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~institution:"Department of Economics, Oxford University"
~subject:"Brownian motion"
~subject:"Empirical Bayes"
~subject:"multidimensional inequality"
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Brownian motion
Empirical Bayes
multidimensional inequality
transactions data
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cointegration
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diagnostics
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econometric methods
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Fernandez-Macho, Javier
2
List, Christian
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Noureldin, Diaa
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Department of Economics, Oxford University
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Economics Series Working Papers / Department of Economics, Oxford University
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A wavelet approach to multiple cointegration testing
Fernandez-Macho, Javier
-
Department of Economics, Oxford University
-
2013
cointegration in a n + k
multivariate
system with n cointegrating relationships without the need of either detrending nor …
Persistent link: https://www.econbiz.de/10011004134
Saved in:
2
A Test for the Null of Multiple Cointegrating Vectors
Fernandez-Macho, Javier
-
Department of Economics, Oxford University
-
2013
This paper examines a test for the null of cointegration in a
multivariate
system based on the discrepancy between the …
multivariate
data generating process. It is shown that the proposed test statistics are asymptotically distributed as standard chi …
Persistent link: https://www.econbiz.de/10011004208
Saved in:
3
Multivariate
Rotated ARCH models
Noureldin, Diaa
;
Shephard, Neil
;
Sheppard, Kevin
-
Department of Economics, Oxford University
-
2012
This paper introduces a new class of
multivariate
volatility models which is easy to estimate using covariance …
Persistent link: https://www.econbiz.de/10009650771
Saved in:
4
Multidimensional Inequality Measurement: A Proposal
List, Christian
-
Department of Economics, Oxford University
-
1999
literature on this subject: first, multidimensional inequality should be a function of the uniform inequality of a
multivariate
…
Persistent link: https://www.econbiz.de/10010604845
Saved in:
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