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Estimation of a multivariate cointegrated time series model with conditionally heteroskedastic disturbances
Carstensen, Kai - 1999 - (Rev. version)
Persistent link: https://www.econbiz.de/10001465498
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Element-by-element estimation of a volatility matrix : an Italian portfolio simulation
Naccarato, Alessia; Pierini, Andrea - In: Investment management and financial innovations 11 (2014) 3, pp. 34-43
Persistent link: https://www.econbiz.de/10010512185
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Thresholds and smooth transitions in vector autoregressive models
Hubrich, Kirstin; Teräsvirta, Timo - 2013
Persistent link: https://www.econbiz.de/10009751844
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Thresholds and smooth transitions in vector autoregressive models
Hubrich, Kirstin; Teräsvirta, Timo - In: VAR models in macroeconomics - new developments and …, (pp. 273-326). 2013
Persistent link: https://www.econbiz.de/10010252324
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Large panels and high-dimensional vector autoregressive models
Callot, Laurent - 2012
Persistent link: https://www.econbiz.de/10010204938
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A parametric approach to the estimation of cointegration vectors in panel data
Breitung, Jörg - In: Econometric reviews 24 (2005) 2, pp. 151-173
Persistent link: https://www.econbiz.de/10003002298
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A parametric approach to the estimation of cointegration vectors in panel data
Breitung, Jörg - 2002
Persistent link: https://www.econbiz.de/10001656716
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The monetary model of exchange rates and cointegration : estimation, testing and prediction
Gardeazabal, Javier - 1992
Persistent link: https://www.econbiz.de/10013278164
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Multivariate contemporaneous-threshold autoregressive models
Dueker, Michael; Psaradakis, Zacharias G.; Sola, Martin; … - In: Journal of econometrics 160 (2011) 2, pp. 311-325
Persistent link: https://www.econbiz.de/10009242250