Testing for Mean Reversion in Heteroskedastic Data Ii : Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization
Year of publication: |
1999
|
---|---|
Authors: | Kim, Chang-Jin ; Nelson, Charles R. |
Publisher: |
[S.l.] : SSRN |
Subject: | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Kapitaleinkommen | Capital income |
Extent: | 1 Online-Ressource (16 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 1997 erstellt |
Other identifiers: | 10.2139/ssrn.148309 [DOI] |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Volatility Estimation and Jump Testing via Realized Information Variation
Liu, Weiyi, (2016)
-
Gatarek, Lukasz, (2014)
-
Ardia, David, (2016)
- More ...
-
Kim, Chang-jin, (2015)
-
Kim, Chang-jin, (1999)
-
State-space models with regime switching : classical and Gibbs-sampling approaches with applications
Kim, Chang-jin, (1999)
- More ...