Narrow search
Showing 1 - 10 of 2,081
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
The structure of multivariate AR and ARMA systems : regular and singular systems; the single and the mixed frequency case
Anderson, Brian D. O.; Deistler, Manfred; Felsenstein, … - In: Journal of econometrics 192 (2016) 2, pp. 366-373
Persistent link: https://www.econbiz.de/10011704722
Cover Image
Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data
Zadrozny, Peter A. - In: Journal of econometrics 193 (2016) 2, pp. 438-446
Persistent link: https://www.econbiz.de/10011704992
Cover Image
A nonlinear long memory model, with an application to US unemployment
Dijk, Dick van; Franses, Philip Hans; Paap, Richard - In: Journal of econometrics 110 (2002) 2, pp. 135-165
Persistent link: https://www.econbiz.de/10001703505
Cover Image
Stationarity of multivariateMarkov-switching ARMA models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 102 (2001) 2, pp. 339-364
Persistent link: https://www.econbiz.de/10001580640
Cover Image
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