Similar Search Results

Asymptotic tests on moving average representation coeficients with an application to innovations on spot and forward exchange rates

Baillie, Richard T. - In: Economics letters 13 (1983) 2/3, pp. 201-206

Persistent link: https://www.econbiz.de/10001855574

Predictions from ARMAX models

Baillie, Richard T. - In: Journal of econometrics 12 (1980) 3, pp. 365-374

Persistent link: https://www.econbiz.de/10001855799

The Chinese stock market : a casino with 'buffer zones'?

Girardin, Eric; Liu, Zhenya - In: Journal of Chinese economic and business studies 1 (2003) 1, pp. 57-70

Persistent link: https://www.econbiz.de/10001755970

Seasonal patterns of energy in China

Herrerias, Maria Jesus; Girardin, Eric - In: The energy journal 34 (2013) 2, pp. 169-198

Persistent link: https://www.econbiz.de/10009751630

Modeling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach

Baillie, Richard T.; Morana, Claudio - 2007

This paper introduces a new long memory volatility process, denoted by Adaptive FIGARCH, or A-FIGARCH, which is designed to account for both long memory and structural change in the conditional variance process. Structural change is modeled by allowing the intercept to follow a slowly varying...

Persistent link: https://www.econbiz.de/10010284151