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The fisher relationship in Nigeria
Balparda, Borja; Caporale, Guglielmo Maria; Gil-Alaña, … - 2015
Persistent link: https://www.econbiz.de/10010527201
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Long memory in the Ukrainian stock market
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2013
Persistent link: https://www.econbiz.de/10009731962
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The PPP hypothesis revisited : evidence using a multivariate long-memory model
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Lovcha, … - 2013
Persistent link: https://www.econbiz.de/10009731975
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The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Clark, Todd E.; Ravazzolo, Francesco - 2012
Persistent link: https://www.econbiz.de/10009627354
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Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011
Persistent link: https://www.econbiz.de/10009720703
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The time-varying volatility of earnings and aggregate precautionary savings
Pozzi, Lorenzo - 2011
Persistent link: https://www.econbiz.de/10009720736
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Backtesting value-at-risk using forecasts for multiple horizons, a comment on the forecast rationality tests of A. J. Patton A. Timmermann
Hoogerheide, Lennart F.; Ravazzolo, Francesco; Dijk, … - 2011
Persistent link: https://www.econbiz.de/10009720750
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Monte Carlo maximum likelihood estimation for generalized long-memory time series models
Mesters, G.; Koopman, Siem Jan; Ooms, Marius - 2011
Persistent link: https://www.econbiz.de/10009720782
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Stationarity and ergodicity of univariate generalized autoregressive score processes
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2012
Persistent link: https://www.econbiz.de/10009722625
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Predicting time-varying parameters with parameter-driven and observation-driven models
Koopman, Siem Jan; Lucas, André; Scharth, Marcel - 2012
Persistent link: https://www.econbiz.de/10009722696