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Explaining asset prices with low risk aversion and low intertemporal substitution
Andreasen, Martin Møller; Jørgensen, Kasper - 2016
Persistent link: https://www.econbiz.de/10011474816
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Bond risk premiums at the zero lower bound
Andreasen, Martin Møller; Jørgensen, Kasper; Meldrum, … - 2019
Persistent link: https://www.econbiz.de/10012063987
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Testing for level shifts in fractionally integrated processes : a state space approach
Delle Monache, Davide; Grassi, Stefano; Santucci de … - 2015
Persistent link: https://www.econbiz.de/10011296884
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Nonstationary cointegration in the fractionally cointegrated VAR model
Johansen, Søren; Nielsen, Morten Ørregaard - 2018
Persistent link: https://www.econbiz.de/10011864979
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A simple test for spurious regressions
Noriega-Muro, Antonio E.; Ventosa-Santaulària, Daniel - 2011
Persistent link: https://www.econbiz.de/10009006821
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Do realized skewness and kurtosis predict the cross-section of equity returns?
Amaya, Diego (contributor) - 2011
Persistent link: https://www.econbiz.de/10009385117
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An extension of cointegration to fractional autoregressive processes
Johansen, Søren - 2011
Persistent link: https://www.econbiz.de/10008810484
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Changes in persistence, spurious regressions and the Fisher hypothesis
Kruse, Robinson; Ventosa-Santaulària, Daniel; … - 2013
Persistent link: https://www.econbiz.de/10009733569
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Does the ARFIMA really shift?
Delle Monache, Davide; Grassi, Stefano; Santucci de … - 2016
Persistent link: https://www.econbiz.de/10011648629