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A note on updating forecasts when new information arrives between two periods
Chen, Pu - 2009
information arrives between the current period and the next period. To use the information that arrives between two periods, he … information arrives between the current period and the next period. He demonstrates by theoretical arguments and empirical …
Persistent link: https://www.econbiz.de/10003828904
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Information-theoretic analysis of serial dependence and cointegration
Aparicio, F. M. (contributor);  … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 3 (1998) 3, pp. 119-140
Persistent link: https://www.econbiz.de/10001769710
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Objective information and ignorance : notes on some priors in the Bayesian analysis of the AR(1) model
Schotman, Peter C. - 1992
Persistent link: https://www.econbiz.de/10000846612
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Investigating new sources of information and nonlinearities on financial markets
Behrendt, Simon - 2020
Persistent link: https://www.econbiz.de/10012415028
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Time series: entropy and informational energy
Mateescu, George Daniel - 2022
Persistent link: https://www.econbiz.de/10013489493
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Forecasting crime data : an econometric analysis
Fox, James Alan - 1978
Persistent link: https://www.econbiz.de/10000001796
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Frequency domain principal components estimation of fractionally cointegrated processes
Morana, Claudio - 2004
In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...
Persistent link: https://www.econbiz.de/10009636544
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Testing the adequacy of smooth transition autoregressive models
Eitrheim, Øyvind; Teräsvirta, Timo - 1993
Persistent link: https://www.econbiz.de/10000882121
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Fractionally integrated models with ARCH errors
Hauser, Michael A.; Kunst, Robert M. - 1994
Persistent link: https://www.econbiz.de/10000882159