scientific article; zbMATH DE number 777596

zbMath0831.62061MaRDI QIDQ4840212

James D. Hamilton

Publication date: 24 July 1995

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Bayesian analysisnumerical methodsKalman filtercointegrationspectral analysisforecastingfinanceasymptotic theoryunit rootssimultaneous equationsvector autoregressionsexercisesheteroskedasticityARMA processesnonstationary time serieschanges in regimemacroeconometrics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01)

Related Items

Multivariate spatial regression models, Jointly testing linearity and nonstationarity within threshold autoregressions, An impulse-response function for a vector autoregression with multivariate GARCH-in-mean, Detecting high-dimensional determinism in time series with application to human movement data, Dynamic risk exposures in hedge funds, The power of weather, Logarithmic spurious regressions, Supply-side refinements and the New Keynesian Phillips curve, Red signals: current account deficits and sustainability, Estimating and identifying vector autoregressions under diagonality and block exogeneity restrictions, The Beveridge-Nelson decomposition of Markov-switching processes, A simple recursive forecasting model, Predictable non-linearities in U.S. inflation, On the econometrics of the geometric lag model, Estimating long memory: scaling function vs. Andrews and Guggenberger GPH, Maximum likelihood estimation of singular systems of equations, The forward premium puzzle in a model of imperfect information, Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs, Separation of stationary and non-stationary sources with a generalized eigenvalue problem, Estimation bias and feasible conditional forecasts from the first-order moving average model, Modeling style rotation: switching and re-switching, Tapered block bootstrap for unit root testing, Fixed and recursive right-tailed Dickey-Fuller tests in the presence of a break under the null, On model Fitting and estimation of strictly stationary processes, Linguistic characterization of time series, Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure, The ARMA alphabet soup: a tour of ARMA model variants, Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes, On parameter estimation for critical affine processes, Online data processing: comparison of Bayesian regularized particle filters, Parameters estimation for asymmetric bifurcating autoregressive processes with missing data, A trend-switching financial time series model with level-duration dependence, Hypothesis testing in generalized linear models with functional coefficient autoregressive pro\-cesses, Penalized maximum likelihood estimation of a stochastic multivariate regression model, On simulation of optimal strategies and Nash equilibrium in the financial market context, A theory-consistent system approach for estimating potential output and the NAIRU, A novel approach for nonstationary time series analysis with time-invariant correlation coefficient, Autoregressive prediction with rolling mechanism for time series forecasting with small sample size, Two stage least squares estimation in structural cointegration models, Studying term structure of SHIBOR with the two-factor Vasicek model, Time-varying cointegration model using wavelets, Post-'87 crash fears in the S\&P 500 futures option market, Regime switching in foreign exchange rates: Evidence from currency option prices, Covariance matrix estimation for estimators of mixing weak ARMA models, Forecasting seasonal time series data: a Bayesian model averaging approach, Locomotion: exploiting noise for state estimation, Nonlinear Granger causality in the currency futures returns, Portmanteau-type tests for unit-root and cointegration, Unit root testing in the presence of mean reverting jumps: evidence from US T-bond yields, Model averaging based on leave-subject-out cross-validation for vector autoregressions, Modeling systemic risk with Markov switching graphical SUR models, Data-based prediction and causality inference of nonlinear dynamics, Dynamic factor analysis for short panels: estimating performance trajectories for water utilities, Estimation of weak ARMA models with regime changes, A note on the asymptotic and exact Fisher information matrices of a Markov switching VARMA process, Parameter identification and model updating in the context of nonlinear mechanical behaviors using a unified formulation of the modified constitutive relation error concept, Does the labor-income process contain a unit root? Evidence from individual-specific time series, Price indexation, habit formation, and the generalized Taylor principle, Solving DSGE models with a nonlinear moving average, Consumer misperceptions, uncertain fundamentals, and the business cycle, Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors, Understanding the effect of technology shocks in SVARs with long-run restrictions, The asymptotic properties of GMM and indirect inference under second-order identification, Utilizing data mining techniques to predict expected freeway travel time from experienced travel time, Dynamic rational inattention: analytical results, An interval method for studying the relationship between the Australian dollar exchange rate and the gold price, Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models, Permutation entropy analysis of financial time series based on Hill's diversity number, Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method, Analytic Hessian matrices and the computation of FIGARCH estimates, Forecasting Markov-switching dynamic, conditionally heteroscedastic processes, Dynamic investment strategy with factor models under regime switches, Nowcasting causality in mixed frequency vector autoregressive models, Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals, Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models, Model averaging prediction for time series models with a diverging number of parameters, Behavior of the standard Dickey-Fuller test when there is a Fourier-form break under the null hypothesis, Can log-periodic power law structures arise from random fluctuations?, Flexible panel stochastic frontier model with serially correlated errors, Limit theory for mildly integrated process with intercept, A note on low-dimensional Kalman smoothers for systems with lagged states in the measurement equation, Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space, Simulation of intrinsic random fields of order \(k\) with Gaussian generalized increments by Gibbs sampling, An extended Newton-type algorithm for \(\ell_2\)-regularized sparse logistic regression and its efficiency for classifying large-scale datasets, Cause-specific mortality rates: common trends and differences, A justification of conditional confidence intervals, Estimation of continuous and discrete time co-integrated systems with stock and flow variables, Testing for ARCH in the presence of a possibly misspecified conditional mean, \(I(0)\) in, integration and cointegration out: Time series properties of endogenous growth models, Testing for unit roots in heterogeneous panels., Noninformative priors and frequentist risks of Bayesian estimators of vector-autoregressive models, OLS estimation of Markov switching VAR models: asymptotics and application to energy use, Financial econometrics: Past developments and future challenges, The surprise element: Jumps in interest rates., Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes., Connections between entropic and linear projections in asset pricing estimation, Misspecified structural change, threshold, and Markov-switching models., The importance of common cyclical features in VAR analysis: A Monte-Carlo study., On learning to cooperate., Efficient tests for unit roots with prediction errors, Bootstrap inference in systems of single equation error correction models, Renewal regime switching and stable limit laws, Plug-in prediction intervals for a special class of standard ARH(1) processes, Limited information Bayesian analysis of a simultaneous equation with an autocorrelated error term and its application to the U.S. gasoline market, A flexible prior distribution for Markov switching autoregressions with Student-\(t\) errors, Unit root testing via the stationary bootstrap, Bootstrap testing for the null of no cointegration in a threshold vector error correction model, Markov regime-switching quantile regression models and financial contagion detection, Representation of stationary and stationary increment processes via Langevin equation and self-similar processes, Adaptive consistent unit-root tests based on autoregressive threshold model, Generalized empirical likelihood tests in time series models with potential identification failure, A class of stochastic unit-root bilinear processes: mixing properties and unit-root test, The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test, Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification, Finite-sample simulation-based inference in VAR models with application to Granger causality testing, Regime switching for dynamic correlations, A joint serial correlation test for linear panel data models, Methods for inference in large multiple-equation Markov-switching models, Global approximation to arbitrary cost functions: a Bayesian approach with application to US banking, Comparison of power plants' risks with multi criteria decision models, Predictable returns and asset allocation: should a skeptical investor time the market?, On the statistical identification of DSGE models, Extracting a common stochastic trend: theory with some applications, Local-momentum autoregression and the modeling of interest rate term structure, Incomplete markets and derivative assets, Analysis of the bullwhip effect in two parallel supply chains with interacting price-sensitive demands, Clustering financial time series: new insights from an extended hidden Markov model, Mining information from time series in the form of sentences of natural language, The effect of positive interspike interval correlations on neuronal information transmission, Forecasting cointegrated nonstationary time series with time-varying variance, A multivariate evolutionary credibility model for mortality improvement rates, Asymptotic normality of DHD estimators in a partially linear model, Weak VARMA representations of regime-switching state-space models, A circular global profit Malmquist productivity index in data envelopment analysis, Nonstationary INAR(1) process with \(q\)th-order autocorrelation innovation, Granger causality and contiguity between stochastic processes, Federal regulation and aggregate economic growth, Subsampling tests for variance changes in the presence of autoregressive parameter shifts, Random matrix difference models arising in long-term medical drug strategies, Spurious regression, Estimates for norms of discrete stochastic integrals, Optimal rank-based tests for block exogeneity in vector autoregressions, Inference in binomial AR(1) models, Computing the best linear predictor in a Hilbert space. Applications to general ARMAH processes, Using state-space model with regime switching to represent the dynamics of facial electromyography (EMG) data, On conditions in central limit theorems for martingale difference arrays, Fitting truncated geometric distributions in large scale real world networks, Invertible and non-invertible information sets in linear rational expectations models, Mathematical issues in the inference of causal interactions among multichannel neural signals, The functional central limit theorem for linear processes with strong near-epoch dependent innovations, Parametric mortality improvement rate modelling and projecting, Regime switching state-space models applied to psychological processes: handling missing data and making inferences, A hierarchical state space approach to affective dynamics, Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations, A linguistic approach to time series modeling with the help of F-transform, Two-state volatility transition pricing and hedging of TXO options, Identifying bull and bear markets in Japan, Efficient likelihood estimation in state space models, Properties of optimal forecasts under asymmetric loss and nonlinearity, A linear regression model with persistent level shifts: an alternative to infill asymptotics, Modeling non-Gaussian time-varying vector autoregressive processes by particle filtering, Property taxes and home prices: a tale of two cities, Asymptotic behavior of CLS estimators for 2-type doubly symmetric critical Galton-Watson processes with immigration, Multi-scale tests for serial correlation, Estimation of fixed effects panel regression models with separable and nonseparable space-time filters, Quasi-maximum likelihood estimators in generalized linear models with autoregressive processes, A comparison between minimum variance control and other online compensation methods for specimen drift in transmission electron microscopy, Uncertainty analysis for computationally expensive models with multiple outputs, Persistence under temporal aggregation and differencing, A bootstrapped spectral test for adequacy in weak ARMA models, VAR for VaR: measuring tail dependence using multivariate regression quantiles, Limit theory for an explosive autoregressive process, A low dimensional Kalman filter for systems with lagged states in the measurement equation, Estimation of average treatment effects with panel data: asymptotic theory and implementation, Robust Dickey-Fuller tests based on ranks for time series with additive outliers, Asymptotic properties of a component-wise ARH(1) plug-in predictor, Model selection in the presence of nonstationarity, Information criteria for impulse response function matching estimation of DSGE models, Econometric analysis of present value models when the discount factor is near one, Jackknife estimation of stationary autoregressive models, A martingale decomposition of discrete Markov chains, Modeling data revisions: measurement error and dynamics of ``true values, The regime switching portfolios, Log mean-variance portfolio selection under regime switching, The diversity of forecasts from macroeconomic models of the US economy, Estimation of Markov regime-switching regression models with endogenous switching, Analysis of compound bullwhip effect causes, The failure of orthogonality under nonstationarity: should we care about it?, Structural vector autoregressions with smooth transition in variances, A SPATIAL DYNAMIC PANEL DATA MODEL WITH BOTH TIME AND INDIVIDUAL FIXED EFFECTS, Unemployment insurance in a sticky-price model with worker moral hazard, Time-localized wavelet multiple regression and correlation, Regularized estimation in sparse high-dimensional time series models, Estimating linear representations of nonlinear processes, Least-squares estimation for bifurcating autoregressive processes, Ridge estimation of the VAR(1) model and its time series chain graph from multivariate time-course omics data, Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise, An angle-based multivariate functional pseudo-depth for shape outlier detection, Asymptotic normality of Huber-Dutter estimators in a linear EV model with AR(1) processes, Estimating dynamic models from repeated cross-sections, Complex systems: features, similarity and connectivity, Statistical estimation of operating reserve requirements using rolling horizon stochastic optimization, High dimensional regression for regenerative time-series: an application to road traffic modeling, Embedding and learning with signatures, Marginally parameterized spatio-temporal models and stepwise maximum likelihood estimation, Resolving the forecasting problems of overshoot and volatility clustering using ANFIS coupling nonlinear heteroscedasticity with quantum tuning, A model forecasting risk for emerging market currencies, Learning in a misspecified multivariate self-referential linear stochastic model, Estimating the Federal Reserve's implicit inflation target: a state space approach, Generalized method of moments and inverse control, Structural vector autoregressions with Markov switching, Optimal promotion planning -- depth and frequency -- for a two-stage supply chain under Markov switching demand, Dynamic efficiency in the east European emerging markets, On the specification and estimation of large scale simultaneous structural macroeconometric models, BIC-based unit-root detection: simulation-based evidence, The ARMA model in state space form, Asymptotic efficiency of the ordinary least-squares estimator for SUR models with integrated regressors, Prediction of Lévy-driven CARMA processes, Sample quantile analysis for long-memory stochastic volatility models, A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence, Analytical study of performance of linear discriminant analysis in stochastic settings, Patent propensity, R\&D and market competition: dynamic spillovers of innovation leaders and followers, Estimating VAR-MGARCH models in multiple steps, The impact of order flow on the foreign exchange market: a copula approach, TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain, The mortality of the Italian population: smoothing techniques on the Lee-Carter model, New mixed time series models having approximated beta marginals, Optimal policy in Markov-switching rational expectations models, Optimal portfolio choice in the presence of domestic systemic risk: Empirical evidence from stock markets, Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions, On age-period-cohort parametric mortality rate projections, Maximum likelihood estimation of the double exponential jump-diffusion process, A three-state Markov-modulated switching model for exchange rates, Structural information in recursive VAR orderings, Linear aggregation in cointegrated systems, Heterogeneous connection effects, Learning with bounded memory in stochastic models, A comparison of two business cycle dating methods, Stochastic equilibrium: Learning by exponential smoothing, Option valuation with co-integrated asset prices, A method for taking models to the data, Solving for optimal simple rules in rational expectations models, Switching equilibria: the present value model for stock prices revisited, Endogenous monetary policy with unobserved potential output, An equilibrium model of child maltreatment, Durable goods and the forward-looking theory of consumption: estimates implied by the dynamic effects of money, Optimal monetary policy in a regime-switching economy: The response to abrupt shifts in exchange rate dynamics, The inflation aversion of the Bundesbank: A state space approach, Sticky prices, fair wages, and the co-movements of unemployment and labor productivity growth, Restricted perception equilibria and rational expectation equilibrium, Computing second-order-accurate solutions for rational expectation models using linear solution methods, Econometric analysis of financial trade processes by discrete mixture duration models, The role of ``leads in the dynamic OLS estimation of cointegrating regression models, Bayesian model checking for multivariate outcome data, Linear rational-expectations models with lagged expectations: a synthetic method, Semi-parametric dynamic time series modelling with applications to detecting neural dynamics, A ``nearly ideal solution to linear time-varying rational expectations models, Weakly dependent functional data, Technology shocks and aggregate fluctuations in an estimated hybrid RBC model, Modeling structural breaks in economic relationships using large shocks, Heterogeneous trading strategies with adaptive fuzzy actor-critic reinforcement learning: a behavioral approach, Cointegration of output, capital, labor, and energy, Conditional forecasts and uncertainty about forecast revisions in vector autoregressions, The non-random walk of stock prices: the long-term correlation between signs and sizes, The log-periodic-AR(1)-GARCH(1,1) model for financial crashes, QML estimators in linear regression models with functional coefficient autoregressive processes, Controlling based method for modelling chaotic dynamical systems from time series, Forecasting with univariate TAR models, Financial shocks and the maturity of the monetary policy rate, A self-tuning model for inflation rate dynamics, Regime switching volatility calibration by the Baum-Welch method, On mixed \(AR(1)\) time series model with approximated beta marginal, Cost minimization and the stochastic discount factor, Filtering out high frequencies in time series using F-transform, Macroeconomics and the reality of mixed frequency data, Nonparametric estimation in a nonlinear cointegration type model, Estimating the term structure of mortality, Bootstrap tests for structural change with infinite variance observations, The Japanese stock market and the macroeconomy: An empirical investigation, Interval time series analysis with an application to the sterling-dollar exchange rate, Get over it! A multilevel threshold autoregressive model for state-dependent affect regulation, Econometric modeling of technical change, No-arbitrage macroeconomic determinants of the yield curve, The Brownian Conga line, Asymptotic distributions of impulse response functions in short panel vector autoregressions, A class of simple distribution-free rank-based unit root tests, Long-term behavior of non-ferrous metal price models with jumps, Information, no-arbitrage and completeness for asset price models with a change point, An atmosphere-ocean time series model of global climate change, Variance decompositions of nonlinear time series using stochastic simulation and sensitivity analysis, Goodness of fit in nonlinear dynamics: misspecified rates or misspecified states?, Discrete fractional diffusion equation, A conditional distribution model for limited stock index returns, VAR-based estimation of Euler equations with an application to New Keynesian pricing, Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process, Bayesian mixture of autoregressive models, Testing the martingale restriction for option implied densities, Autoregressive statistical modeling of a Peru margin multi-proxy holocene record shows correlation not causation, flickering regimes and persistence, Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient, Random coefficient mixture (RCM) GARCH models, Assessing security of cryptocurrencies with attack-defense trees: proof of concept and future directions, Goodness-of-fit tests for Markov Switching VAR models using spectral analysis, Data-driven model reduction, Wiener projections, and the Koopman-Mori-Zwanzig formalism, A binary search algorithm for univariate data approximation and estimation of extrema by piecewise monotonic constraints, Statistical inference for mixture GARCH models with financial application, Finite sample theory for high-dimensional functional/scalar time series with applications, Time to intervene: a continuous-time approach to network analysis and centrality, Disentangling the impact of mean reversion in estimating policy response with dynamic panels, Equity returns and sentiment, Optimal feedback control of stock prices under credit risk dynamics, Bayesian forecasting with a regime-switching zero-inflated multilevel Poisson regression model: an application to adolescent alcohol use with spatial covariates, A systematic study into the factors that affect the predictive accuracy of multilevel VAR(1) models, Control theory forecasts of optimal training dosage to facilitate children's arithmetic learning in a digital educational application, The least squares estimator for an Ornstein-Uhlenbeck process driven by a Hermite process with a periodic mean, Spurious functional-coefficient regression models and robust inference with marginal integration, Fundamental bubbles in equity markets, Efficient and robust estimation for autoregressive regression models using shape mixtures of skew \(t\) normal distribution, Markov-switching state-space models with applications to neuroimaging, Hidden Markov and semi-Markov models when and why are these models useful for classifying states in time series data?, The perfect marriage and much more: combining dimension reduction, distance measures and covariance, Business cycle dynamics when neutral and investment-specific technology shocks are imperfectly observable, The distribution of strike size: empirical evidence from Europe and north America in the 19th and 20th centuries, Fractional unit-root tests allowing for a fractional frequency flexible Fourier form trend: predictability of Covid-19, Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory, Migration frequency and the persistence of host-parasitoid interactions, Downside risk measurement in regime switching stochastic volatility, Structural change in the link between oil and the European stock market: implications for risk management, Perturbation solution and welfare costs of business cycles in DSGE models, Discrepancy-based theory and algorithms for forecasting non-stationary time series, Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data, Herding, minority game, market clearing and efficient markets in a simple spin model framework, Modeling mortality with a Bayesian vector autoregression, Estimation and inference for precision matrices of nonstationary time series, Trend of commodity prices and exchange rate in Australian economy: time varying parameter model approach, SAZED: parameter-free domain-agnostic season length estimation in time series data, Environmental forcing, invasion and control of ecological and epidemiological systems, Estimating multiple breaks in nonstationary autoregressive models, Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root, Bootstrap tests for fractional integration and cointegration: a comparison study, Oil prices and economic activity in BRICS and G7 countries, Italian mortgage markets and their dynamics, Downside risks in EU carbon and fossil fuel markets, Estimation and inference of time-varying auto-covariance under complex trend: a difference-based approach, A switch convergence for a small perturbation of a linear recurrence equation, Detecting groups in large vector autoregressions, Using time-varying volatility for identification in vector autoregressions: an application to endogenous uncertainty, On classifying the effects of policy announcements on volatility, Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump?, Inflation and demography through time, Adaptive expectations and commodity risk premiums, Functional monetary aggregates, monetary policy, and business cycles, Improved inference for moving average disturbances in nonlinear regression models, Bubble-free policy feedback rules, Modelling covariance matrices by the trigonometric separation strategy with application to hidden Markov models, Third-order inference for autocorrelation in nonlinear regression models, Bootstrapping structural change tests, Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns, Trends in distributional characteristics: existence of global warming, An efficient optimization approach for best subset selection in linear regression, with application to model selection and fitting in autoregressive time-series, Social norms in networks, Corrected Mallows criterion for model averaging, Identifying noise shocks, Generalised cepstral models for the spectrum of vector time series, Learning can generate long memory, Fixed-effects dynamic spatial panel data models and impulse response analysis, An improved seasonal rolling grey forecasting model using a cycle truncation accumulated generating operation for traffic flow, Neural machine-based forecasting of chaotic dynamics, Examining human unipedal quiet stance: characterizing control through jerk, Spatial modelling of linear regression coefficients for gauge measurements against satellite estimates, On CUSUM test for dynamic panel models, Portmanteau-type test for unit root with heavy-tailed noise, Gaussian clustering and jump-diffusion models of electricity prices: a deep learning analysis, Linearly transforming variables in the VAR model, how does it change the impulse response?, Path and directionality discovery in individual dynamic models: a regularized unified structural equation modeling approach for hybrid vector autoregression, VAR model based clustering method for multivariate time series data, Transfer of macroeconomic shocks in stress tests modeling, Long-term swings and seasonality in energy markets, A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes, Bias reduction of a conditional maximum likelihood estimator for a Gaussian second-order moving average model, Non-dominated solutions for time series learning and forecasting. Generating models with a generic two-phase Pareto loca search with VND, Rainfall data simulation by hidden Markov model and discrete wavelet transformation, Editorial: Big data in dynamic predictive econometric modeling, Optimal model averaging for multivariate regression models, Note on AR(1)-characterisation of stationary processes and model fitting, Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density, Clustering time series by linear dependency, Parameter estimation for \(p\)-order random coefficient autoregressive (RCA) models based on Kalman filter, Parametric estimation of hidden Markov models by least squares type estimation and deconvolution, Mixed Poisson INAR(1) processes, Foreign exchange intervention and inflation targeting: the role of credibility, Hedging recessions, Analytic standard errors for exploratory process factor analysis, Stochastic nonlinear time series forecasting using time-delay reservoir computers: performance and universality, Analysis of autocorrelation function of stochastic processes by F-transform of higher degree, On the Marčenko-Pastur law for linear time series, Modeling population dynamics: a quantile approach, Asymptotic analysis of synchrosqueezing transform -- toward statistical inference with nonlinear-type time-frequency analysis, Model averaging multistep prediction in an infinite order autoregressive process, Discovering optimally representative dynamical locations (ORDL) in big multivariate spatiotemporal data: a case study of precipitation in Australia from space to ground sensors, Robust Bayesian inference in proxy SVARs, Modeling dependence structure among European markets and among Asian-Pacific markets: a regime switching regular vine copula approach, An unscented Kalman smoother for volatility extraction: evidence from stock prices and options, Finite mixture modeling of Gaussian regression time series with application to dendrochronology, Structural estimation of jump-diffusion processes in macroeconomics, Methods of analyzing nonstationary time series with implicit changes in their properties, Efficient capital markets: a statistical definition and comments, Control cost for a discrete linear object under uncertainty about the spectral composition of perturbances, The central limit theorem for a sequence of random processes with space-varying long memory, Asymptotic Fisher information matrix of Markov switching VARMA models, A unifying theory of tests of rank, Modified unit root tests with nuisance parameter free asymptotic distributions, Labor and investment frictions in a real business cycle model, A class of asset pricing models governed by subordinate processes that signal economic shocks, Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors, Identification of seasonal effects in impulse responses using score-driven multivariate location models, Convergence of self-tuning regulators under conditional heteroscedastic noises with unknown high-frequency gain, Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process, A geometric analysis of time series leading to information encoding and a new entropy measure, A new index for measuring seasonality: a transportation cost approach, Directed attention and nonparametric learning, The effects of fiscal policy in a small open economy with a fixed exchange rate, Market entries and exits and the nonlinear behaviour of the exchange rate pass-through into import prices, A defaultable bond model with cyclical fluctuations in the spread process, An SVAR approach to evaluation of monetary policy in India: solution to the exchange rate puzzles in an open economy, An approximation of the distribution of learning estimates in macroeconomic models, Evaluation of connectivity estimates using spiking neuronal network models, Large shareholding and firm value in the alternative investment market (AIM), Improved maximum likelihood estimation of ARMA models, Models to predict the number of infected cases and deaths from COVID-19 in Chile and its most affected regions, Cointegration analysis of hazard rates and CDSs: applications to pairs trading strategy, The effects of advertising, prices and distribution on market share volatility, Time-discretization approximation enriches continuous-time discrete-space models for animal movement, Factor instrumental variable quantile regression, State-dependent effects of fiscal policy, Asset pricing with flexible beliefs, Selecting the tuning parameter of the \(\ell_1\) trend filter, Price discovery in the markets for credit risk: a Markov switching approach, Information criteria for nonlinear time series models, A model of the euro-area yield curve with discrete policy rates, Flexible Fourier form for volatility breaks, A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns, The rescaled VAR model with an application to mixed-frequency macroeconomic forecasting, Modeling time-variation over the business cycle (1960--2017): an international perspective, A distance-based test of independence between two multivariate time series, Tracking volatility, Incomplete markets, liquidation risk, and the term structure of interest rates, Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence, A wavelet-based variance ratio unit root test for a system of equations, Reprint of: Testing for unit roots in heterogeneous panels, Choosing between identification schemes in noisy-news models, Multivariate Markov-switching score-driven models: an application to the global crude oil market, Behavioral learning equilibria, A check for finite order VAR representations of DSGE models, Panel unit root tests in the presence of a multifactor error structure, Is it so bad that we cannot recognize black swans?, Essential properties of \(L_{p,q}\) spaces (the amalgams) and the implicit function theorem for equilibrium analysis in continuous time, Inference on impulse response functions in structural VAR models, Distribution theory for the Studentized mean for long, short, and negative memory time series, On the Fisher information matrix of a vector ARMA process, Using forecasts and managerial accounting information to enhance closed-loop supply chain management, The Asian financial crisis and investors' risk aversion, Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors, Adaptive signal processing of asset price dynamics with predictability analysis, Stochastic Jacobian and Riccati ODE in affine term structure models, Generalized least squares transformation and estimation with autoregressive error, Measuring business cycle turning points in Japan with the Markov Switching Panel model, Properties of a simple bilinear stochastic model: Estimation and predictability, Ergodicity and existence of moments for local mixtures of linear autoregressions, The use of GARCH models in VaR estimation, Who's afraid of reduced-rank parameterizations of multivariate models? Theory and example, Least squares estimation for critical random coefficient first-order autoregressive processes, Nonstationary dynamic factor analysis, A note on unit root tests with heavy-tailed GARCH errors, A Note on the Behaviour of Nonparametric Density and Spectral Density Estimators at Zero Points of their Support, Threshold Vector Arma Models, Applying nonlinear generalized autoregressive conditional heteroscedasticity to compensate ANFIS outputs tuned by adaptive support vector regression, Testable implications of affine term structure models, Testing for seasonal unit roots by frequency domain regression, On the risk of long-run deflation, Testing predictive regression models with nonstationary regressors, A unified approach to validating univariate and multivariate conditional distribution models in time series, A RECOMBINING TREE METHOD FOR OPTION PRICING WITH STATE-DEPENDENT SWITCHING RATES, Geometric and long run aspects of Granger causality, A tree approach to options pricing under regime-switching jump diffusion models, Estimating doubly stochastic Poisson process with affine intensities by Kalman filter, Fuzzy Rule-Based Ensemble Forecasting: Introductory Study, Adaptive Order Determination for Constructing Time Series Forecasting Models, Testing stability in a spatial unilateral autoregressive model, UNIT ROOT TESTING IN THE PRESENCE OF HEAVY-TAILED GARCH ERRORS, REVERSIBLE JUMP MARKOV CHAIN MONTE CARLO METHODS AND SEGMENTATION ALGORITHMS IN HIDDEN MARKOV MODELS, The linear response of turbulent flow to a volume force: comparison between eddy-viscosity model and DNS, A Likelihood Ratio Test for Idiosyncratic Unit Roots in the Exact Factor Model with Integrated Factors, Statistical Analysis Of Mixture Vector Autoregressive Models, Coordination and correlation in Markov rational belief equilibria, Weak identification in the ESTAR model and a new model, Economic Time Series: Modeling and Seasonality, What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio, Measuring the asymmetric contributions of individual subsystems, On pricing options with stressed-beta in a reduced form model, Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity, Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets, Governmentally amplified output volatility, The mutual causality analysis between the stock and futures markets, Portfolio diversification in the sovereign credit swap markets, Interdependencies between CDS spreads in the European union: is Greece the black sheep or black swan?, Nonstationary-volatility robust panel unit root tests and the great moderation, A skew INAR(1) process on \(\mathbb {Z}\), Multivariate Wishart stochastic volatility and changes in regime, Asymptotic distributions for quasi-efficient estimators in echelon VARMA models, Maximum likelihood estimation of the Markov-switching GARCH model, Numerical distribution functions for seasonal unit root tests, A joint test for structural stability and a unit root in autoregressions, VIX forecast under different volatility specifications, On the relationship between the theory of cointegration and the theory of phase synchronization, Autoregressive conditional heteroskedasticity and changes in regime, Boosting techniques for nonlinear time series models, Using cross-country variances to evaluate growth theories, Theoretical and empirical distributions of the \(p\) value, Improved estimates of the parameters of state space time series models, Does uncertainty influence the number of firms in an industry?, An improved particle filtering-based approach for health prediction and prognosis of nonlinear systems, On mixture autoregressive conditional heteroskedasticity, Coping with demand volatility in retail pharmacies with the aid of big data exploration, Applying linear time-varying constraints to econometric models: With an application to demand systems, Estimation and inference of dynamic structural factor models with over-identifying restrictions, Continuous time ARMA processes: discrete time representation and likelihood evaluation, Perpetual learning and apparent long memory, Solving generalized multivariate linear rational expectations models, Learning about fiscal policy and the effects of policy uncertainty, Inventory behavior with permanent sales shocks, Bayesian temporal density estimation with autoregressive species sampling models, Generalized method of moments estimation for cointegrated vector autoregressive models, Flexible integro-difference equation modeling for spatio-temporal data, A new nested Cholesky decomposition and estimation for the covariance matrix of bivariate longitudinal data, A Gini-based unit root test, General framework and model building in the class of hidden mixture transition distribution models, Sample autocorrelations of nonstationary fractionally integrated series, Extended dynamic generalized linear models: the two-parameter exponential family, Determinate liquidity traps, Cointegration rank tests based on vector autoregressive approximations under alternative hypotheses, A new approach to multi-step forecasting using dynamic stochastic general equilibrium models, Score-driven dynamic patent count panel data models, Full maximum likelihood estimation of dynamic demand models, Is it Brownian or fractional Brownian motion?, Bias-corrected estimation of panel vector autoregressions, An analytical characterization of noisy fiscal policy, Ergodic for the mean, A jump diffusion model for spot electricity prices and market price of risk, Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean, Calculating posterior distributions and modal estimates in Markov mixture models, Dynamics of R\&D and investment: UK evidence, A constraint optimization approach to causal discovery from subsampled time series data, Pythagorean generalization of testing the equality of two symmetric positive definite matrices, Estimating stochastic discount factor models with hidden regimes: applications to commodity pricing, Sparse matrix tools for Gaussian models on lattices, A matrix evaluation of the moving-average representation, Using stochastic growth models to understand unit roots and breaking trends, Application of the delta method to functions of the sample mean when observations are dependent, Data-based stochastic model reduction for the Kuramoto-Sivashinsky equation, Economic dynamical systems with multiplicative noise., Sparse causality network retrieval from short time series, Portfolio choice with endogenous utility: a large deviations approach., Asymptotic inference in time series regressions with a unit root and infinite variance errors, Eigenspace updating for non-stationary process and its application to face recognition., Estimating fractional cointegration in the presence of polynomial trends, Early surrender and the distribution of policy reserves, On the forecasting of mortality reduction factors, Nonparametric estimation equations for time series data., A bootstrap approximation to a unit root test statistic for heavy-tailed observations., Lee-Carter mortality forecasting with age-specific enhancement., Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects., Online prediction of Berlin single-family house prices, Regression neural network for error correction in foreign exchange forecasting and trading., Chance discovery in medicine -- detection of rare risky events in chronic diseases, Risk premia and overshooting, Methods to estimate dynamic stochastic general equilibrium models, Loss development forecasting models: an econometrician's view, A deflection-based bridge diagnosis method, On the dynamic implications of news shocks, Which econometric specification to characterize the U.S. inflation rate process?, Laplace approximations to means and variances with asymptotic modes, Value-at-risk via mixture distributions reconsidered, Supply chain design under uncertainty using sample average approximation and dual decomposition, Small-sample properties of some tests for unit root with data-based choice of the degree of augmentation., Credit, income, and causality: a contemporary co-integration analysis, Do core inflation measures help forecast inflation?: Out-of-sample evidence from French data, Additional critical values and asymptotic representations for seasonal unit root tests, Comments on ``Kalman-filtering methods for computing information matrices for time-invariant, periodic, and generally time-varying VARMA models and samples, A Bayesian approach to dynamic macroeconomics, Adjusted estimates and Wald statistics for the AR(1) model with constant, Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments, Technology shocks and the business cycle: On empirical investigation, Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series, Testing for \(r\) versus \(r-1\) cointegrating vectors, A test for volatility spillovers., Short rate nonlinearities and regime switches., Forward versus reverse regression and cointegration., Nonparametric, nonlinear, short-term forecasting: Theory and evidence for nonlinearities in the commodity markets, Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers, A simple method of testing for cointegration subject to multiple regime changes, Unnamed Item, Estimation of long-run inefficiency levels: a dynamic frontier approach, Modified Maximum-Likelihood Method for Non-Normal Time Series Revisited, Cusum Test for Parameter Change Based on the Maximum Likelihood Estimator, Linearity tests and stationarity, Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*, Determination of cointegrating rank in partially non‐stationary processes via a generalised von‐Neumann criterion, FUNCTIONAL FORM MISSPECIFICATION IN REGRESSIONS WITH A UNIT ROOT, Time series models with asymmetric innovations, ESTIMATING PARAMETERS IN AUTOREGRESSIVE MODELS IN NON-NORMAL SITUATIONS: ASYMMETRIC INNOVATIONS, On anAr(1) Time Series Model with Marginal Two Parameter Wright Inverse–Gamma Distribution, UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION, Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling, THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE, A note on mean squared prediction error under the unit root model with deterministic trend, Limit theorems for the discount sums of moving averages, Asymptotic Behavior of Conditional Least Squares Estimators for Unstable Integer-valued Autoregressive Models of Order 2, A FLEXIBLE STATE SPACE MODEL AND ITS APPLICATIONS, NULL RECURRENT UNIT ROOT PROCESSES, Enhancements of Moving Trend Based Filters Aimed at Time Series Prediction, A Test for Strict Stationarity, Bootstrapping Autoregression under Non-stationary Volatility, Assessing direct and indirect seasonal decomposition in state space, A Lagrange Multiplier-Type Test for Idiosyncratic Unit Roots in the Exact Factor Model, OPTIMAL PORTFOLIO CONSTRUCTION UNDER PARTIAL INFORMATION FOR A BALANCED FUND, Integer-Valued GARCH Process, Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm, LEARNING FROM THE EXPECTATIONS OF OTHERS, Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator, A STATE‐SPACE MODEL FOR UNIVARIATE ORDINAL‐VALUED TIME SERIES, An Optimization-Based Conjectured Response Approach to Medium-term Electricity Markets Simulation, Bayesian Inference and Forecasting in Dynamic Neural Networks with Fully Markov Switching ARCH Noises, CYCLICAL BEHAVIOR OF PRICES IN THE G7 COUNTRIES THROUGH WAVELET ANALYSIS, A note on spurious regression in seasonal time series, A Review of Nonparametric Time Series Analysis, Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent, BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS, Positive transversality via transfer operators and holomorphic motions with applications to monotonicity for interval maps, Modeling the coupled return-spread high frequency dynamics of large tick assets, Improved inference for first-order autocorrelation using likelihood analysis, Thermo-statistical study of evaporation effects in a non neutral plasma under an imperfect magnetic confinement, Spectra of large time-lagged correlation matrices from random matrix theory, Mixture Gaussian Time Series Modeling of Long-Term Market Returns, Modeling Surrender and Lapse Rates With Economic Variables, A MODEL OF NEAR-RATIONAL EXUBERANCE, Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations, Wavelet Improvement of the Over-Rejection of Unit Root Test Under GARCH Errors: An Application to Swedish Immigration Data, Bayesian estimation of semiparametric nonlinear dynamic factor analysis models using the Dirichlet process prior, CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS, On the forecasting ability of ARFIMA models when infrequent breaks occur, Modeling nonlinear time series with local mixtures of generalized linear models, INFLATION REGIMES AND PRICE-SETTING INTERACTIONS, Testing for a unit root in an ar(1) model using three and four moment approximations: symmetric distributions, Analysis of seasonal time series using fuzzy approach, THE SIGNAL EXTRACTION PROBLEM REVISITED: A NOTE ON ITS IMPACT ON A MODEL OF MONETARY POLICY, APPARENT LONG MEMORY IN TIME SERIES AS AN ARTIFACT OF A TIME-VARYING MEAN: CONSIDERING ALTERNATIVES TO THE FRACTIONALLY INTEGRATED MODEL, Spurious Instrumental Variables, Unnamed Item, Spurious Regressions with Time-Series Data: Further Asymptotic Results, A Consistent Method for the Selection of Relevant Instruments, Asymptotic Distribution of a Unit Root Process Under Double Truncation, An Alternative Methodology for Combining Different Forecasting Models, Portfolio Selection with Common Correlation Mixture Models, SERIAL CORRELATION, PERIODICITY AND SCALING OF EIGENMODES IN AN EMERGING MARKET, A light-tailed conditionally heteroscedastic model with applications to river flows, Time Series Mixtures of GeneralizedtExperts: ML Estimation and an Application to Stock Return Density Forecasting, The variance ratio and trend stationary model as extensions of a constrained autoregressive model, Estimating overnightde factopopulation by forecasting symptomatic variables: an integrated framework, PREDICTION‐FOCUSED MODEL SELECTION FOR AUTOREGRESSIVE MODELS, BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL, Robust Transformations in Univariate and Multivariate Time Series, Residual‐based block bootstrap unit root testing in the presence of trend breaks, Repeated surveys and the Kalman filter, Empirical Performance and Asset Pricing in Hidden Markov Models, OUTPUT FLUCTUATIONS PERSISTENCE: DO CYCLICAL SHOCKS MATTER?, On modelling and diagnostic checking of vector periodic autoregressive time series models, Computationally efficient methods for two multivariate fractionally integrated models, Bayesian analysis of multivariate Gaussian hidden Markov models with an unknown number of regimes, Time Series and Model Selection, Estimation Bias in the First-Order Autoregressive Model and Its Impact on Predictions and Prediction Intervals, Forecasting regional house price inflation: a comparison between dynamic factor models and vector autoregressive models, THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS, TESTING FOR SEASONAL UNIT ROOTS IN PERIODIC INTEGRATED AUTOREGRESSIVE PROCESSES, NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS, A Bayesian Analysis of Unit Roots and Structural Breaks in the Level, Trend, and Error Variance of Autoregressive Models of Economic Series, Seasonal Unit Root Tests Based on Forward and Reverse Estimation, Bayesian Risk Management for Equity-Linked Insurance, Modelling Electricity Prices with Forward Looking Capacity Constraints, Pitfalls in Estimating Cointegrating Vector when Cointegration Relationship has Nonlinear Adjustment, A REVIEW OF SYSTEMS COINTEGRATION TESTS, Granger Causality Test in the Presence of Spillover Effects, TECHNOLOGY SHOCKS AND HOURS WORKED: A FRACTIONAL INTEGRATION PERSPECTIVE, DISTRIBUTIVE AND DEMAND CYCLES IN THE US ECONOMY?A STRUCTURALIST GOODWIN MODEL, Least Squares Bias in Time Series with Moderate Deviations from a Unit Root, On markov chain monte carlo methods for nonlinear and non-gaussian state-space models, Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator, Lee–Carter Mortality Forecasting: A Parallel Generalized Linear Modelling Approach for England and Wales Mortality Projections, Diffuse Restricted Kalman Filtering, Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching, Estimating parameters in autoregressive models in non-normal situations: symmetric innovations, Location and scale-based CUSUM test with application to autoregressive models, The asymptotic covariance matrix of the QMLE in ARMA models, Multiscale Bayesian state-space model for Granger causality analysis of brain signal, Modeling time series data with semi-reflective boundaries, Bayesian analysis of the p-order integer-valued AR process with zero-inflated Poisson innovations, Principal component analysis with autocorrelated data, On the Covariance Structure of Time Varying Bilinear Models, BAYESIAN ANALYSIS OF ECONOMETRIC TIME SERIES MODELS USING HYBRID INTEGRATION RULES, A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates, Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism, Energy futures prices: term structure models with Kalman filter estimation, Ratio tests of a unit root, SPOTTED OWL PROTECTION, BOOMING HOUSING MARKET, AND LOG PRICE CHANGES IN THE PACIFIC NORTHWEST, Modeling Bivariate Threshold Autoregressive Processes in the Presence of Missing Data, Inventory Effects on Daily Returns in Financial Markets, Statistical bootstrapping methods in VaR calculation, The tapered block bootstrap for general statistics from stationary sequences, On LM type tests for seasonal unit roots in quarterly data, Forecasting autoregressive time series in the presence of deterministic components, A pairs trading strategy based on linear state space models and the Kalman filter, Oil prices and sovereign credit risk of oil producing countries: an empirical investigation, Optimal pair-trading strategy over long/short/square positions—empirical study, Combining long memory and level shifts in modelling and forecasting the volatility of asset returns, Sequential Monte Carlo for fractional stochastic volatility models, An estimation procedure for the Hawkes process, Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance, DRAWDOWN MEASURES AND RETURN MOMENTS, SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS, MULTISTEP PREDICTION IN AUTOREGRESSIVE PROCESSES, ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS, ECONOMETRIC THEORY, by James Davidson, Blackwell Publishers, 2000, THE CONTINUITY OF THE LIMIT DISTRIBUTION IN THE PARAMETER OF INTEREST IS NOT ESSENTIAL FOR THE VALIDITY OF THE BOOTSTRAP, Forecasting with serially correlated regression models, INTERNATIONAL CAUSE-SPECIFIC MORTALITY RATES: NEW INSIGHTS FROM A COINTEGRATION ANALYSIS, MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE, Reconstructing latent dynamical noise for better forecasting observables, The vector innovations structural time series framework, Using the Lee-Carter Method to Forecast Mortality for Populations with Limited Data*, Fingerprinting and Reconstruction of Functionals of Discrete Time Markov Chains, Stochastic modelling of mortality and financial markets, Bootstrapping periodically autoregressive models, Unnamed Item, Fast transformation from time series to visibility graphs, A cusum test in the linear regression model with serially correlated disturbances, Unnamed Item, Unnamed Item, BEHAVIORAL VALUE ADJUSTMENTS, A Hybrid ARIMA-ANN approach for optimum estimation and forecasting of gasoline consumption, Fourier Analysis of Periodic Weakly Stationary Processes: A Note on Slutsky’s Observation, Some recent developments in Markov Chain Monte Carlo for cointegrated time series, A Bayesian analysis of a change in the parameters of autoregressive time series, RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES, Change Point Detection with Multivariate Observations Based on Characteristic Functions, A duscrete-time model of high-frequency stock returns, Large-scale Sparse Inverse Covariance Matrix Estimation, Decision trees unearth return sign predictability in the S&P 500, Smooth Random Functions, Random ODEs, and Gaussian Processes, Stein-rule estimation in models with a lagged-dependemt variable, Stochastic Filtering Methods in Electronic Trading, Fitting spatial regressions to large datasets using unilateral approximations, On Markov-switching periodicARMAmodels, APPLICATION OF THE EXACT INVERSE OF THE TOEPLITZ MATRIX TO THE AUTOREGRESSIVE MODEL, A generalization of random matrix theory and its application to statistical physics, Robust identification of harmonic oscillator parameters using the adjoint Fokker–Planck equation, Non‐parametric regression under location shifts, TESTING FOR "PURE" CONTAGION EFFECTS IN INTERNATIONAL BANKING: THE CASE OF BCCI'S FAILURE, NONLINEAR DYNAMICAL SYSTEM IDENTIFICATION FROM UNCERTAIN AND INDIRECT MEASUREMENTS, Tests for comparing time series of unequal lengths, Fifty years since Koyck (1954)*, Generalizations of the KPSS‐test for stationarity, Estimation and Testing Stationarity for Double-Autoregressive Models, On Testing Changes in Autoregressive Parameters of a VAR Model, Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models, UNIT ROOT TESTS WITH WAVELETS, DO RISING REAL WAGES INCREASE THE RATE OF LABOR-SAVING TECHNICAL CHANGE? SOME ECONOMETRIC EVIDENCE, Testing autocorrelation in a system perspective testing autocorrelation, Exact joint forecast regions for vector autoregressive models, Asymptotic mean‐squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process, Time‐scale transformations of discrete time processes, The DNA of security return, Using information quality for volatility model combinations, Optimal pair-trading strategy over long/short/square positions—empirical study, Finite sample properties of nonstationary binary response models: A monte carlo analysis, Efficient estimation in model‐based clustering of Gaussian regression time series, Binomial thinning models for integer time series, Using decomposed household food acquisitions as inputs of a Kinetic Dietary Exposure Model, A time varying hidden Markov model with latent information, Third and fourth moments of vector autoregressions with regime switching, Predictor Selection for Positive Autoregressive Processes, THE CARMA INTEREST RATE MODEL, Location of Siegel capture polynomials in parameter spaces, Credit Risk: Simple Closed-Form Approximate Maximum Likelihood Estimator, Mixtures of Nonlinear Poisson Autoregressions, Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models, Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models, A nesting framework for Markov-switching GARCH modelling with an application to the German stock market, Stochastic modeling of assets and liabilities with mortality risk, KNN Loss and Deep KNN, Stochastic Gradient MCMC for State Space Models, Multivariate Models of Equity Returns for Investment Guarantees Valuation, On the Asymptotic Distribution of a Weighted Least Absolute Deviation Estimate for a Bifurcating Autoregressive Process, Approximate leave-future-out cross-validation for Bayesian time series models, A new method of testing for a unit root in the INAR(1) model based on variances, Inflation Rate Forecasting: Extreme Learning Machine as a Model Combination Method, TIME VARYING SENSITIVITIES ON A GRID ARCHITECTURE, Forecasting Performance of an Open Economy DSGE Model, A Strongly Consistent Criterion to Decide Between I(1) and I(0) Processes Based on Different Convergence Rates, Bootstrap LR tests of stationarity, common trends and cointegration, CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS, EMPIRICAL STUDIES OF STRUCTURAL CREDIT RISK MODELS AND THE APPLICATION IN DEFAULT PREDICTION: REVIEW AND NEW EVIDENCE, UNIT ROOT TEST WITH HIGH-FREQUENCY DATA, Liquidity fluctuations and the latent dynamics of price impact, Time series AR(1) model for short-tailed distributions, Negative Moment Bounds for Stochastic Regression Models with Deterministic Trends and Their Applications to Prediction Problems, Adaptive estimation for varying coefficient models with nonstationary covariates, Spectral representation and autocovariance structure of Markov switching DSGE models, Johansen cointegration rank tests under local alternative hypotheses when related drift or linear trend is not dependent upon sample size in VARs, Variance stabilizing filters^#, Empirical analysis of SH50ETF and SH50ETF option prices under regime-switching jump-diffusion models, Size and power in tests of return predictability, Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes, A Survey on Time-Varying Copulas: Specification, Simulations, and Application, DSGE Models with Student-tErrors, A Note on Nonlinear Cointegration, Misspecification, and Bimodality, Detrending Bootstrap Unit Root Tests, Construction of multi-step forecast regions of VAR processes using ordered block bootstrap, Automatic SARIMA modeling and forecast accuracy, Effects of weak identification on the MD estimator in dynamic stochastic general equilibrium models, Maximum likelihood estimation in vector autoregressive models with multivariate scaled t-distributed innovations using EM-based algorithms, Cointegrated continuous-time linear state-space and MCARMA models, Bootstrapping volatility spillover index, Short- and Long-Term Dynamics of Cause-Specific Mortality Rates Using Cointegration Analysis, First-order integer-valued autoregressive process with Markov-switching coefficients, On cointegration for processes integrated at different frequencies, Stationarity and ergodicity of Markov switching positive conditional mean models, A New Recursive Estimation Method for Single Input Single Output Models, An adaptive variable-parameters scheme for the simultaneous monitoring of the mean and variability of an autocorrelated multivariate normal process, On unstable and unoptimal prediction, Spectral Correlation Hub Screening of Multivariate Time Series, The Limiting Distribution of a Non‐Stationary Integer Valued GARCH(1,1) Process, IDENTIFYING LATENT GROUPED PATTERNS IN COINTEGRATED PANELS, HIGHER ORDER MOMENTS OF MARKOV SWITCHING VARMA MODELS, Eliminating the omitted variable bias by a regime-switching approach, Testing for spurious and cointegrated regressions: A wavelet approach, Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries, Time Series: How Unusual Local Behavior Can Be Recognized Using Fuzzy Modeling Methods, A cointegration analysis of crime, economic activity, and police performance in São Paulo city, Decomposing the predictive performance of the moving average trading rule of technical analysis: the contribution of linear and non-linear dependencies in stock returns, Infant mortality rates: time trends and fractional integration, Granger-causality in Markov switching models, Linear and segmented trends in sea surface temperature data, Causes-of-Death Mortality: What Do We Know on Their Dependence?, A multilevel model with autoregressive components for the analysis of tribal art prices, The Theory of Optimal Stochastic Control as Applied to Insurance Underwriting Cycles, State-Space Analysis of Granger-Geweke Causality Measures with Application to fMRI, Nonlinear Memory Capacity of Parallel Time-Delay Reservoir Computers in the Processing of Multidimensional Signals, Evolutionary State-Space Model and Its Application to Time-Frequency Analysis of Local Field Potentials, New bootstrap inference for spurious regression problems, Bias correction through filtering omitted variables and instruments, An alternative circular smoothing method to nonparametric estimation of periodic functions, Stock-specific sentiment and return predictability, A GENERALIZATION OF PRINCIPAL COMPONENT ANALYSIS FOR NON-OBSERVABLE TERM STRUCTURES IN EMERGING MARKETS, Unit-root testing: on the asymptotic equivalence of Dickey-Fuller with the log-log slope of a fitted autoregressive spectrum, Statistical Inference for Average Treatment Effects Estimated by Synthetic Control Methods, Time Series Analysis of Relationships Among Crypto-asset Exchange Rates, A test for independence between a point process and an analogue signal, Unnamed Item, PATH INTEGRAL METHOD FOR LIMITING DISTRIBUTION OF AN ESTIMATOR ARISING FROM AN AR(1)-PROCESS WITH A UNIT ROOT, APPLYING STATE SPACE MODELS TO STOCHASTIC CLAIMS RESERVING, Unnamed Item, The False Strategy Theorem: A Financial Application of Experimental Mathematics, Restricted Kalman filter applied to dynamic style analysis of actuarial funds, Prediction of time series by statistical learning: general losses and fast rates, Discussion on “Sequential Estimation for Time Series Models” by T. N. Sriram and Ross Iaci, Consistent testing for non‐correlation of two cointegrated ARMA time series, Test for Parameter Change in Linear Processes Based on Whittle's Estimator, Online portfolio selection, ANALYSIS OF THE LIKELIHOOD FUNCTION FOR MARKOV‐SWITCHING VAR(CH) MODELS, Local diffusion models for stochastic reacting systems: estimation issues in equation-free numerics, Inference of seasonal cointegration with linear restrictions, Testing Covariance Stationarity, HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES, Asymptotic Properties of OLS Estimates in Autoregressions with Bounded or Slowly Growing Deterministic Trends, TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT, Polynomial Trend Regression With Long‐memory Errors, Unnamed Item, Improved autoregressive forecasts in the presence of non-normal errors, More powerful Engle–Granger cointegration tests, A STATISTICAL TEST OF VOLATILITY PERSISTENCE IN GARCH MODELS AND APPLICATION TO STOCK EXCHANGE, Unnamed Item, Spatio‐temporal smoothing and EM estimation for massive remote‐sensing data sets, Time Series Data Mining with an Application to the Measurement of Underwriting Cycles, Predicting Time Series from Short-Term High-Dimensional Data, A mixture of Gaussians approach to mathematical portfolio oversight: the EF3M algorithm, Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data, Revisiting the intertemporal risk–return relation: asymmetrical effect of unexpected volatility shocks, Model risk of the implied GARCH-normal model, Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes, OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT, A Gaussian Mixture Autoregressive Model for Univariate Time Series, Statistical arbitrage under the efficient market hypothesis, Limit theorems for quadratic forms and related quantities of discretely sampled continuous-time moving averages, An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls, What does Google say about credit developments in Brazil?, A unified unit root test regardless of intercept, Forecasting vector autoregressions with mixed roots in the vicinity of unity, Bayesian inference in a multiple contaminated autoregressive model with trend, Assessing ecosystem state space models: identifiability and estimation, Moments, shocks and spillovers in Markov-switching VAR models, Daily Covid-19 infected population densities in Italian provinces follow Taylor’s law, Markov switching quantile autoregression, Modeling and forecasting of stock index volatility with APARCH models under ordered restriction, A Bayesian detection of structural changes in autoregressive time series models, Bayesian network models for incomplete and dynamic data, The min-Knapsack problem with compactness constraints and applications in statistics, Identification-robust moment-based tests for Markov switching in autoregressive models, On the vector-valued generalized autoregressive models, First-order binomial autoregressive processes with Markov-switching coefficients, SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL, Monitoring parameter change for bivariate time series models of counts, Covariance models and Gaussian process regression for the wave equation. Application to related inverse problems, An Extensive Comparison of Some Well‐Established Value at Risk Methods, Quantifying noise in survey expectations, Monetary policy and long‐term interest rates, Diffuse Kalman filtering with linear constraints on the state parameters, Anthropogenic global warming hypothesis: testing its robustness by Granger causality analysis, Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables, Control charts for measurement error models, A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR, Trend and cycle decomposition of Markov switching (co)integrated time series, Artificial intelligence for COVID-19 spread modeling, The strong consistency of quasi-maximum likelihood estimators for \(p\)-order random coefficient autoregressive (RCA) models, Inference in a similarity-based spatial autoregressive model, Regime switching models for circular and linear time series, Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series, An improved Tobit Kalman filter with adaptive censoring limits, Conservatorship, quantitative easing, and mortgage spreads: a new multi-equation score-driven model of policy actions, Optimal sampling designs for multidimensional streaming time series with application to power grid sensor data, Multivariate spatio‐temporal modelling for assessing Antarctica's present‐day contribution to sea‐level rise, Impulse response function analysis for Markov switching VAR models, A Dynamic Binary Probit Model with Time-Varying Parameters and Shrinkage Prior, Sparse generalized Yule-Walker estimation for large spatio-temporal autoregressions with an application to NO\(_2\) satellite data, An autocovariance-based learning framework for high-dimensional functional time series, Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach, On an independent-switching periodic autoregressive conditional duration, Testing for measurement error in regression with autoregressive innovations, Structural VAR models in the frequency domain, A robust score-driven filter for multivariate time series, Behavioral learning equilibria in New Keynesian models, Control charts for high-dimensional time series with estimated in-control parameters, Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book, Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends, Modelling circular time series, Robust testing for explosive behavior with strongly dependent errors, Autoregressive conditional betas, Advances in nowcasting economic activity: the role of heterogeneous dynamics and fat tails, Dynamic modelling of price expectations and judgments, A note on the equivalence between the conditional uncorrelation and the independence of random variables, Estimación bayesiana de un Modelo Garch-M Bivariado, TEMPORAL AGGREGATION AND TESTING FOR TIMBER PRICE BEHAVIOR, A Regime-Switching Model of Long-Term Stock Returns, Estimating parameters in autoregressive models with asymmetric innovations, Large-sample inference in the general AR(1) model, Data graduation based on statistical time series methods, Forecasting Mortality Trends Allowing for Cause-of-Death Mortality Dependence, \(L_p\)-approximable sequences of vectors and limit distribution of quadratic forms of random variables, THE TRANSMISSION MECHANISM IN GOOD AND BAD TIMES, Closed-form likelihood function of Markov-switching models., Convergence of averages of scaled functions of I(1) linear processes, A simple procedure for detecting periodically collapsing rational bubbles, Stationarity of multivariate Markov-switching ARMA models, On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity, Time evolution of stochastic processes with correlations in the variance: stability in power-law tails of distributions, Long memory and regime switching, Economic tracking portfolios, State-dependent vector hybrid linear and nonlinear ARMA modeling: Theory, State-dependent vector hybrid linear and nonlinear ARMA modeling: Applications, Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase, An advanced evolutionary algorithm for parameter estimation of the discrete Kalman filter, Testing for unit roots in the context of misspecified logarithmic random walks., Consistent expectations equilibria and learning in a stock market, Kalman estimation with Brownian disturbances, Mortality, longevity and experiments with the Lee-Carter model, Forecasting with non-homogeneous hidden Markov models, Bayesian analysis of static and dynamic factor models: an ex-post approach towards the rotation problem, The impact of bootstrap methods on time series analysis, Forecasting with non-homogeneous hidden Markov models, Time-homogeneous top-K ranking using tensor decompositions, NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS, The asymptotic size and power of the augmented Dickey–Fuller test for a unit root, Focused information criterion for locally misspecified vector autoregressive models, A multifactor transformed diffusion model with applications to VIX and VIX futures, Some notes on nonlinear cointegration: A partial review with some novel perspectives, Dynamic structural models with covariates for short-term forecasting of time series with complex seasonal patterns, Time-varying cointegration and the Kalman filter, Unified M-estimation of matrix exponential spatial dynamic panel specification, A state-space approach to time-varying reduced-rank regression