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Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - In: Journal of empirical finance 29 (2014), pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
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Measuring financial cycles in a model-based analysis : empirical evidence for the United States and the euro area
Galati, Gabriele; Hindrayanto, Irma; Koopman, Siem Jan; … - In: Economics letters 145 (2016), pp. 83-87
Persistent link: https://www.econbiz.de/10011618230
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Forecasting macroeconomic variables using collapsed dynamic factor analysis
Bräuning, Falk; Koopman, Siem Jan - In: International journal of forecasting 30 (2014) 3, pp. 572-584
Persistent link: https://www.econbiz.de/10010513606
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Realized Wishart-GARCH : a score-driven multi-asset volatility model
Gorgi, P.; Hansen, Peter Reinhard; Janus, Paweł; … - In: Journal of financial econometrics 17 (2019) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10012054424
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A moving average heterogeneous autoregressive model for forecasting the realized volatility of the US stock market : evidence from over a century of data
Salisu, Afees A.; Gupta, Rangan; Ogbonna, Ahamuefula E. - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 384-400
Persistent link: https://www.econbiz.de/10012814585
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On trends and constants in periodic autoregressions
Paap, Richard; Franses, Philip Hans - In: Econometric reviews 18 (1999) 3, pp. 271-286
Persistent link: https://www.econbiz.de/10001405015
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The modeling and seasonal adjustment of weekly observations
Harvey, Andrew C. - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 3, pp. 354-368
Persistent link: https://www.econbiz.de/10001222712
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Outlier detection in cointegration analysis
Franses, Philip Hans - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 4, pp. 459-468
Persistent link: https://www.econbiz.de/10001251800
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The effects of additive outliers on tests for unit roots and cointegration
Franses, Philip Hans - In: Journal of business & economic statistics : JBES ; a … 12 (1994) 4, pp. 471-478
Persistent link: https://www.econbiz.de/10001170590
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On seasonal cycles, unit roots, and mean shifts
Franses, Philip Hans - In: The review of economics and statistics 80 (1998) 2, pp. 231-245
Persistent link: https://www.econbiz.de/10001240839