Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries
Year of publication: |
2011
|
---|---|
Authors: | Caporale, Guglielmo Maria ; Gil-Alana, Luis |
Published in: |
Journal of Applied Statistics. - Taylor & Francis Journals, ISSN 0266-4763. - Vol. 38.2011, 1, p. 71-85
|
Publisher: |
Taylor & Francis Journals |
Subject: | long memory | multivariate time series | impulse response functions |
-
Maximum Likelihood Estimation of Stationary Multivariate ARFIMA Processes
Tsay, Wen-Jen, (2007)
-
Robust online signal extraction from multivariate time series
Lanius, Vivian, (2007)
-
Efficient iterative maximum likelihood estimation of high-parameterized time series models
Hautsch, Nikolaus, (2014)
- More ...
-
Intraday anomalies and market efficiency: A trading robot analysis
Caporale, Guglielmo Maria, (2014)
-
The weekend effect: A trading robot and fractional integration analysis
Caporale, Guglielmo Maria, (2014)
-
Is market fear persistent? A long-memory analysis
Caporale, Guglielmo Maria, (2017)
- More ...