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Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - 2020
Persistent link: https://www.econbiz.de/10012317803
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First and second order non-linear cointegration models
Lange, Theis - 2009
Persistent link: https://www.econbiz.de/10003849457
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Estimating U.S. monetary policy shocks using a factor-augmented vector autoregression : an EM algorithm apporach
Bork, Lasse - 2009
Persistent link: https://www.econbiz.de/10003849520
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What do we know about real exchange rate non-linearities?
Kruse, Robinson (contributor) - 2009
Persistent link: https://www.econbiz.de/10003892560
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Estimation of stochastic volatility models by nonparametric filtering
Kanaya, Shin; Kristensen, Dennis - 2010
Persistent link: https://www.econbiz.de/10008663983
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On European monetary integration and the persistence of real effective exchange rates
Kruse, Robinson - 2010
Persistent link: https://www.econbiz.de/10003978309
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An asset pricing approach to testing general term structure models including Heath-Jarrow-Morton specifications and affine subclasses
Christensen, Bent Jesper; Wel, Michael van der - 2010
Persistent link: https://www.econbiz.de/10003947812
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Numerical distribution functions of fractional unit root and cointegration tests
MacKinnon, James G.; Nielsen, Morten Ørregaard - 2010
Persistent link: https://www.econbiz.de/10008651639
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Dynamic models of exchange rate dependence using option prices and historical returns
Tsiaras, Leonidas - 2010
Persistent link: https://www.econbiz.de/10008651727
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Pre-averaging based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - 2010
Persistent link: https://www.econbiz.de/10008651782