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Econometric analysis of financial derivatives: an overview
Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 403-407
Persistent link: https://www.econbiz.de/10011499624
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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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Consistent inference for predictive regressions in persistent economic systems
Andersen, Torben; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 224 (2021) 1, pp. 215-244
Persistent link: https://www.econbiz.de/10013275373
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Asymptotic theory for near integrated processes driven by tempered linear processes
Sabzikar, Farzad; Wang, Qiying; Phillips, Peter C. B. - In: Journal of econometrics 216 (2020) 1, pp. 192-202
Persistent link: https://www.econbiz.de/10012439672
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Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 198 (2017) 1, pp. 165-188
Persistent link: https://www.econbiz.de/10011818374
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Long memory, fractional integration, and cross-sectional aggregation
Haldrup, Niels; Valdés, J. Eduardo Vera - In: Journal of econometrics 199 (2017) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10011818800
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Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 231 (2022) 2, pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
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Optimal forecasts in the presence of structural breaks
Pesaran, M. Hashem; Pick, Andreas; Pranovich, Mikhail - In: Journal of econometrics 177 (2013) 2, pp. 134-152
Persistent link: https://www.econbiz.de/10010254881
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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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Pre and post break parameter inference
Elliott, Graham; Müller, Ulrich K. - In: Journal of econometrics 180 (2014) 2, pp. 141-157
Persistent link: https://www.econbiz.de/10010433401