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~person:"Cochrane, John H."
~person:"Hecq, Alain W. J."
~subject:"Cointegration"
~subject:"Volatility"
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Search: subject_exact:"ARMA-Modell"
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Cochrane, John H.
Hecq, Alain W. J.
McAleer, Michael
9
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8
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7
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5
Kascha, Christian
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Continuous-Time Linear Models
Cochrane, John H.
-
2012
I translate familiar concepts of discrete-time time-series to contnuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas
Persistent link: https://www.econbiz.de/10012460479
Saved in:
2
Continuous-Time Linear Models
Cochrane, John H.
-
2012
I translate familiar concepts of discrete-time time-series to contnuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas
Persistent link: https://www.econbiz.de/10013104725
Saved in:
3
Continuous-Time Linear Models
Cochrane, John H.
-
2012
I translate familiar concepts of discrete-time time-series to continuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas
Persistent link: https://www.econbiz.de/10013105103
Saved in:
4
Continuous-time linear models
Cochrane, John H.
-
2012
Persistent link: https://www.econbiz.de/10009561276
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5
Continuous-time linear models
Cochrane, John H.
-
2012
Persistent link: https://www.econbiz.de/10009710832
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6
On the univariate representation of BEKK models with common factors
Hecq, Alain W. J.
;
Laurent, Sébastien
;
Palm, Franz C.
-
2012
Persistent link: https://www.econbiz.de/10009515469
Saved in:
7
On the univariate representation of multivariate volatility models with common factors
Hecq, Alain W. J.
;
Laurent, Sébastien
;
Palm, Franz C.
-
2011
Persistent link: https://www.econbiz.de/10008840656
Saved in:
8
Studying co-movements in large multivariate data prior to multivariate modelling
Cubadda, Gianluca
;
Hecq, Alain W. J.
;
Palm, Franz C.
- In:
Journal of econometrics
148
(
2009
)
1
,
pp. 25-35
Persistent link: https://www.econbiz.de/10003813089
Saved in:
9
Studying co-movements in large multivariate models without multivariate modelling
Cubadda, Gianluca
;
Hecq, Alain W. J.
;
Palm, Franz C.
-
2007
Persistent link: https://www.econbiz.de/10003647580
Saved in:
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