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~isPartOf:"Journal of econometrics"
~person:"Cross, Jamie"
~person:"Nielsen, Morten Ørregaard"
~person:"Sucarrat, Genaro"
~subject:"Time series analysis"
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Cross, Jamie
Nielsen, Morten Ørregaard
Sucarrat, Genaro
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Zhang B, Chan JCC, Cross JL, June 2018, Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts paper
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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
Saved in:
2
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
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