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~person:"Lucas, André"
~person:"Sibbertsen, Philipp"
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Essays on long memory time series
Leschinski, Christian Hendrik
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2016
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Zeitreihenanalyse
…
Persistent link: https://www.econbiz.de/10011559565
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Spillover dynamics for systemic risk measurement using spatial financial time series models : conference paper
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
; …
-
2014
A new model for time-varying spatial dependencies is introduced. It forms an extension to the popular spatial lag model and can be estimated conveniently by maximum likelihood. The spatial dependence parameter is assumed to follow a generalized autoregressive score (GAS) process. The theoretical...
Persistent link: https://www.econbiz.de/10010491085
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Essays on nonlinearities in time series : regime switching, outlying observations, and changes in persistence
Rinke, Saskia
-
2017
Information criteria, nonlinearity, additive outliers, innovative outliers, change in persistence, outlier detection. - Informationskriterien, Nichtlinearität, additive Ausreißer, innovative Ausreißer, Persistenzbruch, Ausreißerermittlung
Persistent link: https://www.econbiz.de/10012123316
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4
Essays on robust long memory inference
Will, Michael Wolfgang
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2018
Persistent link: https://www.econbiz.de/10012123519
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5
Essays on fractional cointegration and seasonal long memory
Voges, Michelle
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2019
Persistent link: https://www.econbiz.de/10012144876
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