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Fractional integration and mean reversion in stock prices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000
Persistent link: https://www.econbiz.de/10001615066
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Forecasting the variability of stock index returns with stochastic volatility models and implied volatility
Hol Uspensky, Eugenie; Koopman, Siem Jan - 2000
Persistent link: https://www.econbiz.de/10001534834
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Meta-analysis: A Tool for Upgrading Inputs of Macroeconomic Policy Models
Florax, Raymond J. G. M.; Groot, Henri L. F. de; Mooij, … - 2002
Persistent link: https://www.econbiz.de/10001663843
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Long memory in the Ukrainian stock market
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2013
Persistent link: https://www.econbiz.de/10009731962
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Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011
Persistent link: https://www.econbiz.de/10009720703
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Monte Carlo maximum likelihood estimation for generalized long-memory time series models
Mesters, G.; Koopman, Siem Jan; Ooms, Marius - 2011
Persistent link: https://www.econbiz.de/10009720782
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Stationarity and ergodicity of univariate generalized autoregressive score processes
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2012
Persistent link: https://www.econbiz.de/10009722625
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Fast efficient importance sampling by state space methods
Koopman, Siem Jan; Nguyen, Thuy Minh - 2012
Persistent link: https://www.econbiz.de/10009722707
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Multiple cyclical fractional structures in financial time series
Caporale, Guglielmo Maria (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003641950
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The impact of effect size heterogeneity on meta-analysis : a Monte Carlo experiment
Koetse, Mark J.; Florax, Raymond J. G. M.; Groot, Henri … - 2007
Persistent link: https://www.econbiz.de/10003644178