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  • Search: subject:"Locally stationary time series"
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Year of publication
Subject
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locally stationary time series 2 Bootstrap 1 Forecasting model 1 Fourier functions 1 Haar wavelet representation 1 High-dimensional autocovariance 1 Local linear regression 1 Locally stationary time series 1 Matrices 1 Prediction 1 Prognoseverfahren 1 Regression analysis 1 Regressionsanalyse 1 SLEX functions 1 Theorie 1 Theory 1 Time series analysis 1 Zeitreihenanalyse 1 adaptive estimation 1 multiplicative model 1 periodograms 1 spectral estimation 1 stationary time series 1 volatility 1
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Online availability
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Undetermined 2 Free 1
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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Undetermined 2 English 1
Author
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Dette, Holger 1 Guo, Wensheng 1 Ombao, Hernando 1 Raz, Jonathan 1 Sachs, Rainer von 1 VAN BELLEGEM, Sébastien 1 Wu, Weichi 1
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Institution
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1
Published in...
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Annals of the Institute of Statistical Mathematics 1 CORE Discussion Papers 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1
Source
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RePEc 2 ECONIS (ZBW) 1
Showing 1 - 3 of 3
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Prediction in locally stationary time series
Dette, Holger; Wu, Weichi - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 370-381
Persistent link: https://www.econbiz.de/10012804122
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Locally stationary volatility modelling
VAN BELLEGEM, Sébastien - Center for Operations Research and Econometrics (CORE), … - 2011
The increasing works on parameter instability, structural changes and regime switches lead to the natural research question whether the assumption of stationarity is appropriate to model volatility processes. Early econometric studies have provided testing procedures of covariance stationarity...
Persistent link: https://www.econbiz.de/10010927702
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The SLEX Model of a Non-Stationary Random Process
Ombao, Hernando; Raz, Jonathan; Sachs, Rainer von; Guo, … - In: Annals of the Institute of Statistical Mathematics 54 (2002) 1, pp. 171-200
Persistent link: https://www.econbiz.de/10005395551
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