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Long memory with Markov-switching GARCH
Krämer, Walter (contributor) - 2006
The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives su±cient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation that estimated GARCH-parameters often...
Persistent link: https://www.econbiz.de/10003385665
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Long memory with Markov-Switching GARCH
Krämer, Walter - In: Economics letters 99 (2008) 2, pp. 390-392
Persistent link: https://www.econbiz.de/10003723848
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Asymptotic equivalence of ordinary lest squares and generalized least squares with trending regressors and stationary autoregressive disturbances
Krämer, Walter - In: Econometrics in theory and practice : Festschrift for …, (pp. 137-142). 1998
Persistent link: https://www.econbiz.de/10001301449
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Finite sample power of Cliff-Ord-type-tests for spatial disturbance correlation in linear regression
Krämer, Walter - 2002
Persistent link: https://www.econbiz.de/10001742242
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The robustness of the F-test to spatial autocorrelation among regression disturbances
Krämer, Walter - 2002
Persistent link: https://www.econbiz.de/10001742293
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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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A Hausman test with trending data
Krämer, Walter - In: Economics letters 19 (1985) 4, pp. 323-325
Persistent link: https://www.econbiz.de/10001008946
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Short-term predictability of German stock returns
Krämer, Walter - In: Empirical economics : a journal of the Institute for … 23 (1998) 4, pp. 635-639
Persistent link: https://www.econbiz.de/10001254518
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Fractional integration and the augmented dickey-fuller test
Krämer, Walter - 1997
Persistent link: https://www.econbiz.de/10010467732