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IGARCH models and structural breaks

Caporale, Guglielmo Maria; Pittis, Nikitas; Spagnolo, Nicola - In: Applied economics letters 10 (2003) 12, pp. 765-768

Persistent link: https://www.econbiz.de/10001819341

Interest and exchange rate risk and stock returns : a multivariate Garch-M modelling approach

Beirne, John (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003641941

Power properties of nonlinearity tests for time series with Markov regime

Psaradakis, Zacharias G.; Spagnolo, Nicola - 1999

Persistent link: https://www.econbiz.de/10001434242

Power properties of nonlinearity tests for time series with Markov regimes

Psaradakis, Zacharias G. (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 6 (2002) 3

Persistent link: https://www.econbiz.de/10001790033

Fractional Integration v Structural Change : Testing the Convergence of CO2 Emissions

Barassi, Marco R. - 2017

This paper assesses the stochastic convergence of relative CO2 emissions within three different sets of countries over the period 1950-2013. Using the Local Whittle (LW) estimator and its variants we investigate whether relative per-capita CO2 emissions are long memory processes which, although...

Persistent link: https://www.econbiz.de/10012964474