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Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals

Taylor, Mark P.; Peel, David - In: Journal of international money and finance 19 (2000) 1, pp. 33-53

Persistent link: https://www.econbiz.de/10001452589

Simulative Untersuchung der Eigenschaften von Testverfahren auf Elliptizität mit Anwendung auf Finanzmarktdaten

Gogokhia, Lia - 2008

Persistent link: https://www.econbiz.de/10003672746

Testing for time series linearity

Harvey, David I.; Leybourne, Stephen James - In: The econometrics journal 10 (2007) 1, pp. 149-165

Persistent link: https://www.econbiz.de/10003451752

Long memory in US disaggregated petroleum consumption : evidence from univariate and multivariate LM tests for fractional integration

Hooi Hooi Lean; Smyth, Russell - In: Energy policy 37 (2009) 8, pp. 3205-3211

Persistent link: https://www.econbiz.de/10003856217

Essays on nonstandard testing of trend functions in time series models

Sayginsoy, Ozgen - 2004

Persistent link: https://www.econbiz.de/10003551599

Forecasting dynamically asymmetric fluctuations of the U.S. business cycle

Zanetti Chini, Emilio - In: International journal of forecasting 34 (2018) 4, pp. 711-732

Persistent link: https://www.econbiz.de/10012031089

Contributions to static and time-varying copula-based modeling of multivariate association : with applications to financial time-series

Ruppert, Martin - 2012 - 1. Aufl.

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Essays on heterogeneity and non-linearity in panel data and time series models

Salish, Nazarii - 2016

Persistent link: https://www.econbiz.de/10011591912

Detection and modeling of regression parameter variation across frequencies : with an application to testing the permanent income hypothesis

Tan, Hui Boon; Ashley, Richard A. - In: Macroeconomic dynamics 3 (1999) 1, pp. 69-83

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Testing for threshold effect in ARFIMA models : application to US unemployment rate data

Lahiani, Amine; Scaillet, Olivier - 2008

Macroeconomic time series often involve a threshold effect in their ARMA representation, and exhibit long memory features. In this paper we introduce a new class of threshold ARFIMA models to account for this. The threshold effect is introduced in the autoregressive and/or the fractional...

Persistent link: https://www.econbiz.de/10003966199