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1
GARCH models for daily stock returns : impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts
Ardia, David
;
Hoogerheide, Lennart F.
- In:
Economics letters
123
(
2014
)
2
,
pp. 187-190
Persistent link: https://www.econbiz.de/10010400299
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2
Is it Brownian or fractional Brownian motion?
Li, Meiyu
;
Gençay, Ramazan
;
Xue, Yi
- In:
Economics letters
145
(
2016
),
pp. 52-55
Persistent link: https://www.econbiz.de/10011618176
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3
Can Markov switching model generate long memory?
Baek, Changryong
;
Fortuna, Natércia
;
Pipiras, Vladas
- In:
Economics letters
124
(
2014
)
1
,
pp. 117-121
Persistent link: https://www.econbiz.de/10010490562
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4
Effect of the order of fractional integration on impulse responses
Hassler, Uwe
;
Hosseinkouchack, Mehdi
- In:
Economics letters
125
(
2014
)
2
,
pp. 311-314
Persistent link: https://www.econbiz.de/10010505295
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5
Aggregation of the generalized fractional processes
Sun, Jingwei
;
Shi, Wendong
- In:
Economics letters
124
(
2014
)
2
,
pp. 258-262
Persistent link: https://www.econbiz.de/10010493645
Saved in:
6
Volatility
persistence
in stock market
Chuang, Hongwei
- In:
Economics letters
133
(
2015
),
pp. 64-67
Persistent link: https://www.econbiz.de/10011431978
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7
A modified test against spurious long memory
Kruse, Robinson
- In:
Economics letters
135
(
2015
),
pp. 34-38
Persistent link: https://www.econbiz.de/10011434828
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8
On the memory of products of long range dependent time series
Leschinski, Christian
- In:
Economics letters
153
(
2017
),
pp. 72-76
Persistent link: https://www.econbiz.de/10011810659
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9
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:
10
A modified Wilcoxon test for change points in long-range dependent time series
Wenger, Kai Rouven
;
Less, Vivien
- In:
Economics letters
192
(
2020
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012508757
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