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Long memory vs. structural change in financial time series
Krämer, Walter; Sibbertsen, Philipp; Kleiber, Christian - In: Allgemeines statistisches Archiv : AStA ; journal of … 86 (2002) 1, pp. 83-96
Persistent link: https://www.econbiz.de/10001650471
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The power of the KPSS-test for cointegration when residuals are fractionally integrated
Sibbertsen, Philipp; Krämer, Walter - In: Economics letters 91 (2006) 3, pp. 321-324
Persistent link: https://www.econbiz.de/10003333609
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Kointegration von Aktienkursen
Krämer, Walter - In: Schmalenbachs Zeitschrift für betriebswirtschaftliche … 51 (1999) 10, pp. 915-936
Persistent link: https://www.econbiz.de/10001410214
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the probability of a "Gross" violation of an efficient markets variance inequality
Krämer, Walter - In: Empirical economics : a journal of the Institute for … 20 (1995) 3, pp. 473-478
Persistent link: https://www.econbiz.de/10001190527
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Fractional integration and the augmented Dickey-Fuller test
Krämer, Walter - In: Economics letters 61 (1998) 3, pp. 269-272
Persistent link: https://www.econbiz.de/10001252469
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Evaluating probability forecasts in terms of refinement and strictly proper scoring rules
Krämer, Walter - In: Journal of forecasting 25 (2006) 3, pp. 223-226
Persistent link: https://www.econbiz.de/10003318082
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Information criteria for nonlinear time series models
Rinke, Saskia; Sibbertsen, Philipp - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 3, pp. 325-341
Persistent link: https://www.econbiz.de/10011507539
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The memory of volatility
Wenger, Kai R.; Leschinski, Christian H.; Sibbertsen, … - In: Quantitative finance and economics 2 (2018) 1, pp. 137-159
Persistent link: https://www.econbiz.de/10012137903
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A simple test on structural change in long-memory time series
Wenger, Kai; Leschinski, Christian; Sibbertsen, Philipp - In: Economics letters 163 (2018), pp. 90-94
Persistent link: https://www.econbiz.de/10011982960
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Essays on nonlinearities in time series : regime switching, outlying observations, and changes in persistence
Rinke, Saskia - 2017
Information criteria, nonlinearity, additive outliers, innovative outliers, change in persistence, outlier detection. - Informationskriterien, Nichtlinearität, additive Ausreißer, innovative Ausreißer, Persistenzbruch, Ausreißerermittlung
Persistent link: https://www.econbiz.de/10012123316