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1
Modelling systems with a mixture of I(d) and I(0) variables using the fractionally co-integrated VAR model
Yao, Xingzhi
;
Izzeldin, Marwan
;
Li, Zhenxiong
- In:
Economics letters
181
(
2019
),
pp. 160-163
Persistent link: https://www.econbiz.de/10012121857
Saved in:
2
Efficiency improvements for minimum distance estimation of causal and invertible ARMA models
Lobato, Ignacio N.
;
Velasco, Carlos
- In:
Economics letters
162
(
2018
),
pp. 150-152
Persistent link: https://www.econbiz.de/10011939823
Saved in:
3
Cointegration in singular ARMA models
Deistler, Manfred
;
Wagner, Martin
- In:
Economics letters
155
(
2017
),
pp. 39-42
Persistent link: https://www.econbiz.de/10011821522
Saved in:
4
On weak identification in structural VARMA models
Yao, Wenying
;
Kam, Timothy
;
Vahid, Farshid
- In:
Economics letters
156
(
2017
),
pp. 1-6
Persistent link: https://www.econbiz.de/10011822327
Saved in:
5
Revisiting inflation in the euro area allowing for long memory
Hualde, Javier
;
Iacone, Fabrizio
- In:
Economics letters
156
(
2017
),
pp. 145-150
Persistent link: https://www.econbiz.de/10011822391
Saved in:
6
Solving and estimating linearized DSGE models with VARMA shock processes and filtered data
Meyer-Gohde, Alexander
;
Neuhoff, Daniel
- In:
Economics letters
133
(
2015
),
pp. 89-91
Persistent link: https://www.econbiz.de/10011432004
Saved in:
7
Predicting BRICS stock returns using ARFIMA models
Aye, Goodness C.
;
Balcilar, Mehmet
;
Gupta, Rangan
; …
- In:
Applied financial economics
24
(
2014
)
16/18
,
pp. 1159-1166
Persistent link: https://www.econbiz.de/10010418936
Saved in:
8
On the Fisher information matrix of a vector ARMA process
Bao, Yong
;
Hua, Ying
- In:
Economics letters
123
(
2014
)
1
,
pp. 14-16
Persistent link: https://www.econbiz.de/10010399080
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9
Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown brak points
Wang, Shin-huei
;
Vasilakis, Chrysovalantis
- In:
Economics letters
118
(
2013
)
2
,
pp. 389-392
Persistent link: https://www.econbiz.de/10009708863
Saved in:
10
Spectral density of Markov-switching VARMA models
Cavicchioli, Maddalena
- In:
Economics letters
121
(
2013
)
2
,
pp. 218-220
Persistent link: https://www.econbiz.de/10010346322
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11
A comparison of ARIMA forecasting and heuristic modelling
Wang, Chi-chen
;
Hsu, Yun-sheng
;
Liou, Cheng-hwai
- In:
Applied financial economics
21
(
2011
)
13/15
,
pp. 1095-1102
Persistent link: https://www.econbiz.de/10009317433
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12
The spectral representation of Markov switching ARMA models
Pataracchia, Beatrice
- In:
Economics letters
112
(
2011
)
1
,
pp. 11-15
Persistent link: https://www.econbiz.de/10009242191
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13
Integer-valued moving average modelling of the number of transactions in stocks
Brännäs, Kurt
;
Quoreshi, A. M. M. Shahiduzzaman
- In:
Applied financial economics
20
(
2010
)
16/18
,
pp. 1429-1440
Persistent link: https://www.econbiz.de/10009010922
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14
Evaluating value at risk using selection criteria of the model and the information set
Gargallo, Pilar
;
Miguel, Jesús
;
Olave Rubio, Pilar
; …
- In:
Applied financial economics
20
(
2010
)
16/18
,
pp. 1415-1428
Persistent link: https://www.econbiz.de/10009010927
Saved in:
15
An algorithm for robust fitting of autoregressive models
Politis, Dimitris N.
- In:
Economics letters
102
(
2009
)
2
,
pp. 128-131
Persistent link: https://www.econbiz.de/10003818479
Saved in:
16
Macro-panels and reality
Cubadda, Gianluca
;
Hecq, Alain W. J.
;
Palm, Franz C.
- In:
Economics letters
99
(
2008
)
3
,
pp. 537-540
Persistent link: https://www.econbiz.de/10003726244
Saved in:
17
Trade intensity in the Russian stock market : dynamics, distribution and determinants
Anatolyev, Stanislav
;
Shakin, Dmitry
- In:
Applied financial economics
17
(
2007
)
1/3
,
pp. 87-104
Persistent link: https://www.econbiz.de/10003427015
Saved in:
18
Mind your ps and qs! : improving ARMA forecasts with RBC priors
Lees, Kirdan
;
Matheson, Troy
- In:
Economics letters
96
(
2007
)
2
,
pp. 275-281
Persistent link: https://www.econbiz.de/10003503976
Saved in:
19
The predictive power of quarterly earnings per share based on time series and artificial intelligence model
Lai, Syouching
;
Li, Hungchih
- In:
Applied financial economics
16
(
2006
)
18
,
pp. 1375-1388
Persistent link: https://www.econbiz.de/10003397231
Saved in:
20
Analysing one-month Euro-market interest rates by fractionally integrated models
Iglesias, Emma M.
;
Phillips, Garry D. A.
- In:
Applied financial economics
15
(
2005
)
2
,
pp. 95-106
Persistent link: https://www.econbiz.de/10002537403
Saved in:
21
Modelling squared returns using a SETAR model with long-memory dynamics
Dufrénot, Gilles
;
Guégan, Dominique
; …
- In:
Economics letters
86
(
2005
)
2
,
pp. 237-243
Persistent link: https://www.econbiz.de/10002584436
Saved in:
22
Long memory or structural changes : an empirical examination on inflation rates
Hsu, Chih-chiang
- In:
Economics letters
88
(
2005
)
2
,
pp. 289-294
Persistent link: https://www.econbiz.de/10002941968
Saved in:
23
The scaling function-based estimator of long memory in the presence of a short-term component
Fillol, Hérôme
;
Tripier, Fabien
- In:
Economics letters
84
(
2004
)
1
,
pp. 49-54
Persistent link: https://www.econbiz.de/10002095782
Saved in:
24
A note on an iterative least-squares estimation method for ARMA and VARMA models
Kapetanios, George
- In:
Economics letters
79
(
2003
)
3
,
pp. 305-312
Persistent link: https://www.econbiz.de/10001755274
Saved in:
25
Long memory and outliers in stock market returns
Tolvi, Jussi
- In:
Applied financial economics
13
(
2003
)
7
,
pp. 495-502
Persistent link: https://www.econbiz.de/10001770770
Saved in:
26
A long memory test of the long-run Fisher effect in the G7 countries
Noor Azlan Ghazali
;
Ramlee, Shamshubariah
- In:
Applied financial economics
13
(
2003
)
10
,
pp. 763-769
Persistent link: https://www.econbiz.de/10001777221
Saved in:
27
Tests for time reversibility : a complementarity analysis
Belaire-Franch, Jorge
;
Contreras, Dulce
- In:
Economics letters
81
(
2003
)
2
,
pp. 187-195
Persistent link: https://www.econbiz.de/10001826049
Saved in:
28
On the power of the Augmented Dickey-Fuller test against fractional alternatives using bootstrap
Bisaglia, Luisa
;
Procidano, Isabella
- In:
Economics letters
77
(
2002
)
3
,
pp. 343-347
Persistent link: https://www.econbiz.de/10001711498
Saved in:
29
A mean shift break in the US interest rate
Gil-Alaña, Luis A.
- In:
Economics letters
77
(
2002
)
3
,
pp. 357-363
Persistent link: https://www.econbiz.de/10001711501
Saved in:
30
Empirical evidence of the spot and the forward exchange rates in Canada
Gil-Alaña, Luis A.
- In:
Economics letters
77
(
2002
)
3
,
pp. 405-409
Persistent link: https://www.econbiz.de/10001711522
Saved in:
31
A state-space approache to calculating the Beveridge-Nelson decomposition
Morley, James C.
- In:
Economics letters
75
(
2002
)
1
,
pp. 123-127
Persistent link: https://www.econbiz.de/10001650908
Saved in:
32
The effects of working with seasonally data when testing for unit root
Barrio Castro, Tomás del
;
Pons Fanals, Ernest
; …
- In:
Economics letters
75
(
2002
)
2
,
pp. 249-256
Persistent link: https://www.econbiz.de/10001651027
Saved in:
33
Structural breaks and fractional integration in the US output and unemployment rate
Gil-Alaña, Luis A.
- In:
Economics letters
77
(
2002
)
1
,
pp. 79-84
Persistent link: https://www.econbiz.de/10001698642
Saved in:
34
Testing the univariate conditional CAPM in thinly traded markets
Solibakke, Per Bjarte
- In:
Applied financial economics
12
(
2002
)
10
,
pp. 751-763
Persistent link: https://www.econbiz.de/10001702516
Saved in:
35
Relationship between inflation rate and inflation uncertainty
Hwang, Y.
- In:
Economics letters
73
(
2001
)
2
,
pp. 179-186
Persistent link: https://www.econbiz.de/10001613710
Saved in:
36
A note on stationary of the MTAR process on the boundary of the stationarity region
Lee, Oesook
;
Shin, Dong-wan
- In:
Economics letters
73
(
2001
)
3
,
pp. 263-268
Persistent link: https://www.econbiz.de/10001635074
Saved in:
37
The long-run behaviour of the real exchange rate : evidence from colonial Pennsylvania
Choudhry, Taufiq
;
Luintel, Kul Bahadur
- In:
Economics letters
74
(
2001
)
1
,
pp. 25-30
Persistent link: https://www.econbiz.de/10001635131
Saved in:
38
Calculating and analyzing impulse responses for the vector ARFIMA model
Chung, Ching-fan
- In:
Economics letters
71
(
2001
)
1
,
pp. 17-25
Persistent link: https://www.econbiz.de/10001564051
Saved in:
39
Factor ARMA representation of a Markov process
Darolles, Serge
;
Florens, Jean-Pierre
;
Gouriéroux, …
- In:
Economics letters
71
(
2001
)
2
,
pp. 165-171
Persistent link: https://www.econbiz.de/10001569098
Saved in:
40
Estimating fractal dimension using stable distributions and exploring long memory through ARFIMA models in Athens Stock Exchange
Panas, Epameinōndas E.
- In:
Applied financial economics
11
(
2001
)
4
,
pp. 395-402
Persistent link: https://www.econbiz.de/10001595000
Saved in:
41
Mean reversion in the real exchange rates
Gil-Alaña, Luis A.
- In:
Economics letters
69
(
2000
)
3
,
pp. 285-288
Persistent link: https://www.econbiz.de/10001525583
Saved in:
42
A look at the quality of the approximation of the functional central limit theorem
Perron, Pierre
;
Mallet, Sylvie
- In:
Economics letters
68
(
2000
)
3
,
pp. 225-234
Persistent link: https://www.econbiz.de/10001499193
Saved in:
43
A Beveridge-Nelson smoother
Proietti, Tommaso
;
Harvey, Andrew C.
- In:
Economics letters
67
(
2000
)
2
,
pp. 139-146
Persistent link: https://www.econbiz.de/10001471318
Saved in:
44
Long memory story of the real interest rate
Tsay, Wen-jen
- In:
Economics letters
67
(
2000
)
3
,
pp. 325-330
Persistent link: https://www.econbiz.de/10001473677
Saved in:
45
A simple linear time series model with misleading nonlinear properties
Andersson, Michael K.
;
Eklund, Bruno
;
Lyhagen, Johan
- In:
Economics letters
65
(
1999
)
3
,
pp. 281-284
Persistent link: https://www.econbiz.de/10001422782
Saved in:
46
Nonparametric, nonlinear, short-term forecasting : theory and evidence for nonlinearities in the commodity markets
Agnon, Yehuda
;
Golan, Amos
;
Shearer, Matthew
- In:
Economics letters
65
(
1999
)
3
,
pp. 293-299
Persistent link: https://www.econbiz.de/10001422784
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