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~isPartOf:"International journal of monetary economics and finance"
~isPartOf:"Journal of econometrics"
~isPartOf:"Middle East journal of management : MEJM"
~isPartOf:"The journal of prediction markets"
~subject:"Stock market"
~subject:"Theory"
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Search: subject_exact:"ARMA model"
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ARMA model
35
ARMA-Modell
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Time series analysis
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Estimation theory
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Abadir, Karim Maher
1
Anderson, Brian D. O.
1
Bauwens, Luc
1
Billio, Monica
1
Bollerslev, Tim
1
Cavaliere, Giuseppe
1
Cubadda, Gianluca
1
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1
Deistler, Manfred
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Dheeriya, Prakash L.
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Dijk, Dick van
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Gribisch, Bastian
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Kiviet, J. F.
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Martin, Vance
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Monfort, Alain
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Talmain, Gabriel
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Taylor, Robert
1
Torun, Erdost
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Tripathy, Nalini Prava
1
Wang, Cindy Shin Huei
1
Wang, Xiaohu
1
Wilkins, Nigel P.
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International journal of monetary economics and finance
Journal of econometrics
Middle East journal of management : MEJM
The journal of prediction markets
Journal of forecasting
19
Econometric theory
15
Economics letters
14
International journal of forecasting
13
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
10
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
CoFE discussion papers
9
Discussion paper / Tinbergen Institute
7
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5
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
5
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
5
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Economic modelling
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International journal of economics and financial issues : IJEFI
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Banque de France Working Paper
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CBN journal of applied statistics
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Europäische Hochschulschriften / 5
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International Journal of Energy Economics and Policy : IJEEP
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Journal of quantitative economics : official journal of the Indian Econometric Society
3
Statistical papers
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
3
The empirical economics letters : a monthly international journal of economics
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ECONIS (ZBW)
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1
Revisiting the auto-regressive integrated moving average approach to modelling volatility using Bahrain all share index daily returns
Doblas, Mark P.
;
Natarajan, Vinodh Kesavaraj
;
Sankar, …
- In:
Middle East journal of management : MEJM
10
(
2023
)
6
,
pp. 619-636
Persistent link: https://www.econbiz.de/10014424552
Saved in:
2
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
3
The structure of multivariate AR and ARMA systems : regular and singular systems; the single and the mixed frequency case
Anderson, Brian D. O.
;
Deistler, Manfred
;
Felsenstein, …
- In:
Journal of econometrics
192
(
2016
)
2
,
pp. 366-373
Persistent link: https://www.econbiz.de/10011704722
Saved in:
4
Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data
Zadrozny, Peter A.
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 438-446
Persistent link: https://www.econbiz.de/10011704992
Saved in:
5
Testing for long memory in the Indian stock market
Tripathy, Nalini Prava
- In:
The journal of prediction markets
9
(
2015
)
3
,
pp. 23-39
Persistent link: https://www.econbiz.de/10011547160
Saved in:
6
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:
7
Forecasting a long memory process subject to structural breaks
Wang, Cindy Shin Huei
;
Bauwens, Luc
;
Hsiao, Cheng
- In:
Journal of econometrics
177
(
2013
)
2
,
pp. 171-184
Persistent link: https://www.econbiz.de/10010254878
Saved in:
8
Are frontier stock markets more inefficient than emerging stock markets?
Dheeriya, Prakash L.
;
Torun, Erdost
- In:
International journal of monetary economics and finance
6
(
2013
)
4
,
pp. 271-284
Persistent link: https://www.econbiz.de/10010412983
Saved in:
9
The conditional autoregressive Wishart model for multivariate stock market volatility
Golosnoy, Vasyl
;
Gribisch, Bastian
;
Liesenfeld, Roman
- In:
Journal of econometrics
167
(
2012
)
1
,
pp. 211-223
Persistent link: https://www.econbiz.de/10009551424
Saved in:
10
Studying co-movements in large multivariate data prior to multivariate modelling
Cubadda, Gianluca
;
Hecq, Alain W. J.
;
Palm, Franz C.
- In:
Journal of econometrics
148
(
2009
)
1
,
pp. 25-35
Persistent link: https://www.econbiz.de/10003813089
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