Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10001756622
In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models. The method is based on special properties of Markov processes and a split-sample technique. The results on Markovian processes (intercalary independence and truncation) only...
Persistent link: https://www.econbiz.de/10005100872
fundamental value which cannot be inferred from the equilibrium price. Secondly, price autocorrelation can be generated only by …
Persistent link: https://www.econbiz.de/10010708652