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subject:"Zeitreihenanalyse"
~person:"Nielsen, Morten Ørregaard"
~subject:"ARMA-Modell"
~subject:"Heteroscedasticity"
~subject:"Rohstoffpreis"
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Zeitreihenanalyse
ARMA-Modell
Heteroscedasticity
Rohstoffpreis
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Commodity derivative
2
Commodity price
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Rohstoffderivat
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Commodity market
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Efficient market hypothesis
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Rohstoffmarkt
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Nielsen, Morten Ørregaard
Matthies, Klaus
65
Arezki, Rabah
39
Frankel, Jeffrey A.
28
Baffes, John
27
Prokopczuk, Marcel
24
Bloch, Harry
21
Vespignani, Joaquin
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Collier, Paul
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Sapsford, David
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Belke, Ansgar
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Bordon, Ingo G.
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Crucini, Mario J.
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Goderis, Benedikt
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Cashin, Paul A.
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Jacks, David S.
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Leschus, Leon
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Williamson, Jeffrey G.
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Brückner, Markus
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Carpantier, Jean-François
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Labys, Walter C.
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Lederman, Daniel
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McDermott, C. John
14
Ratti, Ronald A.
14
Wright, Brian D.
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Xiong, Wei
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Chen, Yu-chin
13
Timm, Hans-Joachim
13
Deaton, Angus
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Ghoshray, Atanu
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Liang, Hong
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Ploeg, Frederick van der
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Sauerbeck, A.
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Smith, Gregor W.
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Tang, Ke
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Triantafyllou, Athanasios
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Zhao, Hongyan
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Brooks, Chris
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Cuddington, John T.
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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
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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
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