Narrow search
Showing 1 - 10 of 18
Cover Image
Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes
Mittnik, Stefan - In: Economics letters 23 (1987) 3, pp. 279-284
Persistent link: https://www.econbiz.de/10001027025
Cover Image
The determination of the state covariance matrix of moving-average processes without computation
Mittnik, Stefan - In: Economics letters 23 (1987) 2, pp. 177-179
Persistent link: https://www.econbiz.de/10001027051
Cover Image
Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models
Mittnik, Stefan - In: Journal of economic dynamics & control 15 (1991) 4, pp. 731-740
Persistent link: https://www.econbiz.de/10001111238
Cover Image
Unit root inference in the presence of infinite-variance disturbances
Mittnik, Stefan; Kurz-Kim, Jeong-Ryeol - 1996
Persistent link: https://www.econbiz.de/10000955832
Cover Image
Testing cointegrating coefficients in vector autoregressive error correction models
Hansen, Gerd; Kurz-Kim, Jeong-Ryeol; Mittnik, Stefan - 1996
Persistent link: https://www.econbiz.de/10000955842
Cover Image
Modeling the persistence of conditional volatility with GARCH-stable processes
Mittnik, Stefan - 1997
Persistent link: https://www.econbiz.de/10000984425
Cover Image
Testing cointegrating coefficients in vector autoregressive error correction models
Hansen, Gerd - In: Economics letters 58 (1998) 1, pp. 1-5
Persistent link: https://www.econbiz.de/10001233190
Cover Image
Asymptotic distributions of impulse responses, step responses, and variance decompositions of estimated linear dynamic models
Mittnik, Stefan - In: Econometrica : journal of the Econometric Society, an … 61 (1993) 4, pp. 857-870
Persistent link: https://www.econbiz.de/10001147139
Cover Image
A tail estimator for the index of the stable Paretian distribution
Mittnik, Stefan - 1996
Persistent link: https://www.econbiz.de/10001410592
Cover Image
Statistical inference in time series with unit root in the presence of infinite-variance disturbances
Mittnik, Stefan - 1997
Persistent link: https://www.econbiz.de/10001410603