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A simple and focused backtest of value at risk
Krämer, Walter; Wied, Dominik - In: Economics letters 137 (2015), pp. 29-31
Persistent link: https://www.econbiz.de/10011436196
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Long memory and changing persistence
Kruse, Robinson; Sibbertsen, Philipp - In: Economics letters 114 (2012) 3, pp. 268-272
Persistent link: https://www.econbiz.de/10009550790
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On tests for linearity against STAR models with deterministic trends
Kaufmann, Hendrik; Kruse, Robinson; Sibbertsen, Philipp - In: Economics letters 117 (2012) 1, pp. 268-271
Persistent link: https://www.econbiz.de/10009697775
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Long memory with Markov-Switching GARCH
Krämer, Walter - In: Economics letters 99 (2008) 2, pp. 390-392
Persistent link: https://www.econbiz.de/10003723848
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Efficiency of least-squares-estimation of polynomial trend when residuals are autocorrelated
Busse, Ralf - In: Economics letters 45 (1994) 3, pp. 267-271
Persistent link: https://www.econbiz.de/10001165793
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Distinguishing between breaks in the mean and breaks in persistence under long memory
Wingert, Simon; Mboya, Mwasi Paza; Sibbertsen, Philipp - In: Economics letters 193 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012509210
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A simple test on structural change in long-memory time series
Wenger, Kai; Leschinski, Christian; Sibbertsen, Philipp - In: Economics letters 163 (2018), pp. 90-94
Persistent link: https://www.econbiz.de/10011982960
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Inference on the long-memory properties of time series with non-stationary volatility
Demetrescu, Matei; Sibbertsen, Philipp - In: Economics letters 144 (2016), pp. 80-84
Persistent link: https://www.econbiz.de/10011617209
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Explaining the time-varying effects of oil market shocks on US stock returns
Foroni, Claudia; Guérin, Pierre; Marcellino, Massimiliano - In: Economics letters 155 (2017), pp. 84-88
Persistent link: https://www.econbiz.de/10011821575