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subject:"Zeitreihenanalyse"
~person:"De Nicola, Francesca"
~person:"Nielsen, Morten Ørregaard"
~subject:"ARMA-Modell"
~subject:"Effizienzmarkthypothese"
~subject:"Heteroskedastizität"
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Search: subject_exact:"Rohstoffpreis"
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Zeitreihenanalyse
ARMA-Modell
Effizienzmarkthypothese
Heteroskedastizität
Commodity price
5
Rohstoffpreis
5
Time series analysis
5
ARMA model
2
Commodity derivative
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Estimation
2
Rohstoffderivat
2
Schätzung
2
Volatility
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Agrarpreis
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Agricultural price
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Bootstrap
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Bootstrap approach
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Capital income
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Co-movement
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Commodity market
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Commodity prices
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Efficient market hypothesis
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Estimation theory
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Food price
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Fractional integration
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Heteroscedasticity
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Kapitaleinkommen
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Lebensmittelpreis
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Rohstoffmarkt
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Schätztheorie
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Score tests
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Spot and futures commodity prices
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Theorie
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Time-series models
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De Nicola, Francesca
Nielsen, Morten Ørregaard
De Pace, Pierangelo
6
Hernandez, Manuel A.
6
Pfaffenzeller, Stephan
4
Prokopczuk, Marcel
4
Taylor, Robert
4
Aggarwal, Radhika
3
Gaiha, Raghav
3
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3
Labys, Walter C.
3
Lee, Junsoo
3
McDermott, C. John
3
Newbold, Paul
3
Winkelried, Diego
3
de Nicola, Francesca
3
Cartwright, Phillip A.
2
Cashin, Paul A.
2
Casoli, Chiara
2
Cavaliere, Giuseppe
2
Chen, Mei-hsiu
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Cole, Arthur Harrison
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Deaton, Angus
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Diewald, Laszlo
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Ellwanger, Reinhard
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Ghoshray, Atanu
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Gupta, Rangan
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Issler, João Victor
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Lutz, Matthias G.
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Paschke, Raphael
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ECONIS (ZBW)
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Co-movement of major commodity price returns : a time-series assessment
De Nicola, Francesca
;
De Pace, Pierangelo
;
Hernandez, …
-
2014
Persistent link: https://www.econbiz.de/10010376954
Saved in:
2
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:
3
Co-movement of major energy, agricultural, and food commodity price returns : a time-series assessment
De Nicola, Francesca
;
De Pace, Pierangelo
;
Hernandez, …
- In:
Energy economics
57
(
2016
),
pp. 28-41
Persistent link: https://www.econbiz.de/10011698260
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
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
Saved in:
5
Co-movement of major commodity price returns : time-series assessment
De Nicola, Francesca
;
De Pace, Pierangelo
;
Hernandez, …
-
2014
Persistent link: https://www.econbiz.de/10010346091
Saved in:
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