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Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
Engle, Robert F.; Russell, Jeffrey R. - 1995
Persistent link: https://www.econbiz.de/10000929607
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Model instability and choice of observation window
Pesaran, M. Hashem; Timmermann, Allan - 1999
Persistent link: https://www.econbiz.de/10001412208
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On the optimality of adaptive expectations : Muth revisited
Satchell, Stephen; Timmermann, Allan - 1994
Persistent link: https://www.econbiz.de/10000904202
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Arbitrage valuation of variance forecasts with simulated options
Engle, Robert F. (contributor) - 1992 - Rev
Persistent link: https://www.econbiz.de/10000841635
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Multi-step forecast error variances for periodically integrated time series
Franses, Philip Hans - 1994
Persistent link: https://www.econbiz.de/10000891993
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Hypernormal densities
Giacomini, Raffaella; Gottschling, Andreas; Häfke, … - 2002
Persistent link: https://www.econbiz.de/10001711395
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Non-synchronous common cycles
Vahid, Farshid; Engle, Robert F. - 1993
Persistent link: https://www.econbiz.de/10000878060
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Critical values for cointegration tests
MacKinnon, James G. - 1990
Persistent link: https://www.econbiz.de/10000951794
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Unit-root tests and asymmetric adjustment with an example using the term strcuture of interest rates
Enders, Walter; Granger, C. W. J. - 1996
Persistent link: https://www.econbiz.de/10000955311
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Econometric analysis of discrete-valued irregulary-spaced financial transactions data using a new autoregressive conditional multinominal model
Russell, Jeffrey R.; Engle, Robert F. - 1998
Persistent link: https://www.econbiz.de/10000988764