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Structural change and long memory in the GARCH (1,1)-model
Krämer, Walter (contributor);  … - 2006
It has long been known that the estimated persistence parameter in the GARCH(1,1) - model is biased upwards when the parameters of the model are not constant throughout the sample. The present paper explains the mechanics of this behavior for a particular class of estimates of the model...
Persistent link: https://www.econbiz.de/10003385658
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Structural change and estimated persistence in the GARCH(1,1)-model
Krämer, Walter; Azamo, Baudouin Tameze - In: Economics letters 97 (2007) 1, pp. 17-23
Persistent link: https://www.econbiz.de/10003575201
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On the origins of high persistence in GARCH-models
Krämer, Walter; Tameze Azamo, Baudouin; Christou, … - 2009
Persistent link: https://www.econbiz.de/10008839631
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A Hausman test with trending data
Krämer, Walter - In: Economics letters 19 (1985) 4, pp. 323-325
Persistent link: https://www.econbiz.de/10001008946
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Asymptotic equivalence of ordinary lest squares and generalized least squares with trending regressors and stationary autoregressive disturbances
Krämer, Walter - In: Econometrics in theory and practice : Festschrift for …, (pp. 137-142). 1998
Persistent link: https://www.econbiz.de/10001301449
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Short-term predictability of German stock returns
Krämer, Walter - In: Empirical economics : a journal of the Institute for … 23 (1998) 4, pp. 635-639
Persistent link: https://www.econbiz.de/10001254518
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[Rezension von: Takayama, Akira, Mathematical economics]
Krämer, Walter - In: Kyklos : international review for social sciences 39 (1986) 3, pp. 484-485
Persistent link: https://www.econbiz.de/10001341719
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Fractional integration and the augmented Dickey-Fuller test
Krämer, Walter - In: Economics letters 61 (1998) 3, pp. 269-272
Persistent link: https://www.econbiz.de/10001252469
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the probability of a "Gross" violation of an efficient markets variance inequality
Krämer, Walter - In: Empirical economics : a journal of the Institute for … 20 (1995) 3, pp. 473-478
Persistent link: https://www.econbiz.de/10001190527
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Evaluating probability forecasts in terms of refinement and strictly proper scoring rules
Krämer, Walter - 2003
Persistent link: https://www.econbiz.de/10001813489