Similar Search Results

Forecasting and interpolation using vector autoregressions with common trends

Fernández Macho, Francisco Javier

Persistent link: https://www.econbiz.de/10001268035

Estimation of simultaneous equation models with stochastic trend components

Streibel, Mariane - In: Journal of economic dynamics & control 17 (1993) 1, pp. 263-287

Persistent link: https://www.econbiz.de/10001136218

Estimating integrated higher-order continuous time autoregressions with an application to money-income causality

Harvey, Andrew C. - In: Journal of econometrics 42 (1989) 3, pp. 319-336

Persistent link: https://www.econbiz.de/10001072251

Stochastic trends in dynamic regression models : an application to the employment-output equation

Harvey, Andrew C. (contributor) - In: The economic journal : the journal of the Royal … 96 (1986), pp. 975-985

Persistent link: https://www.econbiz.de/10001039152

Multivariate stochastic variance models

Harvey, Andrew C. - In: The review of economic studies 61 (1994) 2, pp. 247-264

Persistent link: https://www.econbiz.de/10001160740

Estimation of an asymmetric stochastic volatility model for asset returns

Harvey, Andrew C. - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 4, pp. 429-434

Persistent link: https://www.econbiz.de/10001209347

Testing for a slowly changing level with special reference to stochastic volatility

Harvey, Andrew C. - In: Journal of econometrics 87 (1998) 1, pp. 167-189

Persistent link: https://www.econbiz.de/10001248302

Robust time series models with trend and seasonal components

Caivano, Michele; Harvey, Andrew C.; Luati, Alessandra - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 1, pp. 99-120

We describe observation driven time series models for Student-t and EGB2 conditional distributions in which the signal is a linear function of past values of the score of the conditional distribution. These specifications produce models that are easy to implement and deal with outliers by what...

Persistent link: https://www.econbiz.de/10011458780

Testing against changing correlation

Harvey, Andrew C.; Thiele, Stephen - In: Journal of empirical finance 38 (2016), pp. 575-589

Persistent link: https://www.econbiz.de/10011663373

Estimation and testing of stochastic variance models

Harvey, Andrew C.; Shephard, Neil G. - 1993

Persistent link: https://www.econbiz.de/10000868273