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Nonlinear long memory models with applications in finance
Zaffaroni, Paolo - 1997
Persistent link: https://www.econbiz.de/10001397476
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Whittle estimation of EGARCH and other exponential volatility models
Zaffaroni, Paolo - In: Journal of econometrics 151 (2009) 2, pp. 190-200
Persistent link: https://www.econbiz.de/10003877967
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Cross-sectional heterogeneity and the persistence of aggregate fluctuations
Michelacci, Claudio - 1998
Persistent link: https://www.econbiz.de/10000997472
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Cross-sectional heterogeneity and the persistence of aggregate fluctuations
Michelacci, Claudio - 1999
Persistent link: https://www.econbiz.de/10001425094
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Cross-sectional heterogeneity and the persistence of aggregate fluctuations
Michelacci, Claudio - In: Journal of monetary economics 51 (2004) 7, pp. 1321-1352
Persistent link: https://www.econbiz.de/10002388569
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Cross-sectional heterogeneity and the persistence of aggregate fluctuations
Michelacci, Claudio - 2004
Persistent link: https://www.econbiz.de/10002006736
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Nonlinear time series with long memory : a model for stochastic volatility
Robinson, Peter M.; Zaffaroni, Paolo - 1997
Persistent link: https://www.econbiz.de/10000954585
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Modelling nonlinearity and long memory in time series
Robinson, Peter M.; Zaffaroni, Paolo - 1997
Persistent link: https://www.econbiz.de/10000955132
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Nonlinear time series with long memory : a model for stochastics volatility
Robinson, Peter M.; Zaffaroni, Paolo - 1996
Persistent link: https://www.econbiz.de/10000985327
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Time series in high dimensions : the general dynamic factor model
Hallin, Marc (ed.); Lippi, Marco (ed.);  … - 2020
Persistent link: https://www.econbiz.de/10012002347