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person:"Gil-Alaña, Luis A."
~accessRights:"free"
~isPartOf:"CREATES research paper"
~person:"Grassi, Stefano"
~person:"Stock, James H."
~person:"Taylor, Robert"
~subject:"Time series analysis"
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Time series analysis
Estimation
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5
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5
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3
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3
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2
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2
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Gil-Alaña, Luis A.
Grassi, Stefano
Stock, James H.
Taylor, Robert
Nielsen, Morten Ørregaard
5
Teräsvirta, Timo
4
Silvennoinen, Annastiina
3
Cavaliere, Giuseppe
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Delle Monache, Davide
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Ergemen, Yunus Emre
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Haldrup, Niels
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CREATES research paper
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ECONIS (ZBW)
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Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
2
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
3
Does the ARFIMA really shift?
Delle Monache, Davide
;
Grassi, Stefano
;
Santucci de …
-
2016
Persistent link: https://www.econbiz.de/10011648629
Saved in:
4
Testing for level shifts in fractionally integrated processes : a state space approach
Delle Monache, Davide
;
Grassi, Stefano
;
Santucci de …
-
2015
Persistent link: https://www.econbiz.de/10011296884
Saved in:
5
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
; …
-
2014
Persistent link: https://www.econbiz.de/10010394614
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