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Forecasting volatility and volume in the Tokyo stock market : the advantage of long memory models

Lux, Thomas (contributor); Kaizoji, Taisei (contributor) - 2004 - [Elektronische Ressource]

multifractal models) dominate over GARCH and ARMA models. However, while FIGARCH and ARFIMA also have a number of cases with …

Persistent link: https://www.econbiz.de/10002090155

Testing the Balassa-Samuelson effect : implications for growth and PPP

Faria, João Ricardo (contributor); … - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001550237

The UK wage curve : new evidence from the British household panel survey

Collier, Bill (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001550248

Trade liberalisation and export performance in selected developing countries

Santos-Paulino, Amelia U. (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001550272

A picture of wage inequality and the allocation of labour through a period of trade liberalisation : the case of Brazil

Green, Francis (contributor); … - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001550277

Genetic learning as an explanation of stylized facts of foreign exchange markets

Lux, Thomas (contributor); Schornstein, Sascha (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001781205

The multi-fractal model of asset returns : its estimation via GMM and its use for volatility forecasting

Lux, Thomas (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001781206

Detecting multi-fractal properties in asset returns : the failure of the "scaling estimator"

Lux, Thomas (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001781208

A minimal noise trader model with realistic time series properties

Alfarano, Simone (contributor); Lux, Thomas (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001781210

Time series of count data : modelling and estimation

Jung, Robert (contributor); Kukuk, Martin (contributor); … - 2005

This paper compares various models for time series of counts which can account for discreetness, overdispersion and serial correlation. Besides observation- and parameter-driven models based upon corresponding conditional Poisson distributions, we also consider a dynamic ordered probit model as...

Persistent link: https://www.econbiz.de/10002817440