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1
Semiparametric estimation of long-memory volatility dependencies : the role of high-frequency data
Bollerslev, Tim
;
Wright, Jonathan H.
- In:
Journal of econometrics
98
(
2000
)
1
,
pp. 81-106
Persistent link: https://www.econbiz.de/10001497682
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2
Indirect estimation of ARFIMA and VARFIMA models
Martin, Vance
;
Wilkins, Nigel P.
- In:
Journal of econometrics
93
(
1999
)
1
,
pp. 149-175
Persistent link: https://www.econbiz.de/10001406647
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3
Bayesian estimation of switching ARMA models
Billio, Monica
;
Monfort, Alain
;
Robert, Christian P.
- In:
Journal of econometrics
93
(
1999
)
2
,
pp. 229-255
Persistent link: https://www.econbiz.de/10001406655
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4
Bayesian analysis of ARMA-GARCH models : a Markov chain sampling approach
Nakatsuma, Teruo
- In:
Journal of econometrics
95
(
2000
)
1
,
pp. 57-69
Persistent link: https://www.econbiz.de/10001432516
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5
Stationarity of multivariateMarkov-switching ARMA models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
102
(
2001
)
2
,
pp. 339-364
Persistent link: https://www.econbiz.de/10001580640
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6
A nonlinear long memory model, with an application to US unemployment
Dijk, Dick van
;
Franses, Philip Hans
;
Paap, Richard
- In:
Journal of econometrics
110
(
2002
)
2
,
pp. 135-165
Persistent link: https://www.econbiz.de/10001703505
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7
A model of fractional cointegration, and tests for cointegration using the bootstrap
Davidson, James E. H.
- In:
Journal of econometrics
110
(
2002
)
2
,
pp. 187-212
Persistent link: https://www.econbiz.de/10001703507
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8
How to implement the bootstrap in static or stable dynamic regression models : test statistik versus confidence region approach
Giersbergen, Noud P. A. van
;
Kiviet, J. F.
- In:
Journal of econometrics
108
(
2002
)
1
,
pp. 133-156
Persistent link: https://www.econbiz.de/10001656607
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9
Predictions from ARMAX models
Baillie, Richard T.
- In:
Journal of econometrics
12
(
1980
)
3
,
pp. 365-374
Persistent link: https://www.econbiz.de/10001855799
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10
Autocovariance functions of series and of their transforms
Abadir, Karim Maher
;
Talmain, Gabriel
- In:
Journal of econometrics
124
(
2005
)
2
,
pp. 227-252
Persistent link: https://www.econbiz.de/10002515537
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