首页>外文期刊>经济>Journal of Time Series Econometrics

Journal of Time Series Econometrics

中文名称：时间序列计量经济学杂志

ISSN：2194-6507
出版周期：Biannually

发文量：48

期刊论文

热门论文

年度选择

2016
- 第1期
- 第2期
2015
- 第1期
- 第2期
2014
- 第1期
- 第2期

更多>>

全选（0）

1.Asymptotically Unbiased Estimation of Autocovariances and Autocorrelations with Panel Data in the Presence of Individual and Time Effects

机译：存在个体效应和时间效应的面板数据的自协方差和自相关的渐近无偏估计
- 作者：Ryo Okui
- 期刊名称：《Journal of Time Series Econometrics》 | 2014年第2期
- double asymptotics;
- individual effects;
- long-run variance;
- panel data;
- time effects;
2.Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion

机译：具有结构断裂的KPSS测试偏差校正，以减小尺寸失真
- 作者：Anton Skrobotov
- 期刊名称：《Journal of Time Series Econometrics》 | 2014年第1期
- stationarity tests;
- KPSS test;
- bias correction;
- size distortion;
- structural break;
3.Bootstrap Point Optimal Unit Root Tests

机译：引导点最佳单位根测试
- 作者：Liqiong Wang
- 期刊名称：《Journal of Time Series Econometrics》 | 2014年第1期
- unit root;
- point optimal tests;
- bootstrap;
- ARMA models;
4.Modeling Style Rotation: Switching and Re-switching

机译：建模样式旋转：切换和重新切换
- 作者：Edward Golosov;Stephen Satchell
- 期刊名称：《Journal of Time Series Econometrics》 | 2014年第2期
- market dynamics;
- asset prices;
- style rotation;
5.Estimation Bias and Feasible Conditional Forecasts from the First-Order Moving Average Model

机译：一阶移动平均模型的估计偏差和可行的条件预测
- 作者：Yong Bao;Ru Zhang
- 期刊名称：《Journal of Time Series Econometrics》 | 2014年第1期
- bias;
- moving average;
- feasible forecasts;
6.Valid Locally Uniform Edgeworth Expansions for a Class of Weakly Dependent Processes or Sequences of Smooth Transformations

机译：一类弱相关过程或平滑变换序列的有效局部一致Edgeworth展开
- 作者：Stelios Arvanitis;Antonis Demos
- 期刊名称：《Journal of Time Series Econometrics》 | 2014年第2期
7.Cycles, Syllogisms and Semantics: Examining the Idea of Spurious Cycles

机译：周期，三段论和语义学：审查虚假周期的概念
- 作者：D. S. G. Pollock
- 期刊名称：《Journal of Time Series Econometrics》 | 2014年第1期
- business cycles;
- linear filters;
- spurious fluctuations;
8.Optimal Signal Extraction with Correlated Components

机译：具有相关成分的最佳信号提取
- 作者：Tucker S. McElroy;Agustin Maravall
- 期刊名称：《Journal of Time Series Econometrics》 | 2014年第2期
- ARIMA;
- nonstationary;
- seasonality;
- time series;
9.Testing for Multiple Structural Changes with Non-Homogeneous Regressors

机译：使用非均质回归器测试多种结构变化
- 作者：Eiji Kurozumi
- 期刊名称：《Journal of Time Series Econometrics》 | 2015年第2期
- multiple breaks;
- exp-type test;
- sup-type test;
- avg-type test;
- mean-type test;
10.Forecasting Volatility and the Risk-Return Tradeoff: An Application on the Fama-French Benchmark Market Return

机译：预测波动率和风险收益权衡：在Fama-French基准市场收益中的应用
- 作者：Nikolaos Vafiadis
- 期刊名称：《Journal of Time Series Econometrics》 | 2015年第1期
- FIEGARCH;
- financial leverage;
- GARCH;
- long memory;
- risk-return tradeoff;
- stock returns;
- volatility feedback;
11.Constrained Hamiltonian Monte Carlo in BEKK GARCH with Targeting

机译：定位有限制的汉密尔顿蒙特卡洛在BEKK GARCH中
- 作者：Martin Burda
- 期刊名称：《Journal of Time Series Econometrics》 | 2015年第2期
- dynamic conditional covariances;
- Markov chain Monte Carlo;
12.A Test of the Long Memory Hypothesis Based on Self-Similarity

机译：基于自相似性的长记忆假设检验
- 作者：James Davidson;Dooruj Rambaccussing
- 期刊名称：《Journal of Time Series Econometrics》 | 2015年第1期
- long memory;
- skip-sampling;
- log-periodogram regression;
13.Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests

机译：通用确定性组件的递归调整和改进的协整秩检验
- 作者：Benjamin Born;Matei Demetrescu
- 期刊名称：《Journal of Time Series Econometrics》 | 2015年第1期
- adaptive detrending;
- vector autoregressive process;
- long-run relation;
- LR-type test;
14.How Close Is a Fractional Process to a Random Walk with Drift?

机译：有漂移的随机行走的分数过程有多近？
- 作者：Rolf Larsson
- 期刊名称：《Journal of Time Series Econometrics》 | 2015年第1期
- fractional process;
- random walk;
- distance;
15.Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes

机译：矩阵指数动态相关过程的长记忆和不对称性
- 作者：Manabu Asai;Mike K.P. So
- 期刊名称：《Journal of Time Series Econometrics》 | 2015年第2期
- matrix-exponential;
- long memory;
- asymmetric effects;
- dynamic correlation;
- inverse Wishart distribution;
- heavy tails;
16.Tapered Block Bootstrap for Unit Root Testing

机译：锥形块自举，用于单位根测试
- 作者：Cameron C. Parker;Efstathios Paparoditis;Dimitris Politis
- 期刊名称：《Journal of Time Series Econometrics》 | 2015年第2期
- integrated time series;
- tapered block bootstrap;
- unit root testing;
- resampling;
17.An Improved Selection Test between Autoregressive and Moving Average Disturbances in Regression Models

机译：回归模型中自回归和移动平均扰动之间的改进选择检验
- 作者：Pierre Nguimkeu
- 期刊名称：《Journal of Time Series Econometrics》 | 2016年第1期
- autoregressive errors;
- moving average errors;
- likelihood analysis;
- p-value;
18.International Mobility of Capital in the United States: Robust Evidence from Time-Series Tests

机译：美国的国际资本流动性：时间序列检验的可靠证据
- 作者：Tarlok Singh
- 期刊名称：《Journal of Time Series Econometrics》 | 2016年第2期
- saving;
- investment;
- capital mobility;
- cointegration;
- structural breaks JEL Classification: E21;
- E22;
- F21;
- F32;
- F41;
19.Semiparametric Stationarity and Fractional Unit Roots Tests Based on Data-Driven Multidimensional Increment Ratio Statistics

机译：基于数据驱动的多维增量比率统计的半参数平稳性和分数单位根检验
- 作者：Jean-Marc Bardet;Béchir Dola
- 期刊名称：《Journal of Time Series Econometrics》 | 2016年第2期
20.Optimal Real-Time Filters for Linear Prediction Problems

机译：线性预测问题的最佳实时滤波器
- 作者：Marc Wildi;Tucker McElroy
- 期刊名称：《Journal of Time Series Econometrics》 | 2016年第2期
- frequency domain;
- seasonality;
- time series;
- trends;
21.Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox

机译：牛的不可观测分量时间序列模型的粒子马尔可夫链蒙特卡罗技术
- 作者：Nima Nonejad
- 期刊名称：《Journal of Time Series Econometrics》 | 2016年第1期
- Bayes;
- Gibbs;
- Metropolis-Hastings;
- particle filter;
- unobserved components;
22.On the Univariate Representation of BEKK Models with Common Factors

机译：具有共同因素的BEKK模型的单变量表示
- 作者：Alain Hecq;Sébastien Laurent;Franz C. Palm
- 期刊名称：《Journal of Time Series Econometrics》 | 2016年第2期
- common GARCH;
- factor models;
- BEKK;
- final equations;
23.Fixed and Recursive Right-Tailed Dickey-Fuller Tests in the Presence of a Break under the Null

机译：零位下存在中断的固定和递归右尾Dickey-Fuller检验
- 作者：Robert Sollis
- 期刊名称：《Journal of Time Series Econometrics》 | 2016年第1期
- explosive autoregression;
- structural break;
- unit root;
24.A Note on the QMLE Limit Theory in the Non-stationary ARCH(1) Model

机译：关于非平稳ARCH（1）模型中QMLE极限理论的注记
- 作者：Stelios Arvanitis;Alexandros Louka
- 期刊名称：《Journal of Time Series Econometrics》 | 2016年第1期
- α-stable distribution;
- slow variation;
- domain of attraction;
- MLT with mixed limit;
- non-stationary ARCH(1);
- QMLE;
- inconsistency;
- non-tightness;
25.Asymptotically Unbiased Estimation of Autocovariances and Autocorrelations with Panel Data in the Presence of Individual and Time Effects

机译：存在个体效应和时间效应的面板数据的自协方差和自相关的渐近无偏估计
- 作者：Ryo Okui
- 期刊名称：《Journal of Time Series Econometrics》 | 2014年第2期
- double asymptotics;
- individual effects;
- long-run variance;
- panel data;
- time effects;
26.Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion

机译：具有结构断裂的KPSS测试偏差校正，以减小尺寸失真
- 作者：Anton Skrobotov
- 期刊名称：《Journal of Time Series Econometrics》 | 2014年第1期
- stationarity tests;
- KPSS test;
- bias correction;
- size distortion;
- structural break;
27.Bootstrap Point Optimal Unit Root Tests

机译：引导点最佳单位根测试
- 作者：Liqiong Wang
- 期刊名称：《Journal of Time Series Econometrics》 | 2014年第1期
- unit root;
- point optimal tests;
- bootstrap;
- ARMA models;
28.Modeling Style Rotation: Switching and Re-switching

机译：建模样式旋转：切换和重新切换
- 作者：Edward Golosov;Stephen Satchell
- 期刊名称：《Journal of Time Series Econometrics》 | 2014年第2期
- market dynamics;
- asset prices;
- style rotation;
29.Estimation Bias and Feasible Conditional Forecasts from the First-Order Moving Average Model

机译：一阶移动平均模型的估计偏差和可行的条件预测
- 作者：Yong Bao;Ru Zhang
- 期刊名称：《Journal of Time Series Econometrics》 | 2014年第1期
- bias;
- moving average;
- feasible forecasts;
30.Valid Locally Uniform Edgeworth Expansions for a Class of Weakly Dependent Processes or Sequences of Smooth Transformations

机译：一类弱相关过程或平滑变换序列的有效局部一致Edgeworth展开
- 作者：Stelios Arvanitis;Antonis Demos
- 期刊名称：《Journal of Time Series Econometrics》 | 2014年第2期
31.Cycles, Syllogisms and Semantics: Examining the Idea of Spurious Cycles

机译：周期，三段论和语义学：审查虚假周期的概念
- 作者：D. S. G. Pollock
- 期刊名称：《Journal of Time Series Econometrics》 | 2014年第1期
- business cycles;
- linear filters;
- spurious fluctuations;
32.Optimal Signal Extraction with Correlated Components

机译：具有相关成分的最佳信号提取
- 作者：Tucker S. McElroy;Agustin Maravall
- 期刊名称：《Journal of Time Series Econometrics》 | 2014年第2期
- ARIMA;
- nonstationary;
- seasonality;
- time series;
33.Testing for Multiple Structural Changes with Non-Homogeneous Regressors

机译：使用非均质回归器测试多种结构变化
- 作者：Eiji Kurozumi
- 期刊名称：《Journal of Time Series Econometrics》 | 2015年第2期
- multiple breaks;
- exp-type test;
- sup-type test;
- avg-type test;
- mean-type test;
34.Forecasting Volatility and the Risk-Return Tradeoff: An Application on the Fama-French Benchmark Market Return

机译：预测波动率和风险收益权衡：在Fama-French基准市场收益中的应用
- 作者：Nikolaos Vafiadis
- 期刊名称：《Journal of Time Series Econometrics》 | 2015年第1期
- FIEGARCH;
- financial leverage;
- GARCH;
- long memory;
- risk-return tradeoff;
- stock returns;
- volatility feedback;
35.Constrained Hamiltonian Monte Carlo in BEKK GARCH with Targeting

机译：定位有限制的汉密尔顿蒙特卡洛在BEKK GARCH中
- 作者：Martin Burda
- 期刊名称：《Journal of Time Series Econometrics》 | 2015年第2期
- dynamic conditional covariances;
- Markov chain Monte Carlo;
36.A Test of the Long Memory Hypothesis Based on Self-Similarity

机译：基于自相似性的长记忆假设检验
- 作者：James Davidson;Dooruj Rambaccussing
- 期刊名称：《Journal of Time Series Econometrics》 | 2015年第1期
- long memory;
- skip-sampling;
- log-periodogram regression;
37.Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests

机译：通用确定性组件的递归调整和改进的协整秩检验
- 作者：Benjamin Born;Matei Demetrescu
- 期刊名称：《Journal of Time Series Econometrics》 | 2015年第1期
- adaptive detrending;
- vector autoregressive process;
- long-run relation;
- LR-type test;
38.How Close Is a Fractional Process to a Random Walk with Drift?

机译：有漂移的随机行走的分数过程有多近？
- 作者：Rolf Larsson
- 期刊名称：《Journal of Time Series Econometrics》 | 2015年第1期
- fractional process;
- random walk;
- distance;
39.Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes

机译：矩阵指数动态相关过程的长记忆和不对称性
- 作者：Manabu Asai;Mike K.P. So
- 期刊名称：《Journal of Time Series Econometrics》 | 2015年第2期
- matrix-exponential;
- long memory;
- asymmetric effects;
- dynamic correlation;
- inverse Wishart distribution;
- heavy tails;
40.Tapered Block Bootstrap for Unit Root Testing

机译：锥形块自举，用于单位根测试
- 作者：Cameron C. Parker;Efstathios Paparoditis;Dimitris Politis
- 期刊名称：《Journal of Time Series Econometrics》 | 2015年第2期
- integrated time series;
- tapered block bootstrap;
- unit root testing;
- resampling;
41.An Improved Selection Test between Autoregressive and Moving Average Disturbances in Regression Models

机译：回归模型中自回归和移动平均扰动之间的改进选择检验
- 作者：Pierre Nguimkeu
- 期刊名称：《Journal of Time Series Econometrics》 | 2016年第1期
- autoregressive errors;
- moving average errors;
- likelihood analysis;
- p-value;
42.International Mobility of Capital in the United States: Robust Evidence from Time-Series Tests

机译：美国的国际资本流动性：时间序列检验的可靠证据
- 作者：Tarlok Singh
- 期刊名称：《Journal of Time Series Econometrics》 | 2016年第2期
- saving;
- investment;
- capital mobility;
- cointegration;
- structural breaks JEL Classification: E21;
- E22;
- F21;
- F32;
- F41;
43.Semiparametric Stationarity and Fractional Unit Roots Tests Based on Data-Driven Multidimensional Increment Ratio Statistics

机译：基于数据驱动的多维增量比率统计的半参数平稳性和分数单位根检验
- 作者：Jean-Marc Bardet;Béchir Dola
- 期刊名称：《Journal of Time Series Econometrics》 | 2016年第2期
44.Optimal Real-Time Filters for Linear Prediction Problems

机译：线性预测问题的最佳实时滤波器
- 作者：Marc Wildi;Tucker McElroy
- 期刊名称：《Journal of Time Series Econometrics》 | 2016年第2期
- frequency domain;
- seasonality;
- time series;
- trends;
45.Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox

机译：牛的不可观测分量时间序列模型的粒子马尔可夫链蒙特卡罗技术
- 作者：Nima Nonejad
- 期刊名称：《Journal of Time Series Econometrics》 | 2016年第1期
- Bayes;
- Gibbs;
- Metropolis-Hastings;
- particle filter;
- unobserved components;
46.On the Univariate Representation of BEKK Models with Common Factors

机译：具有共同因素的BEKK模型的单变量表示
- 作者：Alain Hecq;Sébastien Laurent;Franz C. Palm
- 期刊名称：《Journal of Time Series Econometrics》 | 2016年第2期
- common GARCH;
- factor models;
- BEKK;
- final equations;
47.Fixed and Recursive Right-Tailed Dickey-Fuller Tests in the Presence of a Break under the Null

机译：零位下存在中断的固定和递归右尾Dickey-Fuller检验
- 作者：Robert Sollis
- 期刊名称：《Journal of Time Series Econometrics》 | 2016年第1期
- explosive autoregression;
- structural break;
- unit root;
48.A Note on the QMLE Limit Theory in the Non-stationary ARCH(1) Model

机译：关于非平稳ARCH（1）模型中QMLE极限理论的注记
- 作者：Stelios Arvanitis;Alexandros Louka
- 期刊名称：《Journal of Time Series Econometrics》 | 2016年第1期
- α-stable distribution;
- slow variation;
- domain of attraction;
- MLT with mixed limit;
- non-stationary ARCH(1);
- QMLE;
- inconsistency;
- non-tightness;

客服邮箱：kefu@zhangqiaokeyan.com

客服微信
服务号