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Trend stationarity in the I(2) cointegration model
Rahbek, Anders; Kongsted, Hans Christian; Jørgensen, … - In: Journal of econometrics 90 (1999) 2, pp. 265-289
Persistent link: https://www.econbiz.de/10001382131
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Long memory, fractional integration, and cross-sectional aggregation
Haldrup, Niels; Valdés, J. Eduardo Vera - In: Journal of econometrics 199 (2017) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10011818800
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Testing for short- and long-run causality : a frequency-domain approach
Breitung, Jörg; Candelon, Bertrand - In: Journal of econometrics 132 (2006) 2, pp. 363-378
Persistent link: https://www.econbiz.de/10003348759
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Estimation of dynamic and ARCH Tobit models
Lee, Lung-fei - In: Journal of econometrics 92 (1999) 2, pp. 355-390
Persistent link: https://www.econbiz.de/10001400177
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Impulse response analysis in infinite order cointegrated vector autoregressive processes
Lütkepohl, Helmut - In: Journal of econometrics 81 (1997) 1, pp. 127-157
Persistent link: https://www.econbiz.de/10001336799
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The detection and estimation of long memory in stochastic volatility
Breidt, F. Jay - In: Journal of econometrics 83 (1998) 1, pp. 325-348
Persistent link: https://www.econbiz.de/10001336943
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The predictive ability of several models of exchange rate volatility
West, Kenneth D. - In: Journal of econometrics 69 (1995) 2, pp. 367-391
Persistent link: https://www.econbiz.de/10001188565
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Estimating continuous-time stochastic volatility models of the short-term interest rate
Andersen, Torben - In: Journal of econometrics 77 (1997) 2, pp. 343-377
Persistent link: https://www.econbiz.de/10001212838
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Parameter uncertainty and impulse response analysis
Koop, Gary - In: Journal of econometrics 72 (1996) 1, pp. 135-149
Persistent link: https://www.econbiz.de/10001198021
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Impulse response analysis in nonlinear multivariate models
Koop, Gary; Pesaran, M. Hashem; Potter, Simon M. - In: Journal of econometrics 74 (1996) 1, pp. 119-147
Persistent link: https://www.econbiz.de/10001755367