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subject:"Zeitreihenanalyse"
~person:"Nielsen, Morten Ørregaard"
~person:"Persson, Anna"
~subject:"ARMA-Modell"
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Zeitreihenanalyse
ARMA-Modell
Commodity price
4
Rohstoffpreis
4
Time series analysis
4
1900-1995
2
ARMA model
2
Commodity derivative
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Estimation
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Rohstoffderivat
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Bootstrap
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Commodity market
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Efficient market hypothesis
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Effizienzmarkthypothese
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Estimation theory
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Fractional integration
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Heteroscedasticity
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Heteroskedastizität
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Rohstoffmarkt
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Spot and futures commodity prices
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English
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Nielsen, Morten Ørregaard
Persson, Anna
De Pace, Pierangelo
6
Hernandez, Manuel A.
6
Pfaffenzeller, Stephan
4
Prokopczuk, Marcel
4
Taylor, Robert
4
Aggarwal, Radhika
3
De Nicola, Francesca
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Gaiha, Raghav
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Kaicker, Nidhi
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Labys, Walter C.
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Lee, Junsoo
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McDermott, C. John
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Newbold, Paul
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Winkelried, Diego
3
de Nicola, Francesca
3
Cashin, Paul A.
2
Casoli, Chiara
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Cavaliere, Giuseppe
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Chen, Mei-hsiu
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Cole, Arthur Harrison
2
Deaton, Angus
2
Diewald, Laszlo
2
Ellwanger, Reinhard
2
Ghoshray, Atanu
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Gupta, Rangan
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Holt, Matthew T.
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Issler, João Victor
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Laroque, Guy
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List, John A.
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Lucchetti, Riccardo
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Lutz, Matthias G.
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Oglend, Atle
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Paschke, Raphael
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Población, Javier
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Rayner, Anthony J.
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International journal of finance & economics : IJFE
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Journal of econometrics
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ECONIS (ZBW)
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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:
2
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
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
Saved in:
3
The net barter terms of trade : a smooth transition approach
Persson, Anna
;
Teräsvirta, Timo
- In:
International journal of finance & economics : IJFE
8
(
2003
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10001806084
Saved in:
4
The Net Barter terms of trade : a smooth transition approach
Persson, Anna
;
Teräsvirta, Timo
-
1999
Persistent link: https://www.econbiz.de/10001421855
Saved in:
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