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Short-term cycles in primary commodity prices

Labys, Walter C.; Kouassi, Eugène; Terraza, Michel - In: The developing economies 38 (2000) 3, pp. 330-342

Persistent link: https://www.econbiz.de/10001530975

Modélisation par le filtre de Kalman de la chronique mensuelle du prix du gas-oil en France de 1960 à 1992

Kouassi, Eugène - In: Journal de la Société de Statistique de Paris 135 (1994) 4, pp. 25-46

Persistent link: https://www.econbiz.de/10001182922

Estimation d'un modèle V.A.R. par le filtre de Kalman

Nakkar, Osman - In: Journal de la Société de Statistique de Paris 134 (1993) 4, pp. 3-16

Persistent link: https://www.econbiz.de/10001155427

Dynamique du marché du pétrole : approche vectorielle autorégressive à partir de la stationnarité de HEGY des chroniques trimestrielles saisonnières

Murcia, Véronique - In: Journal de la Société de Statistique de Paris 136 (1995) 4, pp. 57-73

Persistent link: https://www.econbiz.de/10001196471

Forecasts of the seasonal fractional integrated series

Darné, Olivier; Guiraud, Vivien; Terraza, Michel - In: Journal of forecasting 23 (2004) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10001880068

Hedge fund return dynamics : long memory and regime switching

Limam, M. A.; Terraza, Virginie; Terraza, Michel - In: International journal of financial research 8 (2017) 4, pp. 148-166

Persistent link: https://www.econbiz.de/10011782456

Time-frequency analysis of CAPM : application to the CAC 40

Mestre, Roman; Terraza, Michel - In: Managing global transitions : international research journal 16 (2018) 2, pp. 141-157

Persistent link: https://www.econbiz.de/10012137071

Univariate tests for time series models

Cromwell, Jeff B. - 1994

Persistent link: https://www.econbiz.de/10013382786

Univariate tests for time series models

Cromwell, Jeff B.; Labys, Walter C.; Terraza, Michel - 1994

Persistent link: https://www.econbiz.de/10004179837

Hedge Fund Return Dynamics : Long Memory and Regime Switching

Limam, Mohamed-Ali - 2013

This paper investigates the dynamics of hedge fund returns and their behavior of persistence in a unified framework through the Markov Switching ARFIMA model of Härdle and Tsay (2009). Major results based on the CSFB/Tremont hedge fund indexes monthly data during the period 1994-2011, highlight...

Persistent link: https://www.econbiz.de/10013090817