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Modeling multivariate time series with fractional integration in macroeconomics and finance

Weigand, Roland - 2018

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

Rejoinder : A Note on Wavelet Correlation and Cointegration

Leong, Chee Kian - 2014

This rejoinder highlights some of the differences in the test approach adopted by Fernandez-Macho (2013) in his critique of Leong and Huang (2010) and those commonly found in the literature such as Granger and Newbold(1974), Phillips (1986) and Leong and Huang (2010)

Persistent link: https://www.econbiz.de/10014143753

State-space cointegration modeling for the analysis of exogenous shocks to prices in Israeli-Palestinian food trade

Ihle, Rico; Götz, Linde Johanna; Rubin, Ofir D. - 2011

employing the Kalman filter. The time-varying cointegration parameters suggest that the security measures indeed impacted price …

Persistent link: https://www.econbiz.de/10010356541

The analysis of nonstationary time series using regression, correlation and cointegration

Johansen, Søren - In: Contemporary economics 6 (2012) 2, pp. 40-57

There are simple well-known conditions for the validity of regression and correlation as statistical tools. We analyse …

Persistent link: https://www.econbiz.de/10009767620

Neglected serial correlation tests in UCARIMA models

Fiorentini, Gabriele; Sentana, Enrique - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 1, pp. 121-178

We derive computationally simple and intuitive score tests of neglected serial correlation in unobserved component …

Persistent link: https://www.econbiz.de/10011458802

Trend and cyclical decoupling : new estimates based on spectral causality tests and wavelet correlations

Nachane, Dilip M.; Dubey, Amlendu Kumar - In: Applied economics 45 (2013) 31/33, pp. 4419-4428

Persistent link: https://www.econbiz.de/10010223399

Reducing the state space dimension in a large TVP-VAR

Chan, Joshua; Eisenstat, Eric; Strachan, Rodney W. - In: Journal of econometrics 218 (2020) 1, pp. 105-118

Persistent link: https://www.econbiz.de/10012482932

Estimating high dimensional multivariate stochastic volatility models

Pelagatti, Matteo; Sbrana, Giacomo - 2020

Persistent link: https://www.econbiz.de/10012318391

Neglected serial correlation tests in UCARIMA models

Fiorentini, Gabriele; Sentana, Enrique - 2014

Persistent link: https://www.econbiz.de/10011408229

Robustness of a Noise Filtering Procedure for Correlation Matrices : B. Filtering of Deliberately Introduced Noise from 'True' Correlation Matrices

Izmailov, Alexander - 2014

noise filtering procedure was applied first to an empirical correlation matrix and, second, to the matrix built from the … same time series deliberately contaminated with noise. The final, noise filtered correlation matrices, were practically the … measures that gave average distance between off-diagonal elements of correlation matrices obtained as a result of noise …

Persistent link: https://www.econbiz.de/10013060875

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