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Two estimators of the long-run variance : beyond short memory
Abadir, Karim Maher; Distaso, Walter; Giraitis, Liudas - In: Journal of econometrics 150 (2009) 1, pp. 56-70
Persistent link: https://www.econbiz.de/10003847512
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Nonstationarity-extended local Whittle estimation
Abadir, Karim Maher; Distaso, Walter; Giraitis, Liudas - In: Journal of econometrics 141 (2007) 2, pp. 1353-1384
Persistent link: https://www.econbiz.de/10003571465
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Design-free estimation of variance matrices
Abadir, Karim Maher; Distaso, Walter; Žikeš, Filip - In: Journal of econometrics 181 (2014) 2, pp. 165-180
Persistent link: https://www.econbiz.de/10010473319
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An I(d) model with trend and cycles
Abadir, Karim Maher; Distaso, Walter; Giraitis, Liudas - In: Journal of econometrics 163 (2011) 2, pp. 186-199
Persistent link: https://www.econbiz.de/10009270611
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Nelson-Plosser revisited : the ACF approach
Abadir, Karim Maher; Caggiano, Giovanni; Talmain, Gabriel - In: Journal of econometrics 175 (2013) 1, pp. 22-34
Persistent link: https://www.econbiz.de/10009749369
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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
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A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
Abadir, Karim Maher; Lucas, André - In: Journal of econometrics 119 (2004) 1, pp. 45-71
Persistent link: https://www.econbiz.de/10001943912
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Testing for unit root processes in random coefficient autoregressive models
Distaso, Walter - In: Journal of econometrics 142 (2008) 1, pp. 581-609
Persistent link: https://www.econbiz.de/10003608216
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Predictive density estimators for daily volatility based on the use of realized measures
Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - In: Journal of econometrics 150 (2009) 2, pp. 119-138
Persistent link: https://www.econbiz.de/10003858447
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International market links and volatility transmission
Corradi, Valentina; Distaso, Walter; Fernandes, Marcelo - In: Journal of econometrics 170 (2012) 1, pp. 117-141
Persistent link: https://www.econbiz.de/10009673128