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Forecasting volatility under fractality, regime-switching, long memory and student-t innovations
Lux, Thomas; Morales-Arias, Leonardo - 2009
-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models … (GMM) estimation are both suitable for MSM-t models, (ii) empirical panel forecasts of MSM-t models show an improvement …
Persistent link: https://www.econbiz.de/10010265243
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Trend und Zyklus im Bruttoinlandsprodukt der Bundesrepublik Deutschland - eine Anmerkung
Meier, Carsten-Patrick - 2000
This note shows that German real GDP follows a trend-stationary process. Both tests which have trend-stationarity as the alternative hypothesis as well as tests that have it under the null hypothesis prefer the trend-stationary model. Explicit consideration of breaks in the trend is not...
Persistent link: https://www.econbiz.de/10010265453