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Is US real GNP chaotic? : On using the BDS test to decide whether an ARMA model for the US GNP generates IID residuals

Mignacca, Domenico; Gallegati, Mauro - 1994

Persistent link: https://www.econbiz.de/10000896987

Delli Gatti, Domenico (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 3 (1998) 1, pp. 43-59

Persistent link: https://www.econbiz.de/10001769697

Comparing the impulse response functions of different models

Mignacca, Domenico - 1995

Persistent link: https://www.econbiz.de/10000906666

Is money neutral? : Some evidence for Italy

Cubadda, Gianluca; Mignacca, Domenico - 1994

Persistent link: https://www.econbiz.de/10000896980

Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012

In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...