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A tale of three seasonal adjustment procedures : the case of Sweden's GDP

Ermini, Luigi - 1998

Persistent link: https://www.econbiz.de/10000987467

Stylized facts of financial time series and three popular models of volatility

Malmsten, Hans (contributor); Teräsvirta, Timo (contributor) - 2004 - [Elektronische Ressource], Rev. September 3, 2004

Properties of three well-known and frequently applied first-order models for modelling and forecasting volatility in … Conditional Heteroskedasticity (GARCH), the Exponential GARCH and the Autoregressive Stochastic Volatility model. The focus is on … heteroskedasticity ; evaluation of volatility models ; exponential GARCH ; GARCH ; modelling return series ; stochastic volatility …

Persistent link: https://www.econbiz.de/10002199620

Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations

Silvennoinen, Annastiina (contributor); … - 2005 - [Elektronische Ressource], Rev. October 2005

; Dynamic conditional correlation ; Return comovement ; Volatility model evaluation …

Persistent link: https://www.econbiz.de/10002570445

An application of the analogy between vector ARCH and vector random coefficient autoregressive models

He, Changli (contributor); Teräsvirta, Timo (contributor) - 2002 - [Elektronische Ressource]

; multivariate volatility model ; random coefficient model ; volatility forecasting …

Persistent link: https://www.econbiz.de/10001714621

Is momentum due to data-snooping?

Ericsson, Johan (contributor); … - 2003 - [Elektronische Ressource]

This paper explores the profitability of portfolio-based momentum strategies. The data consists of all NYSE, AMEX, and NASDAQ stocks on the CRSP database. The analysis considers the period July 1963 to December 2002 and the tests are performed on portfolios formed on industry, size and...

Persistent link: https://www.econbiz.de/10001883186

Företaget som investeringsobjekt : hur placerare och analytiker arbetar med att ta fram ett investeringsobjekt

Hägglund, Peter B. - 2001

Persistent link: https://www.econbiz.de/10001606176

Market transparency

Nilsson, Arvid - 2001

Persistent link: https://www.econbiz.de/10001604447

The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series

Dijk, Dick van (contributor); Strikholm, Birgit (contributor) - 2001 - [Elektronische Ressource], Received: February 2003, Rev. June 1, 2004

Changes in the seasonal patterns of macroeconomic time series may be due to the effects of business cycle fluctuations or to technological and institutional change or both. We examine the relative importance of these two sources of change in seasonality for quarterly industrial production series...

Persistent link: https://www.econbiz.de/10001600051

On seasonality and cointegration

Löf, Mårten - 2001

Persistent link: https://www.econbiz.de/10001582796

Fourth moment structure of the GARCH (p, q) process

He, Changli; Teräsvirta, Timo - 1997

Persistent link: https://www.econbiz.de/10000960148

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