Testing the Box-Cox Parameter for an Integrated Process
Year of publication: |
2011-01-13
|
---|---|
Authors: | McAleer, Michael ; Huang, Huang, J. ; Kobayashi, Kobayashi, M. |
Institutions: | Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam |
Subject: | Box-Cox transformation | brownian motion | constant eElasticity of volatility | mean reversion | nonstandard distribution |
Extent: | application/pdf |
---|---|
Series: | Econometric Institute Research Papers. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:ems:eureir Number EI 2010-77 |
Source: |
-
Testing the Box-Cox Parameter for an Integrated Process
Huang, Jian, (2010)
-
Testing the Box-Cox Parameter for an Integrated Process
Huang, Jian, (2010)
-
Testing the Box-Cox Parameter for an Integrated Process
McAleer, Michael, (2011)
- More ...
-
The Impact of Jumps and Leverage in Forecasting Co-Volatility
Asai, Manabu, (2015)
-
Chang, Chia-Lin, (2015)
-
Frontiers in Time Series and Financial Econometrics
McAleer, Michael, (2015)
- More ...