Christoph Schleicher
Personal Details
First Name: | Christoph |
Middle Name: | |
Last Name: | Schleicher |
Suffix: | |
RePEc Short-ID: | psc196 |
[This author has chosen not to make the email address public] | |
Research output
Jump to: Working papers ArticlesWorking papers
- M. Hashem Pesaran & Christoph Schleicher & Paolo Zaffaroni, 2008.
"Model Averaging in Risk Management with an Application to Futures Markets,"
CESifo Working Paper Series
2231, CESifo Group Munich.
- Pesaran, M. Hashem & Schleicher, Christoph & Zaffaroni, Paolo, 2009. "Model averaging in risk management with an application to futures markets," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 280-305, March.
- Pesaran, M.H. & Schleicher, C. & Zaffaroni, P., 2008. "Model Averaging in Risk Management with an Application to Futures Markets," Cambridge Working Papers in Economics 0808, Faculty of Economics, University of Cambridge.
- Christoph Schleicher & Mark Salmon, 2006. "Pricing Multivariate Currency Options with Copulas," Working Papers wp06-21, Warwick Business School, Finance Group.
- Simon Price & Christoph Schleicher, 2006. "Returns to equity, investment and Q: evidence from the United Kingdom," Bank of England working papers 310, Bank of England.
- Christoph Schleicher & Matthew Hurd & Mark Salmon, 2005.
"Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index,"
Computing in Economics and Finance 2005
215, Society for Computational Economics.
- Matthew Hurd & Mark Salmon & Christoph Schleicher, 2007. "Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index," Bank of England working papers 334, Bank of England.
- Hurd, Matthew & Salmon, Mark & Schleicher, Christoph, 2005. "Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index," CEPR Discussion Papers 5114, C.E.P.R. Discussion Papers.
- Christoph Schleicher & Mark Salmon & Matthew Hurd, 2005. "Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index (Revised)," Working Papers wp05-14, Warwick Business School, Finance Group.
- Christoph Schleicher & Francisco Barillas, 2005.
"Common Trends and Common Cycles in Canadian Sectoral Output,"
Computing in Economics and Finance 2005
214, Society for Computational Economics.
- Francisco Barillas & Christoph Schleicher, 2003. "Common Trends and Common Cycles in Canadian Sectoral Output," Staff Working Papers 03-44, Bank of Canada.
- Christoph Schleicher, 2004.
"Codependence in Cointegrated Autoregressive Models,"
Computing in Economics and Finance 2004
286, Society for Computational Economics.
- Christoph Schleicher, 2007. "Codependence in cointegrated autoregressive models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 137-159.
- Christoph Schleicher, 2003. "Kolmogorov-Wiener Filters for Finite Time Series," Computing in Economics and Finance 2003 109, Society for Computational Economics.
- Christoph Schleicher, 2003. "Structural Time-Series Models with Common Trends and Common Cycles," Computing in Economics and Finance 2003 108, Society for Computational Economics.
- Christoph Schleicher, 2002. "An Introduction to Wavelets for Economists," Staff Working Papers 02-3, Bank of Canada.
Articles
- Pesaran, M. Hashem & Schleicher, Christoph & Zaffaroni, Paolo, 2009.
"Model averaging in risk management with an application to futures markets,"
Journal of Empirical Finance,
Elsevier, vol. 16(2), pages 280-305, March.
- M. Hashem Pesaran & Christoph Schleicher & Paolo Zaffaroni, 2008. "Model Averaging in Risk Management with an Application to Futures Markets," CESifo Working Paper Series 2231, CESifo Group Munich.
- Pesaran, M.H. & Schleicher, C. & Zaffaroni, P., 2008. "Model Averaging in Risk Management with an Application to Futures Markets," Cambridge Working Papers in Economics 0808, Faculty of Economics, University of Cambridge.
- Christoph Schleicher, 2007.
"Codependence in cointegrated autoregressive models,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 22(1), pages 137-159.
- Christoph Schleicher, 2004. "Codependence in Cointegrated Autoregressive Models," Computing in Economics and Finance 2004 286, Society for Computational Economics.
- Simon Price & Christoph Schleicher, 2005. "Returns To Equity, Investment And Q: Evidence From The Uk," Manchester School, University of Manchester, vol. 73(s1), pages 32-57, September.
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
- M. Hashem Pesaran & Christoph Schleicher & Paolo Zaffaroni, 2008.
"Model Averaging in Risk Management with an Application to Futures Markets,"
CESifo Working Paper Series
2231, CESifo Group Munich.
- Pesaran, M. Hashem & Schleicher, Christoph & Zaffaroni, Paolo, 2009. "Model averaging in risk management with an application to futures markets," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 280-305, March.
- Pesaran, M.H. & Schleicher, C. & Zaffaroni, P., 2008. "Model Averaging in Risk Management with an Application to Futures Markets," Cambridge Working Papers in Economics 0808, Faculty of Economics, University of Cambridge.
Cited by:
- Wang, Nanying & Houston, Jack E., 2015. "The Co-movement between Non-GM and GM Soybean Price in China: Evidence from China Futures Market," 2015 Conference, August 9-14, 2015, Milan, Italy 211914, International Association of Agricultural Economists.
- Antonio Ciccone & Marek Jarocinski, 2010.
"Determinants of Economic Growth: Will Data Tell?,"
Working Papers
1009, BBVA Bank, Economic Research Department.
- Antonio Ciccone & Marek Jarociński, 2010. "Determinants of Economic Growth: Will Data Tell?," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(4), pages 222-246, October.
- Ciccone, Antonio & Jarociński, Marek, 2008. "Determinants of economic growth: will data tell?," Working Paper Series 852, European Central Bank.
- Antonio Ciccone & Marek Jarocinski, 2007. "Determinants of economic growth: Will data tell?," Economics Working Papers 1052, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2009.
- Marek Jarocinski & Antonio Ciccone, 2009. "Determinants of Economic Growth: Will Data Tell?," Working Papers 2009-36, FEDEA.
- Ciccone, Antonio & Jarocinski, Marek, 2007. "Determinants of Economic Growth: Will Data Tell?," CEPR Discussion Papers 6544, C.E.P.R. Discussion Papers.
- Bahram Pesaran & M. Hashem Pesaran, 2010.
"Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash,"
CESifo Working Paper Series
3023, CESifo Group Munich.
- Pesaran, Bahram & Pesaran, M. Hashem, 2010. "Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash," Economic Modelling, Elsevier, vol. 27(6), pages 1398-1416, November.
- Valeria Bignozzi & Claudio Macci & Lea Petrella, 2017. "Large deviations for risk measures in finite mixture models," Papers 1710.03252, arXiv.org, revised Feb 2018.
- Pesaran, M.H. & Assenmacher-Wesche, K., 2007.
"Assessing forecast uncertainties in a VECX* model for Switzerland: an exercise in forecast combination across models and observation windows,"
Cambridge Working Papers in Economics
0746, Faculty of Economics, University of Cambridge.
- Katrin Assenmacher-Wesche & M. Hashem Pesaran, 2007. "Assessing Forecast Uncertainties in a VECX Model for Switzerland: An Exercise in Forecast Combination across Models and Observation Windows," CESifo Working Paper Series 2116, CESifo Group Munich.
- Assenmacher-Wesche, Katrin & Pesaran, M. Hashem, 2007. "Assessing Forecast Uncertainties in a VECX Model for Switzerland: An Exercise in Forecast Combination across Models and Observation Windows," IZA Discussion Papers 3071, Institute for the Study of Labor (IZA).
- McAleer, M.J., 2008.
"The ten commandments for optimizing value-at-risk and daily capital charges,"
Econometric Institute Research Papers
EI 2008-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CARF F-Series CARF-F-164, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," Documentos de Trabajo del ICAE 2009-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CIRJE F-Series CIRJE-F-652, CIRJE, Faculty of Economics, University of Tokyo.
- Michael McAleer, 2009. "The Ten Commandments For Optimizing Value-At-Risk And Daily Capital Charges," Journal of Economic Surveys, Wiley Blackwell, vol. 23(5), pages 831-849, December.
- Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2013.
"Sequential estimation of shape parameters in multivariate dynamic models,"
Journal of Econometrics,
Elsevier, vol. 177(2), pages 233-249.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012. "Sequential Estimation of Shape Parameters in Multivariate Dynamic Models," Working Papers wp2012_1201, CEMFI.
- Gradojevic, Nikola & Gençay, Ramazan, 2013. "Fuzzy logic, trading uncertainty and technical trading," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 578-586.
- Moral-Benito, Enrique, 2010.
"Model averaging in economics,"
MPRA Paper
26047, University Library of Munich, Germany.
- Enrique Moral-Benito, 2010. "Model Averaging in Economics," Working Papers wp2010_1008, CEMFI.
- Enrique Moral-Benito, 2011. "Model averaging in economics," Working Papers 1123, Banco de España;Working Papers Homepage.
- Gloria Gonzalez-Rivera & Emre Yoldas, 2010. "Multivariate Autocontours for Specification Testing in Multivariate GARCH Models," Working Papers 201436, University of California at Riverside, Department of Economics.
- Nanying Wang & Jack E. Houston, 2016. "The Co-Movement between Non-GM and GM Soybean Prices in China: Evidence from Dalian Futures Market (2004-2014)," Applied Economics and Finance, Redfame publishing, vol. 3(4), pages 37-47, November.
- Wang, Nanying & Houston, Jack, 2015. "The Comovement between Non-GM and GM Soybean Price in China: Evidence from Dalian Futures Market," 2015 Annual Meeting, January 31-February 3, 2015, Atlanta, Georgia 196775, Southern Agricultural Economics Association.
- González-Rivera, Gloria & Yoldas, Emre, 2012. "Autocontour-based evaluation of multivariate predictive densities," International Journal of Forecasting, Elsevier, vol. 28(2), pages 328-342.
- Zhang, Xinyu & Wan, Alan T.K. & Zou, Guohua, 2013. "Model averaging by jackknife criterion in models with dependent data," Journal of Econometrics, Elsevier, vol. 174(2), pages 82-94.
- Enrique Moral-Benito, 2015. "Model Averaging In Economics: An Overview," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 46-75, February.
- Vanina Forget, 2012. "Doing well and doing good: a multi-dimensional puzzle," Working Papers hal-00672037, HAL.
- Christoph Schleicher & Mark Salmon, 2006.
"Pricing Multivariate Currency Options with Copulas,"
Working Papers
wp06-21, Warwick Business School, Finance Group.
Cited by:
- Bedendo, Mascia & Campolongo, Francesca & Joossens, Elisabeth & Saita, Francesco, 2010. "Pricing multiasset equity options: How relevant is the dependence function?," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 788-801, April.
- Li, Xiao-Ming, 2011. "How do exchange rates co-move? A study on the currencies of five inflation-targeting countries," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 418-429, February.
- Alvise De Col & Alessandro Gnoatto & Martino Grasselli, 2012. "Smiles all around: FX joint calibration in a multi-Heston model," Papers 1201.1782, arXiv.org, revised Jun 2013.
- Tavin, Bertrand, 2015. "Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 158-178.
- Kleinbrod, Vincent M. & Li, Xiao-Ming, 2017. "Order flow and exchange rate comovement," Journal of International Money and Finance, Elsevier, vol. 77(C), pages 199-215.
- Hussain, Muntazir & Zebende, Gilney Figueira & Bashir, Usman & Donghong, Ding, 2017. "Oil price and exchange rate co-movements in Asian countries: Detrended cross-correlation approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 338-346.
- Leonidas Tsiaras, 2010. "Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns," CREATES Research Papers 2010-35, Department of Economics and Business Economics, Aarhus University.
- Reboredo, Juan C. & Rivera-Castro, Miguel A., 2013. "A wavelet decomposition approach to crude oil price and exchange rate dependence," Economic Modelling, Elsevier, vol. 32(C), pages 42-57.
- De Col, Alvise & Gnoatto, Alessandro & Grasselli, Martino, 2013. "Smiles all around: FX joint calibration in a multi-Heston model," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3799-3818.
- Diers, Dorothea & Eling, Martin & Marek, Sebastian D., 2012. "Dependence modeling in non-life insurance using the Bernstein copula," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 430-436.
- Patton, Andrew J., 2012. "A review of copula models for economic time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 4-18.
- Patton, Andrew, 2013. "Copula Methods for Forecasting Multivariate Time Series," Handbook of Economic Forecasting, Elsevier.
- Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.
- Simon Price & Christoph Schleicher, 2006.
"Returns to equity, investment and Q: evidence from the United Kingdom,"
Bank of England working papers
310, Bank of England.
Cited by:
- Gallegati, Marco & Ramsey, James B., 2014. "The forward looking information content of equity and bond markets for aggregate investments," Journal of Economics and Business, Elsevier, vol. 75(C), pages 1-24.
- Christoph Schleicher & Matthew Hurd & Mark Salmon, 2005.
"Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index,"
Computing in Economics and Finance 2005
215, Society for Computational Economics.
- Matthew Hurd & Mark Salmon & Christoph Schleicher, 2007. "Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index," Bank of England working papers 334, Bank of England.
- Hurd, Matthew & Salmon, Mark & Schleicher, Christoph, 2005. "Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index," CEPR Discussion Papers 5114, C.E.P.R. Discussion Papers.
Cited by:
- Fabrizio Durante & Erich Klement & Carlo Sempi & Manuel Úbeda-Flores, 2010. "Measures of non-exchangeability for bivariate random vectors," Statistical Papers, Springer, vol. 51(3), pages 687-699, September.
- Mendoza-Velázquez, Alfonso & Galvanovskis, Evalds, 2009. "Introducing the GED-Copula with an application to Financial Contagion in Latin America," MPRA Paper 46669, University Library of Munich, Germany, revised 01 Feb 2010.
- Zhichao Zhang & Li Ding & Fan Zhang & Zhuang Zhang, 2015. "Optimal Currency Composition for China's Foreign Reserves: A Copula Approach," The World Economy, Wiley Blackwell, vol. 38(12), pages 1947-1965, December.
- Constantino, Michel & Candido, Osvaldo & Tabak, Benjamin M. & da Costa, Reginaldo Brito, 2017. "Modeling stochastic frontier based on vine copulas," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 595-609.
- Alvise De Col & Alessandro Gnoatto & Martino Grasselli, 2012. "Smiles all around: FX joint calibration in a multi-Heston model," Papers 1201.1782, arXiv.org, revised Jun 2013.
- Tavin, Bertrand, 2015. "Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 158-178.
- Mendoza, Alfonso. & Galvanovskis, Evalds., 2014. "La cópula GED bivariada. Una aplicación en entornos de crisis," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(323), pages .721-746, julio-sep.
- Mark Salmon & Christoph Schleicher, 2006. "Pricing Multivariate Currency Options with Copulas," Working Papers wpn06-10, Warwick Business School, Finance Group.
- De Col, Alvise & Gnoatto, Alessandro & Grasselli, Martino, 2013. "Smiles all around: FX joint calibration in a multi-Heston model," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3799-3818.
- Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.
- Christoph Schleicher & Mark Salmon & Matthew Hurd, 2005.
"Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index (Revised),"
Working Papers
wp05-14, Warwick Business School, Finance Group.
Cited by:
- Mendoza-Velázquez, Alfonso & Galvanovskis, Evalds, 2009. "Introducing the GED-Copula with an application to Financial Contagion in Latin America," MPRA Paper 46669, University Library of Munich, Germany, revised 01 Feb 2010.
- Constantino, Michel & Candido, Osvaldo & Tabak, Benjamin M. & da Costa, Reginaldo Brito, 2017. "Modeling stochastic frontier based on vine copulas," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 595-609.
- Mendoza, Alfonso. & Galvanovskis, Evalds., 2014. "La cópula GED bivariada. Una aplicación en entornos de crisis," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(323), pages .721-746, julio-sep.
- Christoph Schleicher & Francisco Barillas, 2005.
"Common Trends and Common Cycles in Canadian Sectoral Output,"
Computing in Economics and Finance 2005
214, Society for Computational Economics.
- Francisco Barillas & Christoph Schleicher, 2003. "Common Trends and Common Cycles in Canadian Sectoral Output," Staff Working Papers 03-44, Bank of Canada.
Cited by:
- Elizabeth C. Wakerly & Byron G. Scott & James M. Nason, 2004.
"Common trends and common cycles in Canada: who knew so much has been going on?,"
FRB Atlanta Working Paper
2004-5, Federal Reserve Bank of Atlanta.
- Elizabeth Wakerly & Byron Scott & James Nason, 2006. "Common trends and common cycles in Canada: who knew so much has been going on?," Canadian Journal of Economics, Canadian Economics Association, vol. 39(1), pages 320-347, February.
- de Silva, Ashton, 2007.
"A multivariate innovations state space Beveridge Nelson decomposition,"
MPRA Paper
5431, University Library of Munich, Germany.
- de Silva, Ashton & Hyndman, Rob J. & Snyder, Ralph, 2009. "A multivariate innovations state space Beveridge-Nelson decomposition," Economic Modelling, Elsevier, vol. 26(5), pages 1067-1074, September.
- Christoph Schleicher, 2007.
"Codependence in cointegrated autoregressive models,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 22(1), pages 137-159.
- Christoph Schleicher, 2004. "Codependence in Cointegrated Autoregressive Models," Computing in Economics and Finance 2004 286, Society for Computational Economics.
- Christoph Schleicher, 2004.
"Codependence in Cointegrated Autoregressive Models,"
Computing in Economics and Finance 2004
286, Society for Computational Economics.
- Christoph Schleicher, 2007. "Codependence in cointegrated autoregressive models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 137-159.
Cited by:
- Trenkler, Carsten & Weber, Enzo, 2012.
"Identifying the Shocks behind Business Cycle Asynchrony in Euroland,"
University of Regensburg Working Papers in Business, Economics and Management Information Systems
466, University of Regensburg, Department of Economics.
- Trenkler, Carsten & Weber, Enzo, 2012. "Identifying the Shocks behind Business Cycle Asynchrony in Euroland," Working Papers 12-11, University of Mannheim, Department of Economics.
- Marco Centoni & Gianluca Cubadda, 2015. "Common Feature Analysis of Economic Time Series: An Overview and Recent Developments," CEIS Research Paper 355, Tor Vergata University, CEIS, revised 05 Oct 2015.
- Cubadda Gianluca & Hecq Alain & Palm Franz C., 2007. "Studying Co-movements in Large Multivariate Models Without Multivariate Modelling," Research Memorandum 032, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Franchi, Massimo & Paruolo, Paolo, 2011. "A characterization of vector autoregressive processes with common cyclical features," Journal of Econometrics, Elsevier, vol. 163(1), pages 105-117, July.
- Gourieroux, Christian & Jasiak, Joann, 2017. "Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation," Journal of Econometrics, Elsevier, vol. 200(1), pages 118-134.
- Gianluca Cubadda & Alain Hecq & Franz C. Palm, 2008.
"Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling,"
CEIS Research Paper
125, Tor Vergata University, CEIS, revised 14 Jul 2008.
- Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2009. "Studying co-movements in large multivariate data prior to multivariate modelling," Journal of Econometrics, Elsevier, vol. 148(1), pages 25-35, January.
- Chen, Xiaoshan & Mills, Terence C., 2009. "Evaluating growth cycle synchronisation in the EU," Economic Modelling, Elsevier, vol. 26(2), pages 342-351, March.
- Trenkler, Carsten & Weber, Enzo, 2012.
"Codependent VAR Models and the Pseudo-Structural Form,"
Working Papers
12-10, University of Mannheim, Department of Economics.
- Trenkler, Carsten & Weber, Enzo, 2012. "Codependent VAR Models and the Pseudo-Structural Form," University of Regensburg Working Papers in Business, Economics and Management Information Systems 465, University of Regensburg, Department of Economics.
- Carsten Trenkler & Enzo Weber, 2013. "Codependent VAR models and the pseudo-structural form," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 97(3), pages 287-295, July.
- Marco Centoni & Gianluca Cubadda, 2011.
"Modelling Comovements of Economic Time Series: A Selective Survey,"
CEIS Research Paper
215, Tor Vergata University, CEIS, revised 26 Oct 2011.
- Marco Centoni & Gianluca Cubadda, 2011. "Modelling comovements of economic time series: a selective survey," Statistica, Department of Statistics, University of Bologna, vol. 71(2), pages 267-294.
- Nannette Lindenberg & Frank Westermann, 2009.
"Common Trends and Common Cycles among Interest Rates of the G7-Countries,"
Working Papers
77, Institute of Empirical Economic Research, Osnabrueck University.
- Nannette Lindenberg & Frank Westermann, 2009. "Common Trends and Common Cycles among Interest Rates of the G7-Countries," CESifo Working Paper Series 2532, CESifo Group Munich.
- Lindenberg, Nannette & Westermann, Frank, 2012. "Common trends and common cycles among interest rates of the G7-countries," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1125-1140.
- Marcel Gorenflo, 2013. "Futures price dynamics of CO 2 emission allowances," Empirical Economics, Springer, vol. 45(3), pages 1025-1047, December.
- Christoph Schleicher, 2003.
"Kolmogorov-Wiener Filters for Finite Time Series,"
Computing in Economics and Finance 2003
109, Society for Computational Economics.
Cited by:
- Ard den Reijer, 2006. "The Dutch business cycle: which indicators should we monitor?," DNB Working Papers 100, Netherlands Central Bank, Research Department.
- Dimitrios Thomakos, 2008.
"Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration,"
Working Papers
0024, University of Peloponnese, Department of Economics.
- Dimitrios D. Thomakos, 2008. "Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration," Working Paper series 14_08, Rimini Centre for Economic Analysis.
- Dimitrios Thomakos & Hossein Hassani & Kerry Patterson, 2013. "Optimal Linear Filtering, Smoothing and Trend Extraction for the m-th Differences of a Unit Root Process: A Singular Spectrum Analysis Approach," Economics & Management Discussion Papers em-dp2013-04, Henley Business School, Reading University.
- Eric Ghysels & Jonathan H. Wright, 2006. "Forecasting professional forecasters," Finance and Economics Discussion Series 2006-10, Board of Governors of the Federal Reserve System (U.S.).
- Christoph Schleicher, 2003.
"Structural Time-Series Models with Common Trends and Common Cycles,"
Computing in Economics and Finance 2003
108, Society for Computational Economics.
Cited by:
- Trenkler, Carsten & Weber, Enzo, 2015.
"On the identification of multivariate correlated unobserved components models,"
Working Papers
15-12, University of Mannheim, Department of Economics.
- Trenkler, Carsten & Weber, Enzo, 2016. "On the identification of multivariate correlated unobserved components models," Economics Letters, Elsevier, vol. 138(C), pages 15-18.
- Soloschenko, Max & Weber, Enzo, 2014. "Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure," University of Regensburg Working Papers in Business, Economics and Management Information Systems 475, University of Regensburg, Department of Economics.
- James Morley & Tara M. Sinclair, 2005. "Testing for Stationarity and Cointegration in an Unobserved Components Framework," Computing in Economics and Finance 2005 451, Society for Computational Economics.
- Riccardo Corradini, 2005.
"An Empirical Analysis of Permanent Income Hypothesis Applied to Italy using State Space Models with non zero correlation between trend and cycle,"
Econometrics
0509009, EconWPA.
- Riccardo Corradini, 2005. "An Empirical Analysis of Permanent Income Hypothesis Applied to Italy using State Space Models with non zero correlation between trend and cycle," Computing in Economics and Finance 2005 28, Society for Computational Economics.
- Tara Sinclair & Sinchan Mitra, 2008.
"Output Fluctuations in the G-7: An Unobserved Components Approach,"
Working Papers
2008-04, The George Washington University, Institute for International Economic Policy.
- Mitra, Sinchan & Sinclair, Tara M., 2012. "Output Fluctuations In The G-7: An Unobserved Components Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 16(03), pages 396-422, June.
- Sinchan Mitra & Tara M. Sinclair, "undated". "Output Fluctuations in the G-7: An Unobserved Components Approach," MRG Discussion Paper Series 2509, School of Economics, University of Queensland, Australia.
- Esa Mangeloja, 2003. "Structural testing of Business Cycles," Macroeconomics 0308004, EconWPA.
- Islas C., Alejandro & Cortez, Willy Walter, 2013. "An assessment of the dynamics between the permanent and transitory components of Mexico's output and unemployment," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), December.
- Trenkler, Carsten & Weber, Enzo, 2015.
"On the identification of multivariate correlated unobserved components models,"
Working Papers
15-12, University of Mannheim, Department of Economics.
- Christoph Schleicher, 2002.
"An Introduction to Wavelets for Economists,"
Staff Working Papers
02-3, Bank of Canada.
Cited by:
- Ibrahim Ahamada & Philippe Jolivaldt, 2010.
"Classical vs wavelet-based filters Comparative study and application to business cycle,"
Documents de travail du Centre d'Economie de la Sorbonne
10027, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Ibrahim Ahamada & Philippe Jolivaldt, 2010. "Classical vs wavelet-based filters Comparative study and application to business cycle," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00476022, HAL.
- Gallegati, Marco & Ramsey, James B., 2013. "Structural change and phase variation: A re-examination of the q-model using wavelet exploratory analysis," Structural Change and Economic Dynamics, Elsevier, vol. 25(C), pages 60-73.
- Kunio Okina & Shigenori Shiratsuka, 2004. "Policy Duration Effect under Zero Interest Rates: An Application of Wavelet Analysis," CESifo Working Paper Series 1138, CESifo Group Munich.
- Javier Fernandez-Macho, 2013. "A wavelet approach to multiple cointegration testing," Economics Series Working Papers 668, University of Oxford, Department of Economics.
- Lahura, Erick & Vega, Marco, 2011. "Wavelet-based Core Inflation Measures: Evidence from Peru," Working Papers 2011-019, Banco Central de Reserva del Perú.
- Gallegati Marco & Gallegati Mauro & Ramsey James B. & Semmler Willi, 2016. "Productivity and unemployment: a scale-by-scale panel data analysis for the G7 countries," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 477-493, September.
- Li, Yushu & Shukur, Ghazi, 2010. "Linear and Non-linear Causality Test in a LSTAR model - wavelet decomposition in a non-linear environment," Working Paper Series in Economics and Institutions of Innovation 227, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
- Ozun, Alper & Cifter, Atilla, 2007.
"Modeling Long-Term Memory Effect in Stock Prices: A Comparative Analysis with GPH Test and Daubechies Wavelets,"
MPRA Paper
2481, University Library of Munich, Germany.
- Alper Ozun & Atilla Cifter, 2008. "Modeling long-term memory effect in stock prices: A comparative analysis with GPH test and Daubechies wavelets," Studies in Economics and Finance, Emerald Group Publishing, vol. 25(1), pages 38-48, March.
- Hacker, Scott & Kim, Hyunjoo & Månsson, Kristofer, 2010.
"The Relationship between Exchange Rates and Interest Rate Differentials: a Wavelet Approach,"
Working Paper Series in Economics and Institutions of Innovation
217, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
- R. Scott Hacker & Hyunjoo Kim Karlsson & Kristofer Månsson, 2012. "The Relationship between Exchange Rates and Interest Rate Differentials: A Wavelet Approach," The World Economy, Wiley Blackwell, vol. 35(9), pages 1162-1185, September.
- Marco Gallegati, 2005. "Stock market returns and economic activity: evidence from wavelet analysis," Macroeconomics 0512016, EconWPA.
- Lehkonen, Heikki & Heimonen, Kari, 2014. "Timescale-dependent stock market comovement: BRICs vs. developed markets," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 90-103.
- Erick Lahura & Marco Vega, 2011. "Evaluation of Wavelet-based Core Inflation Measures: Evidence from Peru," Documentos de Trabajo / Working Papers 2011-320, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Dowd, Kevin & Cotter, John & Loh, Lixia, 2011.
"U.S. Core Inflation: A Wavelet Analysis,"
Macroeconomic Dynamics,
Cambridge University Press, vol. 15(04), pages 513-536, September.
- Cotter, John & Dowd, Kevin, 2006. "U.S. Core Inflation: A Wavelet Analysis," MPRA Paper 3520, University Library of Munich, Germany.
- Kevin Dowd & John Cotter, 2011. "U.S. Core Inflation: A Wavelet Analysis," Working Papers 200617, Geary Institute, University College Dublin.
- kevin dowd & john cotter, 2011. "U.S. Core Inflation: A Wavelet Analysis," Papers 1103.5659, arXiv.org.
- Patrick Crowley, 2005.
"An intuitive guide to wavelets for economists,"
Econometrics
0503017, EconWPA.
- Patrick M. Crowley, 2005. "An intuitive guide to wavelets for economists," GE, Growth, Math methods 0508009, EconWPA.
- Crowley, Patrick M., 2005. "An intuitive guide to wavelets for economists," Research Discussion Papers 1/2005, Bank of Finland.
- Joanna Bruzda, 2011. "Business cycle synchronization according to wavelets – the case of Poland and the euro zone member countries," Bank i Kredyt, Narodowy Bank Polski, vol. 42(3), pages 5-32.
- Reese, Simon & Li, Yushu, 2013. "Testing for Structural Breaks in the Presence of Data Perturbations: Impacts and Wavelet Based Improvements," Working Papers 2013:36, Lund University, Department of Economics.
- Zsolt Darvas & Gábor Vadas, 2003.
"Univariate Potential Output Estimations for Hungary,"
MNB Working Papers
2003/8, Magyar Nemzeti Bank (Central Bank of Hungary).
- Gabor Vadas & Zsolt Darvas, 2005. "Univariate Potential Output Estimations for Hungary," Macroeconomics 0512009, EconWPA.
- Li, Yushu & Shukur, Ghazi, 2009.
"Testing for Unit Root against LSTAR Model: Wavelet Improvement under GARCH Distortion,"
CAFO Working Papers
2009:6, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics.
- Li, Yushu & Shukur, Ghazi, 2009. "Testing for Unit Root against LSTAR model – wavelet improvements under GARCH distortion," Working Paper Series in Economics and Institutions of Innovation 184, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
- Stan du Plessis, Gideon du Rand & Kevin Kotzé, 2015. "Measuring Core Inflation in South Africa," Working Papers 503, Economic Research Southern Africa.
- Benhmad, François, 2013. "Bull or bear markets: A wavelet dynamic correlation perspective," Economic Modelling, Elsevier, vol. 32(C), pages 576-591.
- Baqaee, David, 2010.
"Using wavelets to measure core inflation: The case of New Zealand,"
The North American Journal of Economics and Finance,
Elsevier, vol. 21(3), pages 241-255, December.
- David Baqaee, 2009. "Using wavelets to measure core inflation: the case in New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2009/05, Reserve Bank of New Zealand.
- 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.
- Neeraj & Prasanta K. Panigrahi, 2016. "Causality and Correlations between BSE and NYSE indexes: A Janus Faced Relationship," Papers 1608.07796, arXiv.org.
- Crowley, Patrick M. & Habibdoust, Amir, 2013. "Assessing the exchange rate exposure of US multinationals," Research Discussion Papers 34/2013, Bank of Finland.
- Carla Ysusi, 2009. "Analysis of the Dynamics of Mexican Inflation Using Wavelets," Working Papers 2009-09, Banco de México.
- Yushu Li, 2015. "Estimate Long Memory Causality Relationship by Wavelet Method," Computational Economics, Springer;Society for Computational Economics, vol. 45(4), pages 531-544, April.
- Bowden Roger J. & Zhu Jennifer Z, 2007. "Which Are the World's Wobblier Currencies? Reference Exchange Rates and Their Variation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 11(3), pages 1-32, September.
- Marco Gallegati, 2005.
"A Wavelet Analysis of MENA Stock Markets,"
Finance
0512027, EconWPA.
- Marco GALLEGATI, "undated". "A Wavelet Analysis of MENA stock markets," Middle East and North Africa 330400031, EcoMod.
- Luca De Benedictis & Marco Gallegati, 2005. "Trade balance and terms of trade in U.S.: a time-scale decomposition analysis," International Trade 0512016, EconWPA.
- Chakrabarty, Anindya & De, Anupam & Gunasekaran, Angappa & Dubey, Rameshwar, 2015. "Investment horizon heterogeneity and wavelet: Overview and further research directions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 45-61.
- Roger Bowden & Jennifer Zhu, 2010. "Multi-scale variation, path risk and long-term portfolio management," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 783-796.
- Stan Plessis & Gideon Rand & Kevin Kotzé, 2015. "Measuring Core Inflation in South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 83(4), pages 527-548, December.
- Hansen, Bjørn Gunnar & Li, Yushu, 2015. "Future world market prices of milk and feed looking into the crystal ball," Discussion Papers 2015/17, Norwegian School of Economics, Department of Business and Management Science.
- Neeraj, & Panigrahi, Prasanta K., 2017. "Causality and correlations between BSE and NYSE indexes: A Janus faced relationship," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 481(C), pages 284-313.
- Besma Hkiri & Shawkat Hammoudeh & Chaker Aloui, 2016. "Strength of co-movement between sector CDS indexes and relationship with major economic and financial variables over time and during investment horizons," Applied Economics, Taylor & Francis Journals, vol. 48(48), pages 4635-4654, October.
- Ibrahim Ahamada & Philippe Jolivaldt, 2010.
"Classical vs wavelet-based filters Comparative study and application to business cycle,"
Documents de travail du Centre d'Economie de la Sorbonne
10027, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
Articles
- Pesaran, M. Hashem & Schleicher, Christoph & Zaffaroni, Paolo, 2009.
"Model averaging in risk management with an application to futures markets,"
Journal of Empirical Finance,
Elsevier, vol. 16(2), pages 280-305, March.
See citations under working paper version above.
- M. Hashem Pesaran & Christoph Schleicher & Paolo Zaffaroni, 2008. "Model Averaging in Risk Management with an Application to Futures Markets," CESifo Working Paper Series 2231, CESifo Group Munich.
- Pesaran, M.H. & Schleicher, C. & Zaffaroni, P., 2008. "Model Averaging in Risk Management with an Application to Futures Markets," Cambridge Working Papers in Economics 0808, Faculty of Economics, University of Cambridge.
- Christoph Schleicher, 2007.
"Codependence in cointegrated autoregressive models,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 22(1), pages 137-159.
See citations under working paper version above.
- Christoph Schleicher, 2004. "Codependence in Cointegrated Autoregressive Models," Computing in Economics and Finance 2004 286, Society for Computational Economics.
- Simon Price & Christoph Schleicher, 2005.
"Returns To Equity, Investment And Q: Evidence From The Uk,"
Manchester School,
University of Manchester, vol. 73(s1), pages 32-57, September.
Cited by:
- Gallegati, Marco & Ramsey, James B., 2013. "Structural change and phase variation: A re-examination of the q-model using wavelet exploratory analysis," Structural Change and Economic Dynamics, Elsevier, vol. 25(C), pages 60-73.
- Juha Kilponen & Fabio Verona, 2017.
"Testing the Q theory of investment in the frequency domain,"
CEF.UP Working Papers
1701, Universidade do Porto, Faculdade de Economia do Porto.
- Kilponen, Juha & Verona, Fabio, 2016. "Testing the Q theory of investment in the frequency domain," Research Discussion Papers 32/2016, Bank of Finland.
- Gallegati, Marco & Ramsey, James B., 2013. "Bond vs stock market's Q: Testing for stability across frequencies and over time," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 138-150.
- Basu, Parantap & Gillman, Max & Pearlman, Joseph, 2012.
"Inflation, human capital and Tobin's q,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 36(7), pages 1057-1074.
- Parantap Basu & Max Gillman & Joseph Pearlman, 2010. "Inflation, Human Capital and Tobin's q," IEHAS Discussion Papers 1017, Institute of Economics, Centre for Economic and Regional Studies, Hungarian Academy of Sciences.
- Basu, Parantap & Gillman, Max & Pearlman, Joseph, 2009. "Inflation, Human Capital and Tobin's q," Cardiff Economics Working Papers E2009/16, Cardiff University, Cardiff Business School, Economics Section.
- Parantap Basu & Max Gillman & Joseph Pearlman, 2009. " Inflation, Human Capital and Tobin's q," CDMA Conference Paper Series 0904, Centre for Dynamic Macroeconomic Analysis.
- Mark J. Holmes, 2010. "An Alternative Perspective on Tobin's Q and Aggregate Investment Expenditure," International Journal of Business and Economics, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 9(1), pages 23-28, April.
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ETS: Econometric Time Series (3) 2002-02-10 2004-01-12 2005-11-19
- NEP-MAC: Macroeconomics (3) 2004-01-12 2005-11-19 2006-12-01
- NEP-BEC: Business Economics (2) 2005-11-19 2006-12-01
- NEP-FIN: Finance (2) 2004-01-12 2005-08-13
- NEP-FMK: Financial Markets (2) 2005-08-13 2008-06-13
- NEP-CFN: Corporate Finance (1) 2006-12-01
- NEP-ECM: Econometrics (1) 2008-06-13
- NEP-FOR: Forecasting (1) 2005-11-19
- NEP-IFN: International Finance (1) 2005-08-13
- NEP-MON: Monetary Economics (1) 2005-08-13
- NEP-RMG: Risk Management (1) 2008-06-13
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