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Forecasting medium and large datasets with Vector Autoregressive Moving Average (VARMA) models
Dias, Gustavo Fruet
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Kapetanios, George
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2014
Persistent link: https://www.econbiz.de/10010419000
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When long memory meets the Kalman Filter : a comparative study
Grassi, Stefano
;
Santucci de Magistris, Paolo
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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.
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2012
Persistent link: https://www.econbiz.de/10009660743
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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
; …
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2014
Persistent link: https://www.econbiz.de/10010394614
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Fractional integration and cointegration
Haulde, Javier
;
Nielsen, Morten Ørregaard
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2021
Persistent link: https://www.econbiz.de/10012816374
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Does the ARFIMA really shift?
Delle Monache, Davide
;
Grassi, Stefano
;
Santucci de …
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2016
Persistent link: https://www.econbiz.de/10011648629
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Evaluating value-at-risk models with desk-level data
Christoffersen, Peter F.
;
Berkowitz, Jeremy
;
Pelletier, …
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2009
Persistent link: https://www.econbiz.de/10003865687
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The dividend-price ratio does predict dividend growth : international evidence
Engsted, Tom
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Pedersen, Thomas Q.
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2009
Persistent link: https://www.econbiz.de/10003865691
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Forecasting inflation with gradual regiem shifts and exogenous information
González, Andrés
;
Hubrich, Kirstin
;
Teräsvirta, Timo
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2009
Persistent link: https://www.econbiz.de/10003849428
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Forecasting with universal approximators and a learning algorithm
Bredahl Kock, Anders
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2009
Persistent link: https://www.econbiz.de/10003849546
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