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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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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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Periodic integration and cointegration : with applications to the New Zealand aggregate consumption functions
Harrison, Robin; Smith, Aaron - 1994
Persistent link: https://www.econbiz.de/10000898327
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A drunk, her dog and a boyfriend : an illustration of multiple cointegration and error correction
Smith, Aaron; Harrison, Robin - 1995
Persistent link: https://www.econbiz.de/10000912065
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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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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