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COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES
del Barrio Castro, Tomás; Osborn, Denise R.; … - In: Econometric theory 24 (2008) 1, pp. 109-142
Persistent link: https://www.econbiz.de/10007896791
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The economic value of volatility forecasts : a conditional approach
Taylor, Nicholas - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 433-478
Persistent link: https://www.econbiz.de/10010391951
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Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models
Boswijk, H.P.; van Dijk, D.; Franses, P.H. - Center for Nonlinear Dynamics in Economics and Finance … - 2000
Persistent link: https://www.econbiz.de/10005241744
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TESTING FOR LONG MEMORY
Harris, David; Mccabe, Brendan; Leybourne, Stephen; … - In: Econometric theory 24 (2008) 1, pp. 143-175
Persistent link: https://www.econbiz.de/10007896790
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Unit root tests based on M estimators
Lucas, André - In: Econometric theory 11 (1995) 2, pp. 331-346
Persistent link: https://www.econbiz.de/10001185251
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Testing for parameter instability across different modeling frameworks
Calvori, Francesco; Creal, Drew; Koopman, Siem Jan; … - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 223-246
Persistent link: https://www.econbiz.de/10011987424
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THE APPROXIMATE MOMENTS OF THE LEAST SQUARES ESTIMATOR FOR THE STATIONARY AUTOREGRESSIVE MODEL UNDER A GENERAL ERROR DISTRIBUTION
Bao, Yong; Abadir, K.M.; Hadri, K.; Abadir, K.M.; Lucas, A. - In: Econometric theory 23 (2007) 5, pp. 1013-1021
Persistent link: https://www.econbiz.de/10007762698