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Inference for the VEC(1) model with a heavy-tailed linear process errors
Guo, Feifei; Ling, Shiqing - In: Econometric reviews 42 (2023) 9/10, pp. 806-833
Persistent link: https://www.econbiz.de/10014420347
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Fractals in trade duration : capturing long-range dependence and heavy tailedness in modeling trade duration
Sun, Wei; Račev, Svetlozar T.; Fabozzi, Frank J.; … - In: Annals of finance 4 (2008) 2, pp. 217-241
Persistent link: https://www.econbiz.de/10003644932
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The waiting-time distribution of trading activity in a double auction artificial financial market
Cincotti, Silvano; Focardi, Sergio M.; Ponta, Linda; … - In: The complex networks of economic interactions : essays …, (pp. 239-247). 2005
Persistent link: https://www.econbiz.de/10003261456
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A numerical method to determine the waiting time and the idle time distributions of a GI/G/1 queue when inter-arrival times and/or service times have geometric tails
Grassmann, Winfried K.; Tavakoli, Javad - In: INFOR : information systems and operational research 57 (2019) 2, pp. 286-295
Persistent link: https://www.econbiz.de/10012203557
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Bubbles and the Weibull distribution : was there an explosive bubble in US stock prices before the global economic crisis?
Yuhn, Ky-hyang; Kim, Sang Bong; Nam, Chu-ha - In: Applied economics 47 (2015) 1/3, pp. 255-271
Persistent link: https://www.econbiz.de/10010463934
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An extension of cointegration to fractional autoregressive processes
Johansen, Søren - 2010
Persistent link: https://www.econbiz.de/10008663021
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An extension of cointegration to fractional autoregressive processes
Johansen, Søren - 2011
Persistent link: https://www.econbiz.de/10008810484
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Normalization in econometrics
Hamilton, James D.; Waggoner, Daniel F.; Zha, Tao - In: Econometric reviews 26 (2007) 2, pp. 221-252
Persistent link: https://www.econbiz.de/10003509123
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A multiplicative error model with heterogeneous components for forecasting realized volatility
Han, Heejoon; Park, Myung D.; Zhang, Shen - In: Journal of forecasting 34 (2015) 3, pp. 209-219
Persistent link: https://www.econbiz.de/10011305259
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Three essays on the econometric analysis of high-frequency data
Malec, Peter - 2013
Persistent link: https://www.econbiz.de/10009788959