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Generalized Predictive Tests and Structural Change Analysis in Econometrics.

Dufour, J.M.; Ghysels, E.; Hall, A. - Centre Interuniversitaire de Recherche en Économie … - 1992

Persistent link: https://www.econbiz.de/10005545555

An Exponential Bound for the Permutational Distribution of a First-Order Autocorrelation Coefficient.

Dufour, J.-M.; Hallin, M. - Centre Interuniversitaire de Recherche en Économie … - 1991

Persistent link: https://www.econbiz.de/10005545587

A Theoretical Comparison Between Integrated and Realized Volatilies.

Meddahi, N. - Centre Interuniversitaire de Recherche en Économie … - 2001

In this paper, we provide both quantitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed.

Persistent link: https://www.econbiz.de/10005545599

On the Rationship between Impulse Response Analysis, Innovation Accounting and Granger Causality.

Dufour, J.M.; Tessier, D. - Centre Interuniversitaire de Recherche en Économie … - 1993

Persistent link: https://www.econbiz.de/10005545620

Changes in Seasonal Patters: Are They Cyclical.

Canova, F.; Ghysels, E. - Centre Interuniversitaire de Recherche en Économie … - 1992

Persistent link: https://www.econbiz.de/10005545631

ECONOMETRIC MODELS OF ACCIDENT DISTRIBUTIONS.

BOYER, M.; DIONEE, G.; VANASSE, C. - Centre Interuniversitaire de Recherche en Économie … - 1990

Persistent link: https://www.econbiz.de/10005346003

Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples.

Ghysels, E.; Lieberman, O. - Centre Interuniversitaire de Recherche en Économie … - 1993

Persistent link: https://www.econbiz.de/10005346033

Over-Rejections in Rational Expectations Models: A Nonparametric Approach to the Mankiw-Shapiro Problem.

Campbell, B.; Dufour, J.-M. - Centre Interuniversitaire de Recherche en Économie … - 1991

Persistent link: https://www.econbiz.de/10005353022

Charistmas, Spring and the Dawning of Economic Recovery.

Ghysels, E. - Centre Interuniversitaire de Recherche en Économie … - 1992

Persistent link: https://www.econbiz.de/10005353029

An Eigenfunction Approach for Volatility Modeling.

Meddahi, N. - Centre Interuniversitaire de Recherche en Économie … - 2001

In this paper, we introduce a new approach for volatility modeling in discrete and continuous time.

Persistent link: https://www.econbiz.de/10005353042