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~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Economics and finance working paper series"
~isPartOf:"Report / Econometric Institute, Erasmus University Rotterdam"
~isPartOf:"Technical working paper / National Bureau of Economic Research"
~language:"eng"
~person:"Asai, Manabu"
~person:"Dijk, Dick van"
~person:"Gil-Alaña, Luis A."
~person:"Heckman, James J."
~subject:"Aktienmarkt"
~subject:"Business cycle"
~subject:"Schätzung"
~subject:"Time series analysis"
~type_genre:"Collection of articles written by one author"
~type_genre:"Non-commercial literature"
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Asai, Manabu
Dijk, Dick van
Gil-Alaña, Luis A.
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Koopman, Siem Jan
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Economics and finance working paper series
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Long memory and fractional integration in high frequency financial time series
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
-
2010
Persistent link: https://www.econbiz.de/10003979849
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2
Global and regional financial integration in emerging Asia : evidence from stock markets
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
;
You, Kefei
-
2017
Persistent link: https://www.econbiz.de/10011656662
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3
Multiple cyclical fractional structures in financial time series
Caporale, Guglielmo Maria
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003641950
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4
Modelling long-run trends and cycles in financial time series data
Caporale, Guglielmo Maria
(
contributor
); …
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2008
Persistent link: https://www.econbiz.de/10003739803
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5
Out-of-sample comparison of Copula specifications in multivariate density forecasts
Diks, Cees G. H.
;
Panchenko, Valentyn
;
Dijk, Dick van
-
2008
Persistent link: https://www.econbiz.de/10003787159
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6
A multivariate long-memory model with structural breaks
Caporale, Guglielmo Maria
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003428263
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7
Mean reversion in the Nikkei, Standard & Poor and Dow Jones stock market indices
Caporale, Guglielmo Maria
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003428295
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8
Deterministic versus stochastic seasonal fractional integration and structural breaks
Caporale, Guglielmo Maria
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003428302
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9
An alternative Bayesian approach to structural breaks in time series models
Hauwe, Sjoerd van den
;
Paap, Richard
;
Dijk, Dick van
-
2011
Persistent link: https://www.econbiz.de/10008857052
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10
Modeling and estimation of synchronization in multistate Markov-switching models
Çakmaklı, Cem
;
Paap, Richard
;
Dijk, Dick van
-
2011
Persistent link: https://www.econbiz.de/10008809882
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