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VaR-implied tail-correlation matrices
Mittnik, Stefan - In: Economics letters 122 (2014) 1, pp. 69-73
Persistent link: https://www.econbiz.de/10010393953
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Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes
Mittnik, Stefan - In: Economics letters 23 (1987) 3, pp. 279-284
Persistent link: https://www.econbiz.de/10001027025
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The determination of the state covariance matrix of moving-average processes without computation
Mittnik, Stefan - In: Economics letters 23 (1987) 2, pp. 177-179
Persistent link: https://www.econbiz.de/10001027051
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Testing cointegrating coefficients in vector autoregressive error correction models
Hansen, Gerd - In: Economics letters 58 (1998) 1, pp. 1-5
Persistent link: https://www.econbiz.de/10001233190
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Testing cointegrating coefficients in vector autoregressive error correction models
Hansen, Gerd; Kim, Jeong-Ryeol; Mittnik, Stefan - In: Economics letters 58 (1998) 1, pp. 1-6
Persistent link: https://www.econbiz.de/10006789873