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Discrete Fourier transform filters : cycle extraction and Gibbs effect considerations
Hinich, Melvin J.; Foster, John; Wild, Phillip - In: Macroeconomic dynamics 13 (2009) 4, pp. 523-534
Persistent link: https://www.econbiz.de/10003888730
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Identifying nonlinear serial dependence in volatile, high-frequency time series and its implications for volatility modeling
Wild, Phillip; Foster, John; Hinich, Melvin J. - In: Macroeconomic dynamics 14 (2010), pp. 88-110
Persistent link: https://www.econbiz.de/10003981218
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IDENTIFYING NONLINEAR SERIAL DEPENDENCE IN VOLATILE, HIGH-FREQUENCY TIME SERIES AND ITS IMPLICATIONS FOR VOLATILITY MODELING
Wild, Phillip; Foster, John; Hinich, Melvin J. - In: Macroeconomic dynamics 14 (2010), pp. 88-111
Persistent link: https://www.econbiz.de/10008417353
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DISCRETE FOURIER TRANSFORM FILTERS: CYCLE EXTRACTION AND GIBBS EFFECT CONSIDERATIONS
Hinich, Melvin J.; Foster, John; Wild, Phillip - In: Macroeconomic dynamics 13 (2009) 4, pp. 523-534
Persistent link: https://www.econbiz.de/10008310568