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Essays on financial time series with a focus on high-frequency data

Becker, Janis - 2020

Persistent link: https://www.econbiz.de/10012225306

Modeling multivariate time series with fractional integration in macroeconomics and finance

Weigand, Roland - 2018

Persistent link: https://www.econbiz.de/10012197752

Relationship between ETFs and underlying indices : a fractional cointegration approach

Saha, Kunal; Madhavan, Vinodh; Chandrashekhar, G. R. - In: Applied economics 55 (2023) 27, pp. 3184-3193

Persistent link: https://www.econbiz.de/10014299141

Estimation of a dynamic multi-level factor model with possible long-range dependence

Ergemen, Yunus Emre; Rodríguez-Caballero, Carlos Vladimir - In: International journal of forecasting 39 (2023) 1, pp. 405-430

Persistent link: https://www.econbiz.de/10014462789

Modelling systems with a mixture of I(d) and I(0) variables using the fractionally co-integrated VAR model

Yao, Xingzhi; Izzeldin, Marwan; Li, Zhenxiong - In: Economics letters 181 (2019), pp. 160-163

Persistent link: https://www.econbiz.de/10012121857

Consumption, aggregate wealth and expected stock returns : an FCVAR approach

Quineche, Ricardo - In: Journal of time series econometrics 13 (2021) 1, pp. 21-42

Persistent link: https://www.econbiz.de/10012437824

Forecasting daily political opinion polls using the fractionally cointegrated VAR model

Nielsen, Morten Ørregaard; Shibaev, Sergei S. - 2015

We examine forecasting performance of the recent fractionally cointegrated vector autoregressive (FCVAR) model. The model is applied to daily polling data of political support in the United Kingdom for 2010 - 2015. We compare with popular competing models and at various forecast horizons. Our...

Persistent link: https://www.econbiz.de/10011279787

Consumption, aggregate wealth and expected stock returns : a fractional cointegration approach

Ren, Yu; Xie, Tian - In: Quantitative finance 18 (2018) 12, pp. 2101-2112

Persistent link: https://www.econbiz.de/10012262986

Chinese economic behavior in times of COVID-19 : a new leading economic indicator based on Google trends

Monge González, Manuel; Claudio-Quiroga, Gloria; Poza, … - In: International economics : the quarterly journal in … 177 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10014534629

Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions

Guillén, Osmani Teixeira de Carvalho; Hecq, Alain W. J.; … - 2013

Persistent link: https://www.econbiz.de/10011455896

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