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isPartOf:"CREATES research paper"
~person:"Cavaliere, Giuseppe"
~person:"Nonejad, Nima"
~person:"Silvennoinen, Annastiina"
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Time series analysis
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Cavaliere, Giuseppe
Nonejad, Nima
Silvennoinen, Annastiina
Teräsvirta, Timo
18
Johansen, Søren
15
Nielsen, Morten Ørregaard
15
Kruse, Robinson
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Grassi, Stefano
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Podolskij, Mark
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Proietti, Tommaso
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Bredahl Kock, Anders
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He, Changli
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CREATES research paper
Discussion papers / Department of Economics, University of Copenhagen
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Econometric theory
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CREATES Research Paper
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The North American journal of economics and finance : a journal of financial economics studies
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Price indexes in time and space : methods and practice
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ECONIS (ZBW)
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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
3
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
4
Modelling and forecasting WIG20 daily returns
Amado, Cristina
;
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2017
Persistent link: https://www.econbiz.de/10011721046
Saved in:
5
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2016
Persistent link: https://www.econbiz.de/10011624059
Saved in:
6
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2014
Persistent link: https://www.econbiz.de/10010394614
Saved in:
7
Forecasting with the standardized self-perturbed kalman filter
Grassi, Stefano
;
Nonejad, Nima
;
Santucci de Magistris, Paolo
-
2014
Persistent link: https://www.econbiz.de/10010339076
Saved in:
8
Particle Markov chain Monte Carlo Techniques of unobserved component time series models using Ox
Nonejad, Nima
-
2013
Persistent link: https://www.econbiz.de/10009782694
Saved in:
9
Long memory and structural breaks in realized volatility : an irreversible Markov switching approach
Nonejad, Nima
-
2013
Persistent link: https://www.econbiz.de/10009782698
Saved in:
10
A mixture innovation heterogeneous autoregressive model for structural breaks and long memory
Nonejad, Nima
-
2013
Persistent link: https://www.econbiz.de/10009782709
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