C22 - Time-Series Models

Contributing journals to this collection:
Review of Finance, European Review of Agriculture Economics, The World Bank Economic Review, Journal of Economic Geography, Cambridge Journal of Regions, Economy and Society, American Law and Economics Review, Industrial and Corporate Change, CESifo Economic Studies, The Review of Financial Studies, Contributions to Political Economy, Journal of Financial Econometrics, Journal of Law, Economics, and Organization, Journal of African Economies, Socio-Economic Review, Oxford Economic Papers, The World Bank Research Observer, Oxford Review of Economic Policy, Cambridge Journal of Economics, Journal of Competition Law and Economics, and Review of Environmental Economics and Policy

Citations 31-40 of 43 total displayed.

Past content

Articles
LARCH, Leverage, and Long Memory

Liudas Giraitis, Remigijus Leipus, Peter M. Robinson, and Donatas Surgailis
J. Financial Econometrics 2004; 2: 177-210. [Abstract] [Full text] [PDF]  

Articles
The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests

Elena Andreou and Eric Ghysels
J. Financial Econometrics 2004; 2: 290-318. [Abstract] [Full text] [PDF]  

Articles
Persistence and Kurtosis in GARCH and Stochastic Volatility Models

M. Angeles Carnero, Daniel Peña, and Esther Ruiz
J. Financial Econometrics 2004; 2: 319-342. [Abstract] [Full text] [PDF]  

Articles
Power and Bipower Variation with Stochastic Volatility and Jumps

Ole E. Barndorff-Nielsen and Neil Shephard
J. Financial Econometrics 2004; 2: 1-37. [Abstract] [Full text] [PDF]  

Articles
How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes

Laurent E. Calvet and Adlai J. Fisher
J. Financial Econometrics 2004; 2: 49-83. [Abstract] [Full text] [PDF]  

Articles
Kernel-Based Indirect Inference

Monica Billio and Alain Monfort
J. Financial Econometrics 2003; 1: 297-326. [Abstract] [PDF]  

Articles
A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility

Jeff Fleming and Chris Kirby
J. Financial Econometrics 2003; 1: 365-419. [Abstract] [PDF]  

Articles
Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models

Ana Pérez and Esther Ruiz
J. Financial Econometrics 2003; 1: 420-444. [Abstract] [PDF]  

Articles
The Local Whittle Estimator of Long-Memory Stochastic Volatility

Clifford M. Hurvich and Bonnie K. Ray
J. Financial Econometrics 2003; 1: 445-470. [Abstract] [PDF]  

Articles
Multinational experience and the creation of linkages with local firms: evidence from the electronics industry

Davide Castellani and Antonello Zanfei
Camb. J. Econ. 2002; 26: 1-25. [Abstract] [PDF]  

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