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Fractionally integrated generalized autoregressive conditional heteroskedasticity
Baillie, Richard; Bollerslev, Tim; Mikkelsen, Hans Ole Æ. - 1994 - current version
Persistent link: https://www.econbiz.de/10000891757
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GMM estimation of ARFIMA processes : an alternative approach and a SUR extension
Mikkelsen, Hans Ole Æ. - 1994
Persistent link: https://www.econbiz.de/10000896212
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Modeling and pricing long-memory in stock market volatility
Bollerslev, Tim; Mikkelsen, Hans Ole Æ. - 1994
Persistent link: https://www.econbiz.de/10000896214
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Present value models and non-stationary time-series : an introduction, and a summary of the thesis
Engsted, Tom - 1993
Persistent link: https://www.econbiz.de/10000859623
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Money demand during hyperinflation : cointegration, rational expectations, and the importance of money demand shocks
Engsted, Tom - 1997
Persistent link: https://www.econbiz.de/10000959730
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Granger's representation theorem and multicointegration
Engsted, Tom; Johansen, Søren - 1997
Persistent link: https://www.econbiz.de/10000959732
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The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries
Guo, Hui (contributor); Savickas, Robert (contributor) - 2006
Persistent link: https://www.econbiz.de/10003740047
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Multivariate contemporaneous threshold autoregressive models
Dueker, Michael; Psaradakis, Zacharias G.; Sola, Martin; … - 2007
Persistent link: https://www.econbiz.de/10003740624
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Real interest rate persistence : evidence and implications
Neely, Christopher J. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003741438