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~isPartOf:"Journal of empirical finance"
~isPartOf:"The econometrics journal"
~subject:"ARMA model"
~subject:"Derivat"
~subject:"Exchange rate policy"
~subject:"Theory"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Autoregressive integrated moving average"
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ARMA model
Derivat
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Theory
ARMA-Modell
13
Theorie
6
Estimation theory
4
Schätztheorie
4
Time series analysis
3
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3
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Continuous time ARMA process
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Cross-validation
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Aufsatz in Zeitschrift
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13
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Phillips, Peter C. B.
2
Baillie, Richard
1
Bartel, Holger
1
Beine, Michel
1
Beltratti, Andrea
1
Chambers, Marcus J.
1
Cipollini, Fabrizio
1
Gabriel, Vasco J.
1
Kapetanios, George
1
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1
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1
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1
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1
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1
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1
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1
Morana, Claudio
1
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1
Papailias, Fotis
1
Savin, Nathan E.
1
Thomakos, Dimitrios D.
1
Thornton, Michael A.
1
Wang, T'ao
1
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Journal of empirical finance
The econometrics journal
Economics letters
35
International journal of forecasting
34
Journal of econometrics
31
Journal of forecasting
29
Econometric theory
24
Applied economics
21
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
16
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11
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11
International Journal of Energy Economics and Policy : IJEEP
11
Economic modelling
10
International journal of economics and financial issues : IJEFI
9
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
8
Energy economics
8
Journal of banking & finance
8
Journal of time series econometrics
8
The empirical economics letters : a monthly international journal of economics
8
Advances in business and management forecasting
7
Econometric reviews
6
Journal of international financial markets, institutions & money
6
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
6
Tourism economics : the business and finance of tourism and recreation
6
Asia-Pacific financial markets
5
Journal of applied econometrics
5
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5
Asian African journal of economics and econometrics
4
CBN journal of applied statistics
4
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International journal of economics and finance
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The Indian journal of economics
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ECONIS (ZBW)
13
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1
Combining counterfactual outcomes and ARIMA models for policy evaluation
Menchetti, Fiammetta
;
Cipollini, Fabrizio
;
Mealli, Fabrizia
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10013543270
Saved in:
2
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:
3
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:
4
Testing for uncorrelated errors in ARMA models : non-standard Andrews-Ploberger tests
Nankervis, John C.
;
Savin, Nathan E.
- In:
The econometrics journal
15
(
2012
)
3
,
pp. 516-534
Persistent link: https://www.econbiz.de/10009710131
Saved in:
5
Minimum distance estimation of stationary and non-stationary ARFIMA processes
Mayoral, Laura
- In:
The econometrics journal
10
(
2007
)
1
,
pp. 124-148
Persistent link: https://www.econbiz.de/10003451751
Saved in:
6
Expansions for approximate maximum likelihood estimators of the fractional difference parameter
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
The econometrics journal
8
(
2005
)
3
,
pp. 367-379
Persistent link: https://www.econbiz.de/10003209151
Saved in:
7
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
Saved in:
8
On the forecasting ability of ARFIMA models when infrequent breaks occur
Gabriel, Vasco J.
;
Martins, Luís Filipe
- In:
The econometrics journal
7
(
2004
)
2
,
pp. 455-475
Persistent link: https://www.econbiz.de/10002463501
Saved in:
9
Realized volatility in the futures markets
Thomakos, Dimitrios D.
;
Wang, T'ao
- In:
Journal of empirical finance
10
(
2003
)
3
,
pp. 321-353
Persistent link: https://www.econbiz.de/10001752107
Saved in:
10
ARMA representation of integrated and realized variances
Meddahi, Nour
- In:
The econometrics journal
6
(
2003
)
2
,
pp. 335-356
Persistent link: https://www.econbiz.de/10001831259
Saved in:
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