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On the influence of autocorrelation and GARCH-effects on goodness-of-fit tests for copulas

Garmann, Sebastian; Grundke, Peter - In: The European journal of finance 19 (2013) 1/2, pp. 75-88

Persistent link: https://www.econbiz.de/10009733297

The T2 chart with mixed samples to control bivariate autocorrelated processes

Leoni, Roberto Campos; Machado, Marcela Aparecida Guerreiro - In: International journal of production research 54 (2016) 11/12, pp. 3294-3310

Persistent link: https://www.econbiz.de/10011497159

Finite sample of the Durbin-Watson test against fractionally integrated disturbances

Kleiber, Christian; Krämer, Walter - 2004

We consider the finite sample power of various tests against serial correlation in the disturbances of a linear regression when these disturbances follow a stationary long memory process. It emerges that the power depends on the form of the regressor matrix and that, for the Durbin-Watson test...

Persistent link: https://www.econbiz.de/10010516924

Moment estimators for autocorrelated time series and their application to default correlations

Frei, Christoph; Wunsch, Marcus - In: The journal of credit risk : published quarterly by … 14 (2018) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10011885453

Estimation of value-at-Risk on Romanian stock exchange using volatility forecasting models

Opreana, Claudiu Ilie - In: Expert journal of finance 1 (2013), pp. 4-18

Persistent link: https://www.econbiz.de/10011572395

Statistical properties of microstructure noise

Jacod, Jean; Li, Yingying; Zheng, Xinghua - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 4, pp. 1133-1174

Persistent link: https://www.econbiz.de/10011791234

Monitoring multistage processes with autocorrelated observations

Kim, Jinho; Jeong, Myong K.; Elsayed, Elsayed A. - In: International journal of production research 55 (2017) 7/8, pp. 2385-2396

Persistent link: https://www.econbiz.de/10011648619

Comparative study on the use of statistical methods for the distribution of autocorrelation to any influence factor

Merce, Cristian; Drăghici, Manea; Merce, Emilian; … - In: Agrarian economy and rural development : realities and …, (pp. 58-63). 2019

based on the principle of proportional distribution of autocorrelation with the coefficients of simple determination, and …

Persistent link: https://www.econbiz.de/10012212443

Benchmark forecast and error modeling

Chen, Zhao-Guo; Wu, Ka Ho - In: Journal of forecasting 36 (2017) 4, pp. 382-394

Persistent link: https://www.econbiz.de/10011860451

Phase II monitoring of auto-correlated linear profiles using linear mixed model

Narvand, A.; Soleimani, P.; Raissi, Sadigh - In: Journal of industrial engineering international 9 (2013), pp. 1-9

mixed models to account autocorrelation within observations which is gathered on phase II of the monitoring process. We …

Persistent link: https://www.econbiz.de/10009782421