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Citations for "Monitoring structural change in dynamic econometric models"

by Zeileis, Achim & Leisch, Friedrich & Kleiber, Christian & Hornik, Kurt

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  1. Anatolyev, Stanislav, 2009. "Nonparametric Retrospection and Monitoring of Predictability of Financial Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 149-160.
  2. Aue, Alexander & Horváth, Lajos & Reimherr, Matthew L., 2009. "Delay times of sequential procedures for multiple time series regression models," Journal of Econometrics, Elsevier, vol. 149(2), pages 174-190, April.
  3. Berlemann, Michael & Freese, Julia & Knoth, Sven, 2012. "Eyes Wide Shut? The U.S. House Market Bubble through the Lense of Statistical Process Control," Working Paper 124/2012, Helmut Schmidt University, Hamburg.
  4. Carraro, Alessandro & Stefani, Gianluca, 2011. "Price Transmission in Three Italian Food Chains: A Structural Break Approach," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114317, European Association of Agricultural Economists.
  5. Groen, Jan J J & Kapetanios, George & Price, Simon, 2009. "Multivariate methods for monitoring structural change," Bank of England working papers 369, Bank of England.
  6. Davide Pettenuzzo & Halbert White, 2010. "Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis," Working Papers 36, Brandeis University, Department of Economics and International Businesss School.
  7. Jan Verbesselt & Achim Zeileis & Martin Herold, 2011. "Near Real-Time Disturbance Detection in Terrestrial Ecosystems Using Satellite Image Time Series: Drought Detection in Somalia," Working Papers 2011-18, Faculty of Economics and Statistics, University of Innsbruck.
  8. Okyoung Na & Youngmi Lee & Sangyeol Lee, 2011. "Monitoring parameter change in time series models," Statistical Methods and Applications, Springer, vol. 20(2), pages 171-199, June.
  9. Xiao-lin Li & Mehmet Balcilar & Rangan Gupta & Tsangyao Chang, 2013. "The Causal Relationship between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling-Window Approach," Working Papers 201345, University of Pretoria, Department of Economics.
  10. Wendy Nyakabawo & Stephen M. Miller & Mehmet Balcilar & Sonali Das & Rangan Gupta, 2013. "Temporal Causality between House Prices and Output in the U. S.: A Bootstrap Rolling-Window Approach," Working Papers 201329, University of Pretoria, Department of Economics.
  11. Jesús Mur & Fernando López & Ana Angulo, 2010. "Instability in spatial error models: an application to the hypothesis of convergence in the European case," Journal of Geographical Systems, Springer, vol. 12(3), pages 259-280, September.
  12. Andreou, Elena & Ghysels, Eric, 2008. "Quality control for structural credit risk models," Journal of Econometrics, Elsevier, vol. 146(2), pages 364-375, October.
  13. Lee, O., 2013. "The functional central limit theorem for ARMA–GARCH processes," Economics Letters, Elsevier, vol. 121(3), pages 432-435.
  14. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.
  15. Patnaik, Ila & Shah, Ajay, 2010. "Does the currency regime shape unhedged currency exposure?," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 760-769, September.
  16. Eklund, J. & Kapetanios, G. & Price, S., 2011. "Forecasting in the presence of recent structural change," Working Papers 11/05, Department of Economics, City University London.
  17. Andreou, Elena & Ghysels, Eric, 2006. "Monitoring disruptions in financial markets," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 77-124.
  18. Berkes, István & Hörmann, Siegfried & Horváth, Lajos, 2008. "The functional central limit theorem for a family of GARCH observations with applications," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2725-2730, November.
  19. Stanislav Anatolyev & Grigory Kosenok, 2011. "Sequential Testing with Uniformly Distributed Size," Working Papers w0123, Center for Economic and Financial Research (CEFIR).
  20. Zeileis, Achim & Shah, Ajay & Patnaik, Ila, 2010. "Testing, monitoring, and dating structural changes in exchange rate regimes," Computational Statistics & Data Analysis, Elsevier, vol. 54(6), pages 1696-1706, June.
  21. Heinen, Florian & Willert, Juliane, 2011. "Monitoring a change in persistence of a long range dependent time series," Hannover Economic Papers (HEP) dp-479, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  22. Chen, Zhanshou & Tian, Zheng, 2010. "Modified procedures for change point monitoring in linear models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(1), pages 62-75.
  23. Weißbach, Rafael & Ponyatovskyy, Vladyslav & Zimmermann, Guido, 2006. "The Yield of Ten-Year T-Bonds: Stumbling Towards a 'Good' Forecast," Technical Reports 2006,50, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  24. Hsu, Chih-Chiang, 2007. "The MOSUM of squares test for monitoring variance changes," Finance Research Letters, Elsevier, vol. 4(4), pages 254-260, December.
  25. Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Businesss School, revised Sep 2013.
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