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Nonparametric regression with nearly integrated regressors under long-run dependence
Cai, Zongwu; Jing, Bingyi; Kong, Xinbing; Liu, Zhi - In: The econometrics journal 20 (2017) 1, pp. 118-138
Persistent link: https://www.econbiz.de/10011719971
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A study of excess volatility of gold and silver
Kayal, Parthajit; Maheswaran, S. - In: IIMB management review 33 (2021) 2, pp. 133-145
Persistent link: https://www.econbiz.de/10013205212
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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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Pitfalls in bootstrapping spurious regression
Phillips, Peter C. B. - In: Journal of quantitative economics 19 (2021), pp. 163-217
Persistent link: https://www.econbiz.de/10013441715
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About stochastic calculus in presence of jumps at predictable stopping times
Galtchouk, Leonid - In: Journal of mathematical finance 6 (2016) 3, pp. 443-456
Persistent link: https://www.econbiz.de/10011583560
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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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Output volatility and savings in a stochastic Goodwin economy
Jungeilges, Jochen A.; Ryazanova, Tatyana - In: Eurasian economic review : a journal in applied … 8 (2018) 3, pp. 355-380
Persistent link: https://www.econbiz.de/10011941368
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Sample path properties of an explosive double autoregressive model
Liu, Feng; Li, Dong; Kang, Xinmei - In: Econometric reviews 37 (2018) 1/5, pp. 484-490
Persistent link: https://www.econbiz.de/10012039365
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Double AR model without intercept : an alternative to modeling nonstationarity and heteroscedasticity
Li, Dong; Shaojun, Guo; Zhu, Ke - In: Econometric reviews 38 (2019) 3, pp. 319-331
Persistent link: https://www.econbiz.de/10012181294
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On the growth rate of superadditive processes and the stability of functional GARCH models
Kandji, Baye Matar - 2023
Persistent link: https://www.econbiz.de/10014321021