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Stochastic process
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Econometric reviews
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Economics letters
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Working paper / Department of Econometrics and Business Statistics, Monash University
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ECONIS (ZBW)
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1
How close is a fractional process to a random walk with drift?
Larsson, Rolf
- In:
Journal of time series econometrics
7
(
2015
)
2
,
pp. 217-234
Persistent link: https://www.econbiz.de/10011291296
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2
Modelling financial time series
Taylor, Stephen
-
2007
-
2. edition
Persistent link: https://www.econbiz.de/10003553502
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3
Entrance times of random walks : with applications to pension fund modeling
Fiig Jarner, Søren
;
Tolver Kronborg, Morten
- In:
Insurance / Mathematics & economics
67
(
2016
),
pp. 1-20
Persistent link: https://www.econbiz.de/10011457142
Saved in:
4
Tests of common stochastic trends
Nyblom, Jukka
;
Harvey, Andrew C.
- In:
Econometric theory
16
(
2000
)
2
,
pp. 176-199
Persistent link: https://www.econbiz.de/10001483364
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5
Testing against smooth stochastic trends
Nyblom, Jukka
;
Harvey, Andrew C.
- In:
Journal of applied econometrics
16
(
2001
)
3
,
pp. 415-429
Persistent link: https://www.econbiz.de/10001592354
Saved in:
6
An optimal test against a random walk component in a non-orthogonal unobserved components model
Bailey, Ralph W.
;
Taylor, Robert
- In:
The econometrics journal
5
(
2002
)
2
,
pp. 520-532
Persistent link: https://www.econbiz.de/10001713335
Saved in:
7
The inverse range process in a random volatibility random walk
Tapiero, Charles S.
;
Valois, Pierre
-
2001
Persistent link: https://www.econbiz.de/10001625441
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8
Tests of common stochastic trends
Nyblom, Jukka
;
Harvey, Andrew C.
-
1999
Persistent link: https://www.econbiz.de/10001354556
Saved in:
9
Is violation of the random walk assumption an exception or a rule in capital markets?
Dittrich, Ludwig O.
;
Srbek, Pavel
- In:
Atlantic economic journal : AEJ
48
(
2020
)
4
,
pp. 491-501
Persistent link: https://www.econbiz.de/10012485200
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10
Time scale and fractionality in financial time series
Sproul, Thomas W.
- In:
Agricultural finance review
76
(
2016
)
1
,
pp. 76-93
Persistent link: https://www.econbiz.de/10011695555
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