Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets
Giuseppe Cavaliere, Morten Ørregaard Nielsen and A. M. Robert Taylor
| Year of publication: |
2014
|
|---|---|
| Authors: | Cavaliere, Giuseppe ; Nielsen, Morten Ørregaard ; Taylor, Robert |
| Publisher: |
Aarhus : School of Economics and Management |
| Subject: | Theorie | Theory | ARMA-Modell | ARMA model | Zeitreihenanalyse | Time series analysis | Rohstoffderivat | Commodity derivative | Schätzung | Estimation | Warenbörse | Commodity exchange | Kointegration | Cointegration | Heteroskedastizität | Heteroscedasticity | Volatilität | Volatility | ARCH-Modell | ARCH model |
freely available
| Extent: | Online-Ressource (36 S.) |
|---|---|
| Series: | CREATES research paper. - Aarhus : [Verlag nicht ermittelbar], ZDB-ID 2490360-7. - Vol. 2014,22 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010394614