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Persistence, long memory, and unit roots in commodity prices
Gil-Alaña, Luis A.; Cuñado Eizaguirre, Juncal; Perez … - In: Canadian journal of agricultural economics : CJAE 60 (2012) 4, pp. 451-468
Persistent link: https://www.econbiz.de/10009687939
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The gravitation of market prices as a stochastic process
Fratini, Saverio M.; Naccarato, Alessia - In: Metroeconomica : international review of economics 67 (2016) 4, pp. 698-716
Persistent link: https://www.econbiz.de/10011577683
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Modeling the dynamis of international agricultural commodity prices : a comparison of GARCH and stochastic volatility models
Yang, Lu; Hamori, Shigeyuki - In: Annals of financial economics 13 (2018) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10011958469
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Exchange rate dynamics in integrated markets
Aguirre, Maria Sophia - In: International advances in economic research : IAER ; an … 3 (1997) 3, pp. 269-280
Persistent link: https://www.econbiz.de/10001228216
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The correlation integral and the independence of Gaussian and related processes
Dechert, W. Davis - 1994 - Rev
Persistent link: https://www.econbiz.de/10000896409
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Sharing stochastic trends
Pellegrini, Guido - 1992 - Rev
Persistent link: https://www.econbiz.de/10000861948
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A time series model with periodic stochastic regime switching
Ghysels, Eric - 1993
Persistent link: https://www.econbiz.de/10000865918
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Heteroscedasticity in non-stationary time series : some Monte Carlo evidence
Haldrup, Niels - 1992
Persistent link: https://www.econbiz.de/10000842147
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A consistent test for the null of stationarity against the alternative of a unit root
Kahn, James A.; Ōgaki, Masao - 1991
Persistent link: https://www.econbiz.de/10000826504
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An application of the stochastic garch in mean model to risk premia in the London metal exchange
Hall, Stephen G. - 1990
Persistent link: https://www.econbiz.de/10000130882