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True versus spurious long memory : some theoretical results and a Monte Carlo comparison
Leccadito, Arturo; Rachedi, Omar; Urga, Giovanni - In: Econometric reviews 34 (2015) 1/5, pp. 452-479
Persistent link: https://www.econbiz.de/10011373268
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Monte Carlo maximum likelihood estimation for generalized long-memory time series models
Mesters, G.; Koopman, Siem Jan; Ooms, Marius - In: Econometric reviews 35 (2016) 1/4, pp. 659-687
Persistent link: https://www.econbiz.de/10011550112
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Wavelet energy ratio unit root tests
Trokić, Mirza - In: Econometric reviews 38 (2019) 1, pp. 69-94
Persistent link: https://www.econbiz.de/10012180698
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Inference for impulse response coefficients from multivariate fractionally integrated processes
Baillie, Richard; Kapetanios, George; Papailias, Fotis - In: Econometric reviews 36 (2017) 1/3, pp. 60-84
Persistent link: https://www.econbiz.de/10011794639
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The fisher relationship in Nigeria
Balparda, Borja; Caporale, Guglielmo Maria; Gil-Alaña, … - In: Journal of economics and finance 41 (2017) 2, pp. 343-353
Persistent link: https://www.econbiz.de/10011795723
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Long memory in the Ukrainian stock market and financial crises
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Journal of economics and finance 40 (2016) 2, pp. 235-257
Persistent link: https://www.econbiz.de/10011658783
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GARCH model estimation using estimated quadratic variation
Galbraith, John W.; Zinde-Walsh, Victoria; Zhu, Jingmei - In: Econometric reviews 34 (2015) 6/10, pp. 1172-1192
Persistent link: https://www.econbiz.de/10011483454
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Estimating volatility transmission between oil prices and the US Dollar exchange rate under structural breaks
Anjum, Hassan - In: Journal of economics and finance 43 (2019) 4, pp. 750-763
Persistent link: https://www.econbiz.de/10012385205
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Adaptive LASSO estimation for ARDL models with GARCH innovations
Medeiros, Marcelo C.; Mendes, Eduardo F. - In: Econometric reviews 36 (2017) 6/9, pp. 622-637
Persistent link: https://www.econbiz.de/10011795298
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Interest rate dynamics and volatility transmission in the European short term interest rate market
Shaw, Frances; Murphy, Finbarr; O'Brien, Fergal - In: Journal of economics and finance 40 (2016) 4, pp. 754-772
Persistent link: https://www.econbiz.de/10011659069