for Research on Economic & Social Theory.
- Kilian, Lutz & Caner, Mehmet, 2000. "Size Distortions Of Tests Of The Null Hypothesis Of Stationarity: Evidence And Implications For The PPP Debate," CEPR Discussion Papers 2425, C.E.P.R. Discussion Papers.
- Jorge Andrés Tamayo Castaño, 2012. "Asimetrías en la demanda por trabajo en Colombia: el papel del ciclo económico," Borradores de Economia 689, Banco de la Republica de Colombia.
- Yongtao Guan, 2008. "A KPSS Test for Stationarity for Spatial Point Processes," Biometrics, The International Biometric Society, vol. 64(3), pages 800-806, September.
- Schröder, Michael & Hüfner, Felix P., 2002.
"Exchange rate pass-through to consumer prices: a European perspective,"
ZEW Discussion Papers
02-20, ZEW - Leibniz Centre for European Economic Research.
- Felix P. Hüfner & Michael Schröder, 2003. "Exchange Rate Pass-Through to Consumer Prices: A European Perspective," Aussenwirtschaft, University of St. Gallen, School of Economics and Political Science, Swiss Institute for International Economics and Applied Economics Research, vol. 58(03), pages 383-412, September.
- Ghassan, Hassan B. & Alhajhoj, Hassan R. & Balli, Faruk, 2020.
"Bi-Demographic and Current Account Dynamics using SVAR Model: Evidence from Saudi Arabia,"
MPRA Paper
109772, University Library of Munich, Germany, revised Jun 2021.
- Hassan B. Ghassan & Hassan R. Alhajhoj & Faruk Balli, 2022. "Bi-demographic and current account dynamics using SVAR model: evidence from Saudi Arabia," Economic Change and Restructuring, Springer, vol. 55(3), pages 1327-1363, August.
- SBIA, Rashid & Shahbaz, Muhammad & Ozturk, Ilhan, 2016.
"Economic Growth, Financial Development, Urbanization and Electricity Consumption Nexus in UAE,"
MPRA Paper
74790, University Library of Munich, Germany, revised 24 Oct 2016.
- Rashid Sbia & Muhammad Shahbaz & Ilhan Ozturk, 2017. "Economic growth, financial development, urbanisation and electricity consumption nexus in UAE," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 30(1), pages 527-549, January.
- Ghassan, Hassan & Alhajhoj, Hassan R. & Balli, Faruk, 2018. "Bi-Demographic Changes and Current Account using SVAR Modeling: Evidence from Saudi Arabia," MPRA Paper 93013, University Library of Munich, Germany, revised 01 Feb 2019.
- Sephton, Peter & Mann, Janelle, 2018. "Gold and crude oil prices after the great moderation," Energy Economics, Elsevier, vol. 71(C), pages 273-281.
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- Baum, Christopher F. & Barkoulas, John, 2006.
"Dynamics of Intra-EMS Interest Rate Linkages,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(2), pages 469-482, March.
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- Christopher F Baum & John Barkoulas, 2002. "Dynamics of Intra-EMS Interest Rate Linkages," Computing in Economics and Finance 2002 13, Society for Computational Economics.
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- Eduard Baumöhl & Štefan Lyócsa & Tomáš Výrost, 2011. "Volatility Regimes in Macroeconomic Time Series: The Case of the Visegrad Group," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(6), pages 530-544, December.
- Baumöhl, Eduard & Lyócsa, Štefan, 2012. "Constructing weekly returns based on daily stock market data: A puzzle for empirical research?," MPRA Paper 43431, University Library of Munich, Germany.
- George Kapetanios, 2007. "Testing for Strict Stationarity," Working Papers 602, Queen Mary University of London, School of Economics and Finance.
- Jönsson, Kristian, 2006. "Finite-Sample Stability of the KPSS Test," Working Papers 2006:23, Lund University, Department of Economics.
- Tamayo Castaño, Jorge Andrés, 2012. "Asimetrías en la demanda por trabajo en Colombia : el papel del ciclo económico," Chapters, in: Arango-Thomas, Luis Eduardo & Hamann-Salcedo, Franz Alonso (ed.), El mercado de trabajo en Colombia : hechos, tendencias e instituciones, chapter 12, pages 487-542, Banco de la Republica de Colombia.
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"Hot money inflows in China: How the people's bank of China took up the challenge,"
Cahiers de la Maison des Sciences Economiques
bla06011, Université Panthéon-Sorbonne (Paris 1).
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- Vincent Bouvatier, 2006. "Hot Money Inflows in China: How the People's Bank of China Took up the Challenge," Post-Print halshs-00111153, HAL.
- Dawar Hama Khalid Mohammed & Fatih Külahcı & Ahmad Muhammed, 2021. "Determination of possible responses of Radon-222, magnetic effects, and total electron content to earthquakes on the North Anatolian Fault Zone, Turkiye: an ARIMA and Monte Carlo Simulation," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 108(3), pages 2493-2512, September.
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"Convergence and Catching Up in ASEAN: A Comparative Analysis,"
CIRJE F-Series
CIRJE-F-218, CIRJE, Faculty of Economics, University of Tokyo.
- Lee Kian Lim & Michael McAleer, 2004. "Convergence and catching up in ASEAN: a comparative analysis," Applied Economics, Taylor & Francis Journals, vol. 36(2), pages 137-153.
- Rehim Kılıç & Patrick McCarthy, 2012. "Long-run equilibrium and short-run dynamics between risk exposure and highway safety," Empirical Economics, Springer, vol. 42(3), pages 899-913, June.
- Xiao, Zhijie & Lima, Luiz Renato Regis de Oliveira, 2006.
"Testing covariance stationarity,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
632, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
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- Ahmad Zubaidi Baharumshah & Aliyu Alhaji Jibrilla & Abdalla Sirag & Hamisu Sadi Ali & Ibrahim Muye Muhammad, 2016. "Public Revenue-Expenditure Nexus in South Africa: Are there Asymmetries?," South African Journal of Economics, Economic Society of South Africa, vol. 84(4), pages 520-537, December.
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"A Common Factor Approach to Spatial Heterogeneity in Agricultural Productivity Analysis,"
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See citations under working paper version above.
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Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 57(4), pages 439-469, November.
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"Inflation, forecast intervals and long memory regression models,"
International Journal of Forecasting, Elsevier, vol. 18(2), pages 243-264.
See citations under working paper version above.
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"Forecasting long memory left-right political orientations,"
International Journal of Forecasting, Elsevier, vol. 15(2), pages 185-199, April.
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"Modelos de memoria larga para series económicas y financieras,"
DES - Documentos de Trabajo. EstadÃstica y EconometrÃa. DS
ds010101, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
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"Modelos de memoria larga para series económicas y financieras,"
DES - Documentos de Trabajo. EstadÃstica y EconometrÃa. DS
ds010101, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Philip Hans Franses & Marius Ooms & Charles S. Bos, 1999.
"Long memory and level shifts: Re-analyzing inflation rates,"
Empirical Economics, Springer, vol. 24(3), pages 427-449.
See citations under working paper version above.
- Charles S. Bos & Philip Hans Franses & Marius Ooms, 1998. "Long Memory and Level Shifts: Re-Analyzing Inflation Rates," Tinbergen Institute Discussion Papers 98-039/4, Tinbergen Institute.
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- Marius Ooms, 1999.
"Review of SsfPack 2.2: statistical algorithms for models in state space,"
Econometrics Journal, Royal Economic Society, vol. 2(1), pages 161-166.
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"On the effect of seasonal adjustment on the log-periodogram regression,"
Economics Letters, Elsevier, vol. 56(2), pages 135-141, October.
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"Long memory and level shifts: re-analysing inflation rates,"
Econometric Institute Research Papers
EI 9811, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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- Philip Hans Franses & Marius Ooms & Charles S. Bos, 1999. "Long memory and level shifts: Re-analyzing inflation rates," Empirical Economics, Springer, vol. 24(3), pages 427-449.
- Charles S. Bos & Philip Hans Franses & Marius Ooms, 2001.
"Inflation, Forecast Intervals and Long Memory Regression Models,"
Tinbergen Institute Discussion Papers
01-029/4, Tinbergen Institute.
- Bos, Charles S. & Franses, Philip Hans & Ooms, Marius, 2002. "Inflation, forecast intervals and long memory regression models," International Journal of Forecasting, Elsevier, vol. 18(2), pages 243-264.
- Gil-Alaña, Luis A., 2000.
"Deterministic seasonality versus seasonal fractional integration,"
SFB 373 Discussion Papers
2000,106, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Luis A. Gil-Alana, 2004. "Deterministic Seasonality versus Seasonal Fractional Integration," Faculty Working Papers 07/04, School of Economics and Business Administration, University of Navarra.
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"Fractional Cointegrating Regression In The Presence Of Linear Time Trends,"
Computing in Economics and Finance 2000
138, Society for Computational Economics.
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"On the invertibility of seasonally adjusted series,"
Computational Statistics, Springer, vol. 33(1), pages 443-465, March.
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"Long memory and level shifts: re-analysing inflation rates,"
Econometric Institute Research Papers
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"On Periodic Correlations between Estimated Seasonal and Nonseasonal Components in German and U.S. Unemployment,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 15(4), pages 470-481, October.
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"Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices,"
Tinbergen Institute Discussion Papers
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"Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(5), pages 509-526, December.
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"Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(5), pages 683-713, October.
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