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~isPartOf:"Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria"
~isPartOf:"Journal of empirical finance"
~subject:"ARMA model"
~subject:"Volatility"
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Search: subject_exact:"Autoregressive integrated moving average"
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
Journal of empirical finance
Economics letters
35
International journal of forecasting
34
Journal of econometrics
31
Journal of forecasting
30
Econometric theory
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ECONIS (ZBW)
13
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1
The exact discretisation of CARMA models with applications in finance
Thornton, Michael A.
;
Chambers, Marcus J.
- In:
Journal of empirical finance
38
(
2016
),
pp. 739-761
Persistent link: https://www.econbiz.de/10011663785
Saved in:
2
Bandwidth selection by cross-validation for forecasting long memory financial time series
Baillie, Richard
;
Kapetanios, George
;
Papailias, Fotis
- In:
Journal of empirical finance
29
(
2014
),
pp. 129-143
Persistent link: https://www.econbiz.de/10011300500
Saved in:
3
A new approach to modeling co-movement of international equity markets : evidence of unconditional copula-based stimulation of tail dependence
Sun, Wei
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
; …
- In:
Empirical economics : a journal of the Institute for …
36
(
2009
)
1
,
pp. 201-229
Persistent link: https://www.econbiz.de/10003804574
Saved in:
4
A generalized method of moments estimator for a spatial model with moving average errors, with application to real estate prices
Fingleton, Bernard
- In:
Empirical economics : a journal of the Institute for …
34
(
2008
)
1
,
pp. 35-57
Persistent link: https://www.econbiz.de/10003636723
Saved in:
5
Testing efficiency of the ruble-sterling foreign-exchange market under the gold standard
Goldman, Elena
- In:
Empirical economics : a journal of the Institute for …
31
(
2006
)
2
,
pp. 449-477
Persistent link: https://www.econbiz.de/10003333492
Saved in:
6
Modelling financial transaction price movements : a dynamic integer count data model
Liesenfeld, Roman
;
Nolte, Ingmar
;
Pohlmeier, Winfried
- In:
Empirical economics : a journal of the Institute for …
30
(
2005
)
4
,
pp. 795-825
Persistent link: https://www.econbiz.de/10003233759
Saved in:
7
Forecasting industrial production and the early detection of turning points
Bruno, Giancarlo
;
Lupi, Claudio
- In:
Empirical economics : a journal of the Institute for …
29
(
2004
)
3
,
pp. 647-671
Persistent link: https://www.econbiz.de/10002223243
Saved in:
8
The power of tests for equivalent ARMA models : the implications for practitioners
Chenoweth, Tim
;
Hubata, Robert
;
Saint Louis, Robert D.
- In:
Empirical economics : a journal of the Institute for …
29
(
2004
)
2
,
pp. 281-292
Persistent link: https://www.econbiz.de/10002080005
Saved in:
9
Fractional integration and business cycle features
Candelon, Bertrand
;
Gil-Alaña, Luis A.
- In:
Empirical economics : a journal of the Institute for …
29
(
2004
)
2
,
pp. 343-359
Persistent link: https://www.econbiz.de/10002080025
Saved in:
10
Structural change and long-range dependence in volatility of exchange rates : either, neither or both?
Morana, Claudio
;
Beltratti, Andrea
- In:
Journal of empirical finance
11
(
2004
)
5
,
pp. 629-658
Persistent link: https://www.econbiz.de/10002260298
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