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subject:"Zeitreihenanalyse"
~person:"Nielsen, Morten Ørregaard"
~person:"Persson, Anna"
~subject:"ARMA-Modell"
~subject:"Spot and futures commodity prices"
~subject:"Volatility"
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Search: subject_exact:"Rohstoffpreis"
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Zeitreihenanalyse
ARMA-Modell
Spot and futures commodity prices
Volatility
Commodity price
4
Rohstoffpreis
4
Time series analysis
4
1900-1995
2
ARMA model
2
Commodity derivative
2
Estimation
2
Rohstoffderivat
2
Schätzung
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Terms of Trade
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Terms of trade
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Volatilität
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Welt
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World
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Bootstrap
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Bootstrap approach
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Bootstrap-Verfahren
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Commodity market
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Efficient market hypothesis
1
Effizienzmarkthypothese
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Estimation theory
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Fractional integration
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Heteroscedasticity
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Heteroskedastizität
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Rohstoffmarkt
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Schätztheorie
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Score tests
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Theorie
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English
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Nielsen, Morten Ørregaard
Persson, Anna
Arezki, Rabah
22
Frankel, Jeffrey A.
16
Vespignani, Joaquin
13
Lederman, Daniel
12
Ploeg, Frederick van der
12
Prokopczuk, Marcel
12
Zhao, Hongyan
11
Triantafyllou, Athanasios
10
Jacks, David S.
9
Majumder, Monoj Kumar
8
Raghavan, Mala
8
Williamson, Jeffrey G.
8
Bakas, Dimitrios
7
Cadot, Olivier
7
Dutoit, Laure
7
Liang, Hong
7
Raissi, Mehdi
7
Cuddington, John T.
6
De Pace, Pierangelo
6
Dehn, Jan
6
Hegerty, Scott W.
6
Hernandez, Manuel A.
6
Kang, Wensheng
6
Labys, Walter C.
6
Mohaddes, Kamiar
6
Ratti, Ronald A.
6
Algieri, Bernardina
5
Brooks, Chris
5
Gaiha, Raghav
5
Hadri, Kaddour
5
Kaicker, Nidhi
5
Loungani, Prakash
5
Mignon, Valérie
5
O'Rourke, Kevin Hjortshøj
5
Petrella, Ivan
5
Poelhekke, Steven
5
Razafindrabe, Tovonony
5
Symeonidis, Lazaros
5
Wright, Brian D.
5
Baur, Dirk G.
4
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International journal of finance & economics : IJFE
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ECONIS (ZBW)
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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
; …
-
2014
Persistent link: https://www.econbiz.de/10010394614
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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
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
Saved in:
3
The net barter terms of trade : a smooth transition approach
Persson, Anna
;
Teräsvirta, Timo
- In:
International journal of finance & economics : IJFE
8
(
2003
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10001806084
Saved in:
4
The Net Barter terms of trade : a smooth transition approach
Persson, Anna
;
Teräsvirta, Timo
-
1999
Persistent link: https://www.econbiz.de/10001421855
Saved in:
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