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Cross- and auto-correlation effects arising from averaging : the case of US interest rates and equity duration

Hallerbach, Winfried G. - In: Applied financial economics 13 (2003) 4, pp. 287-294

Persistent link: https://www.econbiz.de/10001748451

Cross- and auto-correlation effects arising from averaging : the case of US interest rates and equity duration

Hallerbach, Winfried G. - 2000

Persistent link: https://www.econbiz.de/10001503370

Linearity testing in time-varying smooth transition autoregressive models under unknown degree of persistence

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Nonparametric lag selection for nonlinear additive autoregressive models

Guo, Zheng-feng; Shintani, Mototsugu - In: Economics letters 111 (2011) 2, pp. 131-134

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Generalized autoregressive method of moments

Creal, Drew; Koopman, Siem Jan; Lucas, André; … - 2015

We introduce a new estimation framework which extends the Generalized Method of Moments (GMM) to settings where a subset of the parameters vary over time with unknown dynamics. To filter out the dynamic path of the time-varying parameter, we approximate the dynamics by an autoregressive process...

Persistent link: https://www.econbiz.de/10011431471