Narrow search
Showing 1 - 7 of 7
Cover Image
Bootstrap sequential determination of the co-integrated rank in VAR models
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert - 2010
Persistent link: https://www.econbiz.de/10003932092
Cover Image
Bootstrap determination of the co-integration rank in heteroskedastic VAR Models
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - 2012
Persistent link: https://www.econbiz.de/10009614507
Cover Image
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - 2014
Persistent link: https://www.econbiz.de/10010394614
Cover Image
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - 2016
Persistent link: https://www.econbiz.de/10011624059
Cover Image
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - 2020
Persistent link: https://www.econbiz.de/10012317803
Cover Image
Modeling corporate defaults : Poisson autoregressions with exogenous covariates (PARX)
Agosto, Arianna; Cavaliere, Giuseppe; Kristensen, Dennis; … - 2015
Persistent link: https://www.econbiz.de/10011516997
Cover Image
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - 2021
Persistent link: https://www.econbiz.de/10012434016