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Structural breaks and seasonal integration

Smith, Jeremy - 1995

Persistent link: https://www.econbiz.de/10000909907

A Monte Carlo study of the forecasting performance of empirical SETAR models

Clements, Michael P.; Smith, Jeremy - In: Journal of applied econometrics 14 (1999) 2, pp. 123-141

Persistent link: https://www.econbiz.de/10001387355

Forecasting costs incurred from unit differencing fractionally integrated processes

Smith, Jeremy - In: International journal of forecasting 10 (1994) 4, pp. 507-514

Persistent link: https://www.econbiz.de/10001178920

The performance of periodic autoregressive models in forecasting seasonal UK consumption

Osborn, Denise R. - In: Journal of business & economic statistics : JBES ; a … 7 (1989) 1, pp. 117-127

Persistent link: https://www.econbiz.de/10001090225

Structural breaks and seasonal integration

Smith, Jeremy - In: Economics letters 56 (1997) 1, pp. 13-19

Persistent link: https://www.econbiz.de/10001226465

On SETAR non-linearity and forecasting

Clements, Michael P.; Franses, Philip Hans; Smith, Jeremy; … - In: Journal of forecasting 22 (2003) 5, pp. 359-375

Persistent link: https://www.econbiz.de/10001781684

The size and the power of unit roots tests against fractional alternatives : a Monte Carlo investigation

Yadav, Sanjay - 1994

Persistent link: https://www.econbiz.de/10000884449

The KPSS test with outliers

Otero, Jesús G. (contributor); Smith, Jeremy (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001847646

Convex combinations of long memory estimates from different sampling rates

Souza, Leonardo Rocha (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001953832

Asymmetry and leverage in conditional volatility models

McAleer, Michael - In: Econometrics : open access journal 2 (2014) 3, pp. 145-150

The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...

Persistent link: https://www.econbiz.de/10010417180