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Fractional integration and cointegration
Haulde, Javier; Nielsen, Morten Ørregaard - 2021
Persistent link: https://www.econbiz.de/10012816374
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When long memory meets the Kalman Filter : a comparative study
Grassi, Stefano; Santucci de Magistris, Paolo - 2011
Persistent link: https://www.econbiz.de/10009006828
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The selection of ARIMA models with or without regressors
Johansen, Søren; Riani, Marco; Atkinson, Anthony C. - 2012
Persistent link: https://www.econbiz.de/10009660743
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Forecasting medium and large datasets with Vector Autoregressive Moving Average (VARMA) models
Dias, Gustavo Fruet; Kapetanios, George - 2014
Persistent link: https://www.econbiz.de/10010419000
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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
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Does the ARFIMA really shift?
Delle Monache, Davide; Grassi, Stefano; Santucci de … - 2016
Persistent link: https://www.econbiz.de/10011648629
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Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard; Seo, Wonk-ki; Seong, Dakyung - 2022
Persistent link: https://www.econbiz.de/10012816384
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Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark - 2009
Persistent link: https://www.econbiz.de/10003883608
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Sir Clive Granger' s contributions to nonlinear time series and econometrics
Teräsvirta, Timo - 2017
Persistent link: https://www.econbiz.de/10011624071
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Long memory and tail dependence in trading volume and volatility
Rossi, Eduardo; Santucci de Magistris, Paolo - 2009
Persistent link: https://www.econbiz.de/10003863172