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Research Output 2016 2020

Article

A Residual Bootstrap for Conditional Expected Shortfall

Heinemann, A. & Telg, S., 26 Nov 2018, In : arXiv.org.

Research output: Contribution to JournalArticleProfessional

File
Bootstrap
Expected shortfall
Bootstrap method
Simulation study
Two-step estimator

Detecting Co-Movements in Non-Causal Time Series

Cubadda, G., Hecq, A. & Telg, S., 1 Jun 2019, In : Oxford Bulletin of Economics and Statistics. 81, 3, p. 697-715 19 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
time series
Time series
oil price
Vector Autoregressive Process
Reduced Rank

Do seasonal adjustments induce noncausal dynamics in inflation rates?

Hecq, A., Telg, S. & Lieb, L., 1 Dec 2017, In : Econometrics. 5, 4, 48.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Inflation rate
Seasonal adjustment
Filter
Monte Carlo simulation
G-7 countries

Identification of Mixed Causal-Noncausal Models in Finite Samples

Hecq, A., Lieb, L. & Telg, S., 2016, In : Annals of Economics and Statistics. 123/124, p. 307-331 25 p., 123/124.

Research output: Contribution to JournalArticleAcademicpeer-review

Causal Model
Mixed Model
Autoregressive Process
Leptokurtic
Realized Volatility

Mixed Causal-Noncausal Autoregressions with Exogenous Regressors

Hecq, A., Issler, J. V. & Telg, S., 20 Jan 2020, In : Journal of Applied Econometrics.

Research output: Contribution to JournalArticleAcademicpeer-review

selection procedure
industrial production
time series
commodity
simulation

Simulation, Estimation and Selection of Mixed Causal-Noncausal Autoregressive Models: The MARX Package

Hecq, A., Lieb, L. & Telg, S., Aug 2017, In : SSRN Electronic Journal.

Research output: Contribution to JournalArticleAcademic

simulation
time series
analysis