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A score statistic for testing the presence of a stochastic trend in conditional variances

Hong, Yongmiao; Linton, Oliver; McCabe, Brendan Peter Martin - In: Economics letters 213 (2022), pp. 1-6

Persistent link: https://www.econbiz.de/10013442141

Essentials of time series for financial applications

Guidolin, Massimo; Pedio, Manuela - 2018

-Correction Models; References; Chapter 5. Single-Factor Conditionally Heteroskedastic Models, ARCH and GARCH; Abstract; 5.1 Stylized … for ARCH; 5.5 Forecasting With GARCH Models; 5.6 Estimation of and Inference on GARCH Models; References; Appendix 5.A … Nonparametric Kernel Density Estimation; Chapter 6. Multivariate GARCH and Conditional Correlation Models …

Persistent link: https://www.econbiz.de/10012384956

Statistical fourier analysis : clarifications and interpretations

Pollock, David Stephen G. (contributor) - 2008

This paper expounds some of the results of Fourier theory that are essential to the statistical analysis of time series. It employs the algebra of circulant matrices to expose the structure of the discrete Fourier transform and to elucidate the filtering operations that may be applied to finite...

Persistent link: https://www.econbiz.de/10003795221

Prerequisites for modeling price and return data series for the Bucharest Stock Exchange

Tinca, Andrei - In: Theoretical and applied economics : GAER review 20 (2013) 11, pp. 117-126

Persistent link: https://www.econbiz.de/10010224748

Macroeconomic forecasting with mixed-frequency data : forecasting output growth in the United States

Clements, Michael P.; Galvão, Ana Beatriz C. - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 4, pp. 546-554

Persistent link: https://www.econbiz.de/10003772314

On the advantages of disaggregated data : insights from forecasting the US economy in a data-rich environment

Perevalov, Nikita; Maier, Philipp - 2010

The good forecasting performance of factor models has been well documented in the literature. While many studies focus on a very limited set of variables (typically GDP and inflation), this study evaluates forecasting performance at disaggregated levels to examine the source of the improved...