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Heteroskedastic intra-daily volatility in the foreign exchange market : estimation, identification and forecasting

Lin, Wen-ling Tsai - 1989

Persistent link: https://www.econbiz.de/10000825919

Rent-seeking trade policy : a time-series approach

Rama, Martin - 1993

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Meteor showers or heat waves? : heteroskedastic intra-daily volatility in the foreign exchange market

Engle, Robert F. - In: Econometrica : journal of the Econometric Society, an … 58 (1990) 3, pp. 525-542

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Reconstruction and dynamic dependence analysis of global economic policy uncertainty

Liu, Yue; Zheng, Yuhang; Drakeford, Benjamin M - In: Quantitative finance and economics 3 (2019) 3, pp. 550-561

Persistent link: https://www.econbiz.de/10012176595

Meteor showers or heat waves? : heteroskedastic intra-daily volatility in the foreign exchange market

Engle, Robert F.; Itō, Takatoshi; Lin, Wen-ling - 1988

Persistent link: https://www.econbiz.de/10000133228

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