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person:"Gil-Alaña, Luis A."
~isPartOf:"CREATES research paper"
~person:"Grassi, Stefano"
~person:"Stock, James H."
~person:"Taylor, Robert"
~subject:"Kointegration"
~subject:"Time series analysis"
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Kointegration
Time series analysis
Estimation
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Estimation theory
3
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3
ARCH model
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Gil-Alaña, Luis A.
Grassi, Stefano
Stock, James H.
Taylor, Robert
Nielsen, Morten Ørregaard
7
Santucci de Magistris, Paolo
4
Teräsvirta, Timo
4
Carlini, Federico
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Silvennoinen, Annastiina
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Cavaliere, Giuseppe
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Delle Monache, Davide
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Ergemen, Yunus Emre
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Kang, Jian
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Haulde, Javier
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Hautsch, Nikolaus
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He, Changli
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Hillebrand, Eric
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Jakobsen, Johan Stax
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Popiel, Michal Ksawery
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CREATES research paper
CESifo working papers
35
Economics and finance working paper series
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Discussion papers / Deutsches Institut für Wirtschaftsforschung
18
Applied economics letters
10
Applied economics
9
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
9
Discussion papers of interdisciplinary research project 373
9
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Queen's Economics Department working paper
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Review of development finance
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Empirica : journal of european economics
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Oxford bulletin of economics and statistics
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The South African journal of economics
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African review of economics & finance : AREF : (a journal of the African Finance and Economics Consult)
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Applied econometrics and international development
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Applied financial economics
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Applied financial economics letters
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Asian Journal of Empirical Research
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Bulletin of economic research
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CEIS Tor Vergata research papers : CEIS Tor Vergata research paper series
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ECONIS (ZBW)
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1
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
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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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