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A generalized exponential time series regression model for electricity prices
Haldrup, Niels; Knapik, O.; Proietti, Tommaso - 2016
Persistent link: https://www.econbiz.de/10011447820
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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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A no arbitrage fractional cointegration analysis of the range based volatility
Rossi, Eduardo; Santucci de Magistris, Paolo - 2009
Persistent link: https://www.econbiz.de/10003863181
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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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Cointegration between trends and their estimators in state space models and CVAR models
Johansen, Søren; Nyboe Tabor, Morten - 2017
Persistent link: https://www.econbiz.de/10011624144
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Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles
Franchi, Massimo; Johansen, Søren - 2017
Persistent link: https://www.econbiz.de/10011648634
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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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Long memory and tail dependence in trading volume and volatility
Rossi, Eduardo; Santucci de Magistris, Paolo - 2009
Persistent link: https://www.econbiz.de/10003863172
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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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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