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A dynamic multi-level factor model with long-range dependence
Ergemen, Yunus Emre; Rodríguez-Caballero, Carlos Vladimir - 2016
Persistent link: https://www.econbiz.de/10011524107
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Long memory, fractional integration, and cross-sectional aggregation
Haldrup, Niels; Valdés, J. Eduardo Vera - 2015
Persistent link: https://www.econbiz.de/10011409110
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Bond risk premiums at the zero lower bound
Andreasen, Martin Møller; Jørgensen, Kasper; Meldrum, … - 2019
Persistent link: https://www.econbiz.de/10012063987
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Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller - 2019
Persistent link: https://www.econbiz.de/10012063989
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Testing for level shifts in fractionally integrated processes : a state space approach
Delle Monache, Davide; Grassi, Stefano; Santucci de … - 2015
Persistent link: https://www.econbiz.de/10011296884
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Testing for time-varying loadings in dynamic factor models
Mikkelsen, Jakob Guldbæk - 2017
Persistent link: https://www.econbiz.de/10011706038
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A parametric factor model of the term structure of mortality
Haldrup, Niels; Rosenskjold, Carsten P. T. - 2018
Persistent link: https://www.econbiz.de/10011797536
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Nonstationary cointegration in the fractionally cointegrated VAR model
Johansen, Søren; Nielsen, Morten Ørregaard - 2018
Persistent link: https://www.econbiz.de/10011864979
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Cross-sectional noise reduction and more efficient estimation of integrated variance
Mirone, Giorgio - 2018
Persistent link: https://www.econbiz.de/10011864983
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Time-varying parameters : new test tailored to applications in finance and macroeconomics
Davidson, Russell; Grønborg, Niels S. - 2018
Persistent link: https://www.econbiz.de/10011913753