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Multivariate cointegration and temporal aggregation : some further simulation results
Otero, Jesús G.; Panagiōtidēs, Theodōros; … - In: Computational economics 59 (2022) 1, pp. 59-70
Persistent link: https://www.econbiz.de/10013168902
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Observation driven long run equilibria
Łasak, Katarzyna; Lont, Johannes - In: Computational economics 55 (2020) 2, pp. 551-575
Persistent link: https://www.econbiz.de/10012223650
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Optimal estimation strategies for bivariate fractional cointegration systems and the co-persistence analysis of stock market realized volatilities
Aloy, Marcel; Truchis, Gilles de - In: Computational economics 48 (2016) 1, pp. 83-104
Persistent link: https://www.econbiz.de/10011646595
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Controlling heterogeneous structure of smooth breaks in panel unit root and cointegration testing
Omay, Tolga; Iren, Perihan - In: Computational economics 61 (2023) 1, pp. 233-265
Persistent link: https://www.econbiz.de/10014228424
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Modelling time-varying parameters in panel data state-space frameworks : an application to the Feldstein–Horioka puzzle
Camarero Olivas, Mariam; Sapena, Juan; Tamarit … - In: Computational economics 56 (2020) 1, pp. 87-114
Persistent link: https://www.econbiz.de/10012272020
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Fast and adaptive cointegration based model for forecasting high frequency financial time series
Arce, Paola; Antognini, Jonathan; Kristjanpoller … - In: Computational economics 54 (2019) 1, pp. 99-112
Persistent link: https://www.econbiz.de/10012134087
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Detecting causality in non-stationary time series using partial symbolic transfer entropy : evidence in financial data
Papana, Angeliki; Kyrtsou, Catherine; Kugiumtzis, Dimitris - In: Computational economics 47 (2016) 3, pp. 341-365
Persistent link: https://www.econbiz.de/10011712376
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Post‑COVID recovery and long‑run forecasting of Indian GDP with Factor‑Augmented Error Correction Model (FECM)
Maiti, Dibyendu; Kumar, Naveen; Jha, Debajit; Sarkar, … - In: Computational economics 63 (2024) 3, pp. 1095-1120
Persistent link: https://www.econbiz.de/10014546333
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Maximum likelihood estimation of the Cox–Ingersoll–Ross model using particle filters
De Rossi, Giuliano - In: Computational economics 36 (2010) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10003992469
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Tractable latent state filtering for non-linear DSGE models using a second-order approximation and pruning
Kollmann, Robert - In: Computational economics 45 (2015) 2, pp. 239-260
Persistent link: https://www.econbiz.de/10011325720