The Econometric Modelling of Financial Time Series

By P. Pedroni. 2001

246 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/343b108989bf936d4a4828fafaa23c7c6700be97

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Maximally Informative Hierarchical Representations of High-Dimensional Data (2014, result): “This research was supported in part by AFOSR grant FA9550-12-1-0417 and DARPA grant W911NF-12-10034.”
GARCH Models (2010, unknown): “MULTIVARIATE GARCH PROCESSES 277 11.2.2 Vector GARCH Model The vector GARCH (VEC-GARCH) model is the most direct generalization of univariate GARCH: every conditional covariance is a function of lagged conditional variances as well as lagged crossproducts of all components.”
Bayesian reasoning and machine learning (2012, unknown): “Such models also form the basis for more complex models in finance, see for example [194].”
Does the Weather Affect Stock Market Volatility (2010, methodology): “In the present paper, we consider all three of the most widely used proxies: historical, implied and realized volatility (for a detailed description of these and relevant references see Poon and Granger (2003) and Mills and Markellos (2008)).”
Granger Causality of Coupled Climate Processes: Ocean Feedback on the North Atlantic Oscillation (2006, methodology): “The procedure for testing Granger causality is as follows (see Mills 1999): 1) Granger causality testing applies only to statistically stationary time series.”
Financial Risk and Heavy Tails (2003, methodology): “The first is a semi-parametric approach based on a Hill type estimator of the tail index ([BTV96], Danielsson and de Vries [DdV97] and [DdV00], and Mills [Mil99]).”
A Direct Test for Cointegration Between a Pair of Time Series (2002, methodology): “The data are quarterly from 1952Q1–1988Q4 (148 observations), and were obtained from Mills (1993).”
Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS (2005, unknown): “For an introduction to ARIMA and related models we refer to Mills (1999).”
VOLATILITY AND CORRELATION FORECASTING (2006, background): “…have now also become part of the standard toolbox discussed in econometrics and empirical oriented finance textbooks; see, e.g., Hamilton (1994), Mills (1993), Franses and van Dijk (2000), Gouriéroux and Jasiak (2001), Alexander (2001), Brooks (2002), Chan (2002), Tsay (2002), Christoffersen…”