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Research Output 2016 2019

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Article
2019

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
2018

A Residual Bootstrap for Conditional Expected Shortfall

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

Research output: Contribution to JournalArticleAcademic

File
Bootstrap
Expected shortfall
Bootstrap method
Simulation study
Two-step estimator
2017

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
Filter
Inflation rate
Seasonal adjustment
G-7 countries
Autoregressive model

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
2016

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