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Modeling high dimensional time series for factors driving volatility strings
Mungo, Julius - 2009
Persistent link: https://www.econbiz.de/10003835521
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Time varying adaptive copulae and dynamic semiparametric factor models with applications in finance
Giacomini, Enzo - 2009
Persistent link: https://www.econbiz.de/10003931427
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Penalized spline smoothing in financial and economic research
Wegener, Michael - 2012
Persistent link: https://www.econbiz.de/10009719940
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Nonlinear time series : nonparametric and parametric methods
Fan, Jianqing; Yao, Qiwei - 2005
Persistent link: https://www.econbiz.de/10002759942
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Unit root testing in panel and time series models : new tests and economic applications
Siedenburg, Florian - 2010
In this dissertation new test statistics for the (panel) unit root hypothesis are presented. Besides a novel approach to testing the unit root hypothesis in univariate time series, the major part of this thesis is dedicated to unit root testing in cross sectionally dependent panels with...
Persistent link: https://www.econbiz.de/10008732374
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Power Coefficient - a non-parametric indicator for measuring the time series dynamics
Pecar, B. - In: Computational finance and its applications II : [Second …, (pp. 413-421). 2006
Persistent link: https://www.econbiz.de/10003410236
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Measuring risk in complex stochastic systems
Franke, Jürgen (ed.) - 2000
Persistent link: https://www.econbiz.de/10001464339
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Applied time series econometrics
Lütkepohl, Helmut (ed.); Krätzig, Markus (contributor) - 2009 - Transferred to digital printing
Persistent link: https://www.econbiz.de/10009702029
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Applied time series econometrics
Lütkepohl, Helmut (contributor);  … - 2004
Persistent link: https://www.econbiz.de/10001851355