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subject:"Stochastischer Prozess"
~isPartOf:"CREATES research paper"
~subject:"ARMA-Modell"
~subject:"Cointegration"
~subject:"Commodity derivative"
~type_genre:"Non-commercial literature"
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Search: subject_exact:"ARFIMA-Modell"
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Stochastischer Prozess
ARMA-Modell
Cointegration
Commodity derivative
ARMA model
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Time series analysis
6
Zeitreihenanalyse
6
Theorie
4
Theory
4
Estimation
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Schätzung
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Estimation theory
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Arfima model
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Commodity price
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Heteroscedasticity
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Kointegration
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Prognoseverfahren
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Scientific modelling
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State space model
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United States
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VAR model
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VAR-Modell
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Zustandsraummodell
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cofractional
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cointegration
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fractional Brownianmotion
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fractional integration
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long memory
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long-range dependence
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nonstationary
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Grassi, Stefano
2
Nielsen, Morten Ørregaard
2
Santucci de Magistris, Paolo
2
Atkinson, Anthony C.
1
Cavaliere, Giuseppe
1
Delle Monache, Davide
1
Dias, Gustavo Fruet
1
Haulde, Javier
1
Johansen, Søren
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CREATES research paper
Discussion paper / Tinbergen Institute
15
Working paper / Department of Econometrics and Business Statistics, Monash University
14
CoFE discussion papers
9
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
9
Econometric Institute research papers
9
Working paper
8
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
6
Documentos de trabajo / Banco de España, Servicio de Estudios
6
Série des documents de travail / Centre de Recherche en Économie et Statistique
6
CORE discussion papers : DP
5
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
5
Discussion papers in economics
5
Working paper / National Bureau of Economic Research, Inc.
5
CAMA working paper series
4
Cowles Foundation discussion paper
4
Discussion paper / Centre for Economic Policy Research
4
Discussion papers / Helsinki Center of Economic Research : discussion paper
4
Discussion papers of interdisciplinary research project 373
4
Research memorandum / METEOR
4
Working papers
4
CORE discussion paper : DP
3
Discussion paper
3
Discussion paper series / Tasmanian School of Business and Economics, University of Tasmania
3
Discussion papers / University of Leicester, Department of Economics
3
Global COE Hi-Stat discussion paper series
3
IEAS working paper
3
IMF working paper
3
Memorandum / Department of Economics, University of Oslo
3
Research paper series / Swiss Finance Institute
3
School of Accounting, Finance and Economics & FEMARC working paper series
3
Staff working paper / Bank of Canada
3
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
3
Umeå economic studies
3
ANU working papers in economics and econometrics
2
Arbeitspapier / Institut für Statistik und Ökonometrie
2
CEMMAP working papers / Centre for Microdata Methods and Practice
2
CIE working paper series
2
Cahier / Départment de Sciences Économiques, Université de Montréal
2
Cahier de recherches / Faculté des Sciences Economiques et Sociales, Hautes Etudes Commerciales, Université de Genève
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ECONIS (ZBW)
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Fractional integration and cointegration
Haulde, Javier
;
Nielsen, Morten Ørregaard
-
2021
Persistent link: https://www.econbiz.de/10012816374
Saved in:
2
Does the ARFIMA really shift?
Delle Monache, Davide
;
Grassi, Stefano
;
Santucci de …
-
2016
Persistent link: https://www.econbiz.de/10011648629
Saved in:
3
Forecasting medium and large datasets with Vector Autoregressive Moving Average (VARMA) models
Dias, Gustavo Fruet
;
Kapetanios, George
-
2014
Persistent link: https://www.econbiz.de/10010419000
Saved in:
4
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
Saved in:
5
The selection of ARIMA models with or without regressors
Johansen, Søren
;
Riani, Marco
;
Atkinson, Anthony C.
-
2012
Persistent link: https://www.econbiz.de/10009660743
Saved in:
6
When long memory meets the Kalman Filter : a comparative study
Grassi, Stefano
;
Santucci de Magistris, Paolo
-
2011
Persistent link: https://www.econbiz.de/10009006828
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