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Forecasting a long memory process subject to structural breaks
Wang, Cindy Shin Huei; Bauwens, Luc; Hsiao, Cheng - In: Journal of econometrics 177 (2013) 2, pp. 171-184
Persistent link: https://www.econbiz.de/10010254878
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Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu; Xiao, Weilin; Yu, Jun - In: Journal of econometrics 232 (2023) 2, pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
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Predictions from ARMAX models
Baillie, Richard T. - In: Journal of econometrics 12 (1980) 3, pp. 365-374
Persistent link: https://www.econbiz.de/10001855799
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Moving average stochastic volatility models with application to inflation forecast
Chan, Joshua C. C. - In: Journal of econometrics 176 (2013) 2, pp. 162-172
Persistent link: https://www.econbiz.de/10009786503
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An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
Bhardwaj, Geetesh; Swanson, Norman R. - In: Journal of econometrics 131 (2006) 1/2, pp. 539-578
Persistent link: https://www.econbiz.de/10003298614
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Estimation and forecasting in vector autoregressive moving average models for rich datasets
Dias, Gustavo Fruet; Kapetanios, George - In: Journal of econometrics 202 (2018) 1, pp. 75-91
Persistent link: https://www.econbiz.de/10011974554
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Studying co-movements in large multivariate data prior to multivariate modelling
Cubadda, Gianluca; Hecq, Alain W. J.; Palm, Franz C. - In: Journal of econometrics 148 (2009) 1, pp. 25-35
Persistent link: https://www.econbiz.de/10003813089
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The conditional autoregressive Wishart model for multivariate stock market volatility
Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of econometrics 167 (2012) 1, pp. 211-223
Persistent link: https://www.econbiz.de/10009551424
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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
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Autocovariance functions of series and of their transforms
Abadir, Karim Maher; Talmain, Gabriel - In: Journal of econometrics 124 (2005) 2, pp. 227-252
Persistent link: https://www.econbiz.de/10002515537