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Adaptive estimation in time-series models
Drost, Feike C.; Klaassen, Chris A.; Werker, Bas J. M. - 1994
Persistent link: https://www.econbiz.de/10000900412
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Testing nested and non-nested periodically integrated autoregressive models
Franses, Philip Hans; McAleer, Michael - 1995
Persistent link: https://www.econbiz.de/10000907435
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Closing the GARCH gap : continuous time GARCH modeling
Drost, Feike C.; Werker, Bas J. M. - 1994
Persistent link: https://www.econbiz.de/10000879810
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On adjusting the HP-filter for the frequency of observations
Ravn, Morten O.; Uhlig, Harald - 1997
Persistent link: https://www.econbiz.de/10000962183
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Fast filtering and smoothing for multivariate state space models
Koopman, Siem Jan; Durbin, James - 1998
Persistent link: https://www.econbiz.de/10000981433
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Improving GARCH volatility forecasts
Klaassen, Franc - 1998
Persistent link: https://www.econbiz.de/10000986444
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Incomplete panels and selection bias : a survey
Verbeek, Marno; Nijman, Theodore E. - 1992
Persistent link: https://www.econbiz.de/10000834351
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Sensitivity of univariate AR(1) time-series forecasts near the unit root
Banerjee, Anurag Narayan - 1997
Persistent link: https://www.econbiz.de/10000972600
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Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives
Durbin, James; Koopman, Siem Jan - 1998
Persistent link: https://www.econbiz.de/10000998337