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Autoregressive Conditional Root Model

Rahbek, Anders; Shephard, Neil - 2002

In this paper we develop a time series model which allows long-term disequilibriums to have epochs of non-stationarity, giving the impression that long term relationships between economic variables have temporarily broken down, before they endogenously collapse back towards their long term...

Persistent link: https://www.econbiz.de/10014120183

Statistical aspects of ARCH and stochastic volatility

Shephard, Neil G. - In: Time series models : in econometrics, finance and other …, (pp. 1-67). 1996

Persistent link: https://www.econbiz.de/10001319937

Distribution of the ML estimator of an MA(1) and a local level model

Shephard, Neil G. - In: Econometric theory 9 (1993) 3, pp. 377-401

Persistent link: https://www.econbiz.de/10001151128

Stochastic volatility

Shephard, Neil G. (contributor) - 2005

Persistent link: https://www.econbiz.de/10003067547

Martingale unobserved component models

Shephard, Neil G. - 2013

Persistent link: https://www.econbiz.de/10009747434

Martingale unobserved component models

Shephard, Neil G. - 2013

Persistent link: https://www.econbiz.de/10009732804

Cointegration rank inference with stationary regressors in VAR models

Rahbek, Anders; Mosconi, Rocco - In: The econometrics journal 2 (1999) 1, pp. 76-91

Persistent link: https://www.econbiz.de/10001449262

Asymptotic likelihood based inference for cointegrated homogenous Gaussian diffusions

Kessler, Mathieu; Rahbek, Anders - 1999

Persistent link: https://www.econbiz.de/10001456590

Weak exogeneity in I(2) VAR systems

Paruolo, Paolo; Rahbek, Anders - In: Journal of econometrics 93 (1999) 2, pp. 281-308

Persistent link: https://www.econbiz.de/10001406658

Similarity issues in cointegration analysis

Nielsen, Bent; Rahbek, Anders - In: Oxford bulletin of economics and statistics 62 (2000) 1, pp. 5-22

Persistent link: https://www.econbiz.de/10001481785

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