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~subject:"Correlation"
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A note on wavelet correlation...
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Correlation
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Pesaran, M. Hashem
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Gupta, Rangan
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Journal of econometrics
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Economics letters
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Energy economics
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Physica A: Statistical Mechanics and its Applications
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International journal of theoretical and applied finance
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The North American journal of economics and finance : a journal of financial economics studies
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Econometric theory
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European journal of operational research : EJOR
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Journal of risk and financial management : JRFM
27
The review of financial studies
27
Discussion paper / Centre for Economic Policy Research
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International journal of forecasting
24
Journal of financial econometrics : official journal of the Society for Financial Econometrics
24
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Cambridge working papers in economics
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Journal of economic dynamics & control
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The journal of futures markets
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CREATES research paper
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Games and economic behavior
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ECONIS (ZBW)
6,578
RePEc
239
EconStor
25
Other ZBW resources
8
BASE
7
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1
Modeling multivariate time series with fractional integration in macroeconomics and finance
Weigand, Roland
-
2018
Persistent link: https://www.econbiz.de/10012197752
Saved in:
2
Rejoinder : A Note on Wavelet
Correlation
and
Cointegration
Leong, Chee Kian
-
2014
This rejoinder highlights some of the differences in the test approach adopted by Fernandez-Macho (2013) in his critique of Leong and Huang (2010) and those commonly found in the literature such as Granger and Newbold(1974), Phillips (1986) and Leong and Huang (2010)
Persistent link: https://www.econbiz.de/10014143753
Saved in:
3
Multivariate fractional components analysis
Hartl, Tobias
;
Weigand, Roland
-
2019
Persistent link: https://www.econbiz.de/10011962831
Saved in:
4
Multivariate fractional components analysis
Hartl, Tobias
;
Jucknewitz, Roland
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 880-914
Persistent link: https://www.econbiz.de/10014314837
Saved in:
5
The analysis of nonstationary time series using regression,
correlation
and
cointegration
Johansen, Søren
- In:
Contemporary economics
6
(
2012
)
2
,
pp. 40-57
There are simple well-known conditions for the validity of regression and
correlation
as statistical tools. We analyse …
Persistent link: https://www.econbiz.de/10009767620
Saved in:
6
Neglected serial
correlation
tests in UCARIMA models
Fiorentini, Gabriele
;
Sentana, Enrique
- In:
SERIEs : Journal of the Spanish Economic Association
7
(
2016
)
1
,
pp. 121-178
We derive computationally simple and intuitive score tests of neglected serial
correlation
in unobserved component …
Persistent link: https://www.econbiz.de/10011458802
Saved in:
7
Trend and cyclical decoupling : new estimates based on spectral causality tests and wavelet correlations
Nachane, Dilip M.
;
Dubey, Amlendu Kumar
- In:
Applied economics
45
(
2013
)
31/33
,
pp. 4419-4428
Persistent link: https://www.econbiz.de/10010223399
Saved in:
8
Reducing the state space dimension in a large TVP-VAR
Chan, Joshua
;
Eisenstat, Eric
;
Strachan, Rodney W.
- In:
Journal of econometrics
218
(
2020
)
1
,
pp. 105-118
Persistent link: https://www.econbiz.de/10012482932
Saved in:
9
Estimating high dimensional multivariate stochastic volatility models
Pelagatti, Matteo
;
Sbrana, Giacomo
-
2020
Persistent link: https://www.econbiz.de/10012318391
Saved in:
10
Neglected serial
correlation
tests in UCARIMA models
Fiorentini, Gabriele
;
Sentana, Enrique
-
2014
Persistent link: https://www.econbiz.de/10011408229
Saved in:
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