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~subject:"ARMA model"
~type_genre:"Non-commercial literature"
~isPartOf:"CREATES research paper"
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Search: subject_exact:"ARIMA-Modell"
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ARMA model
ARMA-Modell
6
Time series analysis
6
Zeitreihenanalyse
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4
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4
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3
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3
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cofractional
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cointegration
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fractional Brownianmotion
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fractional integration
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long memory
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long-range dependence
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Grassi, Stefano
2
Nielsen, Morten Ørregaard
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Santucci de Magistris, Paolo
2
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1
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1
Delle Monache, Davide
1
Dias, Gustavo Fruet
1
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1
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CREATES research paper
Discussion paper / Tinbergen Institute
15
Working paper / Department of Econometrics and Business Statistics, Monash University
14
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Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
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6
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
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3
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Cahier / Départment de Sciences Économiques, Université de Montréal
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ECONIS (ZBW)
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Fractional integration and cointegration
Haulde, Javier
;
Nielsen, Morten Ørregaard
-
2021
Persistent link: https://www.econbiz.de/10012816374
Saved in:
2
Does the ARFIMA really shift?
Delle Monache, Davide
;
Grassi, Stefano
;
Santucci de …
-
2016
Persistent link: https://www.econbiz.de/10011648629
Saved in:
3
Forecasting medium and large datasets with Vector Autoregressive Moving Average (VARMA) models
Dias, Gustavo Fruet
;
Kapetanios, George
-
2014
Persistent link: https://www.econbiz.de/10010419000
Saved in:
4
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
Saved in:
5
The selection of ARIMA models with or without regressors
Johansen, Søren
;
Riani, Marco
;
Atkinson, Anthony C.
-
2012
Persistent link: https://www.econbiz.de/10009660743
Saved in:
6
When long memory meets the Kalman Filter : a comparative study
Grassi, Stefano
;
Santucci de Magistris, Paolo
-
2011
Persistent link: https://www.econbiz.de/10009006828
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