Narrow search
Showing 1 - 10 of 20,175
Cover Image
Long memory in UK real GDP, 1851 - 2013 : an ARFIMA-FIGARCH analysis
Caporale, Guglielmo Maria; Škare, Marinko - 2014
Persistent link: https://www.econbiz.de/10010402692
Cover Image
Long memory in UK real GDP, 1851 – 2013: an ARFIMA-FIGARCH analysis
Caporale, Guglielmo Maria; Škare, Marinko - 2014
This paper analyses the long-memory properties of both the conditional mean and variance of UK real GDP over the period 1851-2013 by estimating a multivariate ARFIMA-FIGARCH model (with the unemployment rate and inflation as explanatory variables). The results suggest that this series is...
Persistent link: https://www.econbiz.de/10010367157
Cover Image
GARCH error based ARIMA forecast for GDP in Sri Lanka
Mukhopadhyay, Chandan Kumar; Kundu, Amit - In: Economic issues in SAARC context, (pp. 202-225). 2008
Persistent link: https://www.econbiz.de/10003794377
Cover Image
Long memory and volatility dynamics in the US dollar exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Multinational finance journal : MF ; quarterly … 16 (2012) 1/2, pp. 105-136
Persistent link: https://www.econbiz.de/10010257552
Cover Image
On the univariate representation of multivariate volatility models with common factors
Hecq, Alain W. J.; Laurent, Sébastien; Palm, Franz C. - 2011
Persistent link: https://www.econbiz.de/10008840656
Cover Image
On the univariate representation of BEKK models with common factors
Hecq, Alain W. J.; Laurent, Sébastien; Palm, Franz C. - 2012
Persistent link: https://www.econbiz.de/10009515469
Cover Image
Level changes in volatility models
Craioveanu, Mihaela; Hillebrand, Eric - In: Annals of finance 8 (2012) 2/3, pp. 277-308
Persistent link: https://www.econbiz.de/10009548088
Cover Image
Modelling financial transaction price movements : a dynamic integer count data model
Liesenfeld, Roman; Nolte, Ingmar; Pohlmeier, Winfried - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 795-825
Persistent link: https://www.econbiz.de/10003233759
Cover Image
Market based credit rating and its applications
Tsay, Ruey S.; Zhu, H. - In: Applied quantitative finance, (pp. 113-128). 2017
Persistent link: https://www.econbiz.de/10011794956
Cover Image
Nonlinear combination of macroeconomic forecasts using feedforward neural network
Yousefian, Ali; Gharipour, Amin; Sameti, Morteza - In: The Asian economic review : journal of the Indian … 52 (2010) 2, pp. 207-215
Persistent link: https://www.econbiz.de/10008736560