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Econometrics
Department of Statistics
Studenten im Sommer auf dem Campus Nord, rote Zahnräder im Hintergrund © Roland Baege​/​TU Dortmund

Publications

This page contains the recent submissions, working and discussion papers as well as the publications of the Chair of Econometrics.

Working and Discussion Papers

  • Pappert, S. and Arsova, A. (2023). Forecasting Natural Gas Prices with Spatio-Temporal Copula-based Time Series Models. Contributions to Statistics. DOI.
  • Arsova, A. (2019). Exchange rate pass-through to import prices in Europe: A panel cointegration approach. Working Paper 384, Working Paper Series in Economics, Leuphana Universität Lüneburg. Link.
  • Arsova, A. and Karaman Örsal, D. D. (2016). A panel cointegration rank test with structural breaks and cross-sectional dependence. In Jahrestagung des Vereins für Socialpolitik 2016: Demographischer Wandel: Session: Time Series Econometrics, No. D01-V3, Deutsche Zentralbibliothek für Wirtschaftswissenschaften (ZBW). Link.
  • Arsova A. and Karaman Örsal D. D. (2016). An intersection test for the cointegrating rank in dependent panel data. Working Paper 357, Working Paper Series in Economics, Leuphana Universität Lüneburg. Link.
  • Karaman Örsal, D. D. and Arsova A. (2015). Meta-analytic cointegrating rank tests for dependent panels. Working Paper 349, Working Paper Series in Economics, Leuphana Universität Lüneburg. Link.
  • Arsova, A. and Karaman Örsal, D. D. (2013). Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence. Working Paper 280, Working Paper Series in Economics, Leuphana Universität Lüneburg. Link.

Publications

  • Berrisch, J., Pappert, S., Ziel, F. and Arsova, A. (2022). Modeling volatility and dependence of European carbon and energy prices. Finance Research Letters 52, 103503. DOI.
  • Arsova, A. (2021). Exchange rate pass-through to import prices in Europe: a panel cointegration approach. Empirical Economics 61, 61-100. DOI.
  • Arsova, A. and Karaman Örsal, D. D. (2020). A panel cointegrating rank test with structural breaks and cross-sectional dependence. Econometrics and Statistics 17, 107-129. DOI.
  • Arsova, A. and Karaman Örsal, D. D. (2020). Intersection tests for the cointegrating rank in dependent panel data. Communications in Statistics - Simulation and Computation 49, 918-941. DOI.
  • Arsova, A. and Karaman Örsal, D. D. (2018). Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence. Econometric Reviews 37, 1033-1050. DOI.
  • Karaman Örsal, D. D. and Arsova, A. (2017). Meta-analytic cointegrating rank tests for dependent panels. Econometrics and Statistics 2, 61-72. DOI.
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