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Search: subject_exact:"Autokorrelation"
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Stochastischer Prozess
Autocorrelation
570
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570
Estimation theory
216
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216
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203
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203
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1
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1
Time-transformed test for bubbles under non-stationary volatility
Kurozumi, Eiji
;
Skrobotov, Anton
;
Tsarev, Alexey
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1282-1307
Persistent link: https://www.econbiz.de/10014391459
Saved in:
2
A sequential test for a unit root in monitoring a p-th order autoregressive process
Hitomi, Kohtaro
;
Nagai, Keiji
;
Nishiyama, Yoshihiko
; …
- In:
Essays in honor of Joon Y. Park : econometric theory
,
(pp. 115-153)
.
2023
Persistent link: https://www.econbiz.de/10014313472
Saved in:
3
Testing for random coefficient autoregressive and stochastic unit root models
Nagakura, Daisuke
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 117-129
Persistent link: https://www.econbiz.de/10014288865
Saved in:
4
Testing for strict stationarity in a random coefficient autoregressive model
Trapani, Lorenzo
- In:
Econometric reviews
40
(
2021
)
3
,
pp. 220-256
Persistent link: https://www.econbiz.de/10012515596
Saved in:
5
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander
;
Wheatley, Spencer
;
Sornette, Didier
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 729-752
Persistent link: https://www.econbiz.de/10012500185
Saved in:
6
Change-point detection in Phase I for autocorrelated Poisson profiles with random or unbalanced designs
He, Shuguang
;
Song, Lisha
;
Shang, Yanfen
;
Wang, Zhiqiong
- In:
International journal of production research
59
(
2021
)
14
,
pp. 4306-4323
Persistent link: https://www.econbiz.de/10012589292
Saved in:
7
Weak limits of random coefficient autoregressive processes and their application in ruin theory
Dong, Y.
;
Spielmann, J.
- In:
Insurance / Mathematics & economics
91
(
2020
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012241966
Saved in:
8
Poisson models with dynamic random effects and nonnegative credibilities per period
Pinquet, Jean
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
2
,
pp. 585-618
Persistent link: https://www.econbiz.de/10012243387
Saved in:
9
Analyzing contagion effect in markets during financial crisis using stochastic autoregressive canonical vine model
Goel, Anubha
;
Mehra, Aparna
- In:
Computational economics
53
(
2019
)
3
,
pp. 921-950
Persistent link: https://www.econbiz.de/10012135103
Saved in:
10
Intersectoral default contagion : a multivariate Poisson autoregression analysis
Escribano, Ana
;
Maggi, Mario Alessandro
- In:
Economic modelling
82
(
2019
),
pp. 376-400
Persistent link: https://www.econbiz.de/10012203181
Saved in:
11
A spatial autoregressive stochastic frontier model for panel data incorporating a model of technical inefficiency
Tsukamoto, Takahiro
- In:
Japan and the world economy : international journal of …
50
(
2019
),
pp. 66-77
Persistent link: https://www.econbiz.de/10012306195
Saved in:
12
Linear double autoregression
Zhu, Qianqian
;
Zheng, Yao
;
Li, Guodong
- In:
Journal of econometrics
207
(
2018
)
1
,
pp. 162-174
Persistent link: https://www.econbiz.de/10012116135
Saved in:
13
On the sample path properties of mixed Poisson processes
Miaoqi, Fu
;
Peng, Xianhua
- In:
Operations research letters
46
(
2018
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10011807836
Saved in:
14
What proportion of time is a particular market inefficient? : a method for analysing the frequency of market efficiency when equity prices follow threshold autoregressions
Ahmed, Muhammad Farid
;
Satchell, Stephen
- In:
Journal of time series econometrics
10
(
2018
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011898000
Saved in:
15
Drawdown measures and return moments
Möller, Philipp M.
- In:
International journal of theoretical and applied finance
21
(
2018
)
7
,
pp. 1-42
Persistent link: https://www.econbiz.de/10011957033
Saved in:
16
Inference for heavy-tailed and multiple-threshold double autoregressive models
Yang, Yaxing
;
Ling, Shiqing
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
2
,
pp. 318-333
Persistent link: https://www.econbiz.de/10011704205
Saved in:
17
Spatio-temporal hydro forecasting of multireservoir inflows for hydro-thermal scheduling
Lohmann, Timo
;
Hering, Amanda S.
;
Rebennack, Steffen
- In:
European journal of operational research : EJOR
255
(
2016
)
1
,
pp. 243-258
Persistent link: https://www.econbiz.de/10011530864
Saved in:
18
Modeling corporate defaults : poisson autoregressions with exogenous covariates (PARX)
Agosto, Arianna
;
Cavaliere, Giuseppe
;
Kristensen, Dennis
; …
- In:
Journal of empirical finance
38
(
2016
),
pp. 640-663
Persistent link: https://www.econbiz.de/10011663393
Saved in:
19
A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
Fernandes, Marcelo
;
Medeiros, Marcelo C.
;
Veiga, Alvaro
- In:
Econometric reviews
35
(
2016
)
5/7
,
pp. 1221-1250
Persistent link: https://www.econbiz.de/10011591186
Saved in:
20
Effects of filtering data on testing asymmetry in threshold autoregressive models
Li, Jing
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
5
,
pp. 549-565
Persistent link: https://www.econbiz.de/10011649160
Saved in:
21
Asymptotic inference in multiple-threshold double autoregressive models
Li, Dong
;
Ling, Shiqing
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 415-427
Persistent link: https://www.econbiz.de/10011504598
Saved in:
22
Threshold models in time series analysis : some reflections
Tong, Howell
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
Saved in:
23
Stationarity of econometric learning with bounded memory and a predicted state variable
Damjanovic, Tatiana
;
Girdėnas, Šarūnas
;
Liu, Keqing
- In:
Economics letters
130
(
2015
),
pp. 93-96
Persistent link: https://www.econbiz.de/10011422420
Saved in:
24
Maximally autocorrelated power transformations : a closer look at the properties of stochastic volatility models
Ruiz, Esther
;
Pérez, Ana
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
16
(
2012
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10009656089
Saved in:
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