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isPartOf:"Journal of econometrics"
~isPartOf:"International journal of finance & economics : IJFE"
~isPartOf:"NBER working paper series"
~person:"Cavaliere, Giuseppe"
~person:"Frankel, Jeffrey A."
~subject:"Zeitreihenanalyse"
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Cavaliere, Giuseppe
Frankel, Jeffrey A.
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Inference on co-integration parameters in heteroskedastic vector autoregressions
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
Rahbek, Anders
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 64-85
Persistent link: https://www.econbiz.de/10011615672
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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
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