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A Heavy Traffic Approximation...
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Heavy tails
8
Random Walk
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Random walk
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Statistical distribution
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Statistische Verteilung
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Theorie
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Theory
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Time series analysis
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Hill, Jonathan B.
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Park, Joon Y.
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Aguilar, Mike
1
Daouia, Abdelaati
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Davis, Richard A.
1
Drees, Holger
1
Fan, Jianqing
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Girard, Stéphane
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Hong, Yongmiao
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Ikefuji, Masako
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Ke, Yuan
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Laeven, Roger J. A.
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Li, Haitao
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Lu, Wenbin
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Luger, Richard
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Magnus, Jan R.
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Marín, Manuel Ruiz
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Matilla-García, Mariano
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Miller, J. Isaac
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Nagakura, Daisuke
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Prokhorov, Artem
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Journal of econometrics
European journal of operational research : EJOR
87
IMF Working Papers
84
Physica A: Statistical Mechanics and its Applications
75
European Journal of Operational Research
26
MPRA Paper
24
Management Science
23
Applied economics
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Applied financial economics
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Operations research
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Statistics & Probability Letters
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Stochastic Processes and their Applications
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Applied economics letters
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Discussion paper / Tinbergen Institute
11
Economics letters
11
International journal of theoretical and applied finance
11
Tinbergen Institute Discussion Paper
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Computational Statistics
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Computers & operations research : and their applications to problems of world concern ; an international journal
10
International review of economics & finance : IREF
10
Tinbergen Institute Discussion Papers
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Annals of the Institute of Statistical Mathematics
9
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8
Discussion Paper / Tilburg University, Center for Economic Research
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Econometric theory
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International journal of production economics
8
Management science : journal of the Institute for Operations Research and the Management Sciences
8
Mathematics of operations research
8
Research in international business and finance
8
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Finance India : the quarterly journal of Indian Institute of Finance
7
Insurance: Mathematics and Economics
7
International journal of economics and finance
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ECONIS (ZBW)
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1
Inference on the tail process with application to financial time series modeling
Davis, Richard A.
;
Drees, Holger
;
Segers, Johan
; …
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 508-525
Persistent link: https://www.econbiz.de/10012110330
Saved in:
2
Bayesian model averaging and exchange rate forecasts
Wright, Jonathan H.
- In:
Journal of econometrics
146
(
2008
)
2
,
pp. 329-341
Persistent link: https://www.econbiz.de/10003782994
Saved in:
3
Can the random walk model be beaten in out-of-sample density forecasts? : Evidence form intraday foreign exchange rates
Hong, Yongmiao
;
Li, Haitao
;
Zhao, Feng
- In:
Journal of econometrics
141
(
2007
)
2
,
pp. 736-776
Persistent link: https://www.econbiz.de/10003571349
Saved in:
4
Nonlinearity, nonstationarity, and thick tails : how they interact to generate persistence in memory
Miller, J. Isaac
;
Park, Joon Y.
- In:
Journal of econometrics
155
(
2010
)
1
,
pp. 83-89
Persistent link: https://www.econbiz.de/10003965416
Saved in:
5
Random walk or chaos : a formal test on the Lyapunov exponent
Park, Joon Y.
;
Wang, Yoon-Jae
- In:
Journal of econometrics
169
(
2012
)
1
,
pp. 61-74
Persistent link: https://www.econbiz.de/10009666751
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6
Spurious regressions in technical trading
Shintani, Mototsugu
;
Tomoyoshi, Yabu
;
Nagakura, Daisuke
- In:
Journal of econometrics
169
(
2012
)
2
,
pp. 301-309
Persistent link: https://www.econbiz.de/10009673181
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7
Econometric analysis of present value models when the discount factor is near one
West, Kenneth D.
- In:
Journal of econometrics
171
(
2012
)
1
,
pp. 86-97
Persistent link: https://www.econbiz.de/10009686727
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8
A non-parametric independence test using permutation entropy
Matilla-García, Mariano
;
Marín, Manuel Ruiz
- In:
Journal of econometrics
144
(
2008
)
1
,
pp. 139-155
Persistent link: https://www.econbiz.de/10003723626
Saved in:
9
Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity
Luger, Richard
- In:
Journal of econometrics
115
(
2003
)
2
,
pp. 259-276
Persistent link: https://www.econbiz.de/10001768298
Saved in:
10
Robust score and portmanteau tests of volatility spillover
Aguilar, Mike
;
Hill, Jonathan B.
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 37-61
Persistent link: https://www.econbiz.de/10011326820
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