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Level shifts and the illusion of long memory in economic time series
Smith, Aaron D. - In: Journal of business & economic statistics : JBES ; a … 23 (2005) 3, pp. 321-335
Persistent link: https://www.econbiz.de/10003012987
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Partially overlapping time series : a new model for volatility dynamics in commodity futures
Smith, Aaron D. - In: Journal of applied econometrics 20 (2005) 3, pp. 405-422
Persistent link: https://www.econbiz.de/10002807215
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Volatility dynamics of NYMEX natural gas futures prices
Suenaga, Hiroaki (contributor); Smith, Aaron D. (contributor) - 2006
Persistent link: https://www.econbiz.de/10003396527
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Forecasting in the presence of level shifts
Smith, Aaron D. - In: Journal of forecasting 24 (2005) 8, pp. 557-574
Persistent link: https://www.econbiz.de/10003269279
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Level shifts and the illusion of long memory in economic time series
Smith, Aaron D. (contributor) - 2004
Persistent link: https://www.econbiz.de/10003729957
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Partially overlapping time series : a new model for volatility dynamics in commodity futures
Smith, Aaron D. (contributor) - 2004
Persistent link: https://www.econbiz.de/10003729960
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Forecasting in the presence of level shifts
Smith, Aaron D. (contributor) - 2004
Persistent link: https://www.econbiz.de/10003729962
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Markov-switching model selection using Kulklback-Leibler divergence
Smith, Aaron D. (contributor); Naik, Prasad A. (contributor) - 2005
Persistent link: https://www.econbiz.de/10003729998
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Volatility dynamics of NYMEX natural gas futures prices
Suenaga, Hiroaki; Smith, Aaron D.; Williams, Jeffrey - In: The journal of futures markets 28 (2008) 5, pp. 438-463
Persistent link: https://www.econbiz.de/10003699693
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A time series paradox : unit root tests perform poorly when data are cointegrated
Reed, W. Robert; Smith, Aaron D. - In: Economics letters 151 (2017), pp. 71-74
Persistent link: https://www.econbiz.de/10011742136