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Time series models

Harvey, Andrew C. - 1993 - 2. ed.

Persistent link: https://www.econbiz.de/10013530402

Ökonometrische Analyse von Zeitreihen

Harvey, Andrew C. - 2018 - Aus dem Engl. “ The econometric analysis of time series”. 2. Aufl. Reprint 2018

Persistent link: https://www.econbiz.de/10014508480

On the probability of estimating a deterministic component in the local level model

Harvey, Andrew C.; Shephard, Neil - 1990

A local level model has a deterministic level when the signal-to-noise ratio q is zero. In this paper we investigate the properties of the maximum likelihood estimator of q, paying particular attention to the case where its true value is zero. These properties are shown to be crucially dependent...

Persistent link: https://www.econbiz.de/10009441421

The econometrics of stochastic volatility

Harvey, Andrew C.; Shephard, Neil G. - 1993

Persistent link: https://www.econbiz.de/10000865088

Ökonometrische Analyse von Zeitreihen

Harvey, Andrew C. - 1994 - 2. Aufl.

Persistent link: https://www.econbiz.de/10000878330

State space and unobserved component models : theory and applications

Harvey, Andrew C. (ed.); Koopman, Siem Jan (contributor); … - 2004 - 1. publ.

Persistent link: https://www.econbiz.de/10009681752

Time-Varying parameters in econometrics : the editor's foreword

Blasques, Francisco; Harvey, Andrew C.; Koopman, Siem Jan; … - In: Journal of econometrics 237 (2023) 2,2, pp. 1-3

Persistent link: https://www.econbiz.de/10014471515