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~subject:"Zeitreihenanalyse"
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Zeitreihenanalyse
autocorrelation function
18
Long memory processes
17
long memory processes
17
Autocorrelation function
13
Time series analysis
10
Estimation theory
8
Schätztheorie
8
Autocorrelation Function
7
Self-similar
7
ARMA model
6
ARMA-Modell
6
Microbased time series analysis
6
Stochastic process
6
Stochastischer Prozess
6
sampling error
6
superpopulation model
6
Autocorrelation
5
Autokorrelation
5
fractional integration
5
ARCH model
4
ARCH-Modell
4
Theorie
4
Volatility
4
frequency domain estimates
4
jumps
4
structural change
4
test
4
Fractional Gaussian noise
3
GARCH
3
Long Memory Processes
3
Monte Carlo simulations
3
Persistence
3
Theory
3
Volatilität
3
Wind speed
3
cointegration
3
ACF-based GLS procedure
2
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2
Autocovariance functions
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English
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Allen, David E.
1
Asai, Manabu
1
Baillie, Richard
1
Dimitriadis, Timo
1
Ercolani, Joanne S.
1
Gumeni, Anita
1
Halbleib, Roxana
1
Herrera Aramburú, Andrés
1
Irungu, Irene W.
1
Kapetanios, George
1
La Spada, Gabriele
1
Laho, Emmelinda
1
Lillo, Fabrizio
1
McAleer, Michael
1
Mwita, Peter N.
1
Papailias, Fotis
1
Peiris, Shelton
1
Perron, Pierre
1
Rodriguez, Gabriel
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Shalari, Ornela
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Varneskov, Rasmus Tangsgaard
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Waititu, Antony G.
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Discussion papers / Department of Economics, The University of Birmingham
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Econometric reviews
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International journal of economic policy in emerging economies
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International journal of monetary economics and finance
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of mathematical finance
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Journal of time series econometrics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
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1
Realized quantiles
Dimitriadis, Timo
;
Halbleib, Roxana
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
3
,
pp. 1346-1361
Persistent link: https://www.econbiz.de/10013539526
Saved in:
2
On the asymptotic properties of a feasible estimator of the continuous time long memory parameter
Ercolani, Joanne S.
-
2010
Persistent link: https://www.econbiz.de/10009374216
Saved in:
3
The effect of round-off error on long memory processes
La Spada, Gabriele
;
Lillo, Fabrizio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
18
(
2014
)
4
,
pp. 445-482
Persistent link: https://www.econbiz.de/10010461206
Saved in:
4
The asymmetry and fractional integration of the unemployment rate in Albania
Shalari, Ornela
;
Laho, Emmelinda
;
Gumeni, Anita
- In:
International journal of economic policy in emerging …
8
(
2015
)
3
,
pp. 229-244
Persistent link: https://www.econbiz.de/10011506047
Saved in:
5
Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
Varneskov, Rasmus Tangsgaard
;
Perron, Pierre
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 371-393
Persistent link: https://www.econbiz.de/10011906384
Saved in:
6
Volatility of stock market and exchange rate returns in Peru : long memory or short memory with level shifts?
Herrera Aramburú, Andrés
;
Rodriguez, Gabriel
- In:
International journal of monetary economics and finance
9
(
2016
)
1
,
pp. 45-66
Persistent link: https://www.econbiz.de/10011548319
Saved in:
7
Inference for impulse response coefficients from multivariate fractionally integrated processes
Baillie, Richard
;
Kapetanios, George
;
Papailias, Fotis
- In:
Econometric reviews
36
(
2017
)
1/3
,
pp. 60-84
Persistent link: https://www.econbiz.de/10011794639
Saved in:
8
Cointegrated dynamics for a generalized long memory process : application to interest rates
Asai, Manabu
;
Peiris, Shelton
;
McAleer, Michael
;
Allen, …
- In:
Journal of time series econometrics
12
(
2020
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012258310
Saved in:
9
Limit theory of model order change-point estimator for GARCH models
Irungu, Irene W.
;
Mwita, Peter N.
;
Waititu, Antony G.
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 426-445
Persistent link: https://www.econbiz.de/10011875287
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