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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
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A Gibbs sampler for Beyesian ARCH-models
Korn, Olaf - 1993
Persistent link: https://www.econbiz.de/10000883045
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Simulation and estimation of long memory continuous time models
Comte, Fabienne - 1994
Persistent link: https://www.econbiz.de/10000883136
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Estimation and testing in integer-valued AR(1) models
Brännäs, Kurt - 1993
Persistent link: https://www.econbiz.de/10000883935
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Statics and dynamics of income distribution
Creedy, John - 1994
Persistent link: https://www.econbiz.de/10000883953
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Desestacionalización de series económicas : un ejercicio con el IPC
Aracena D., Francisco; Basch H., Miguel; Valdés, Rodrigo O. - 1993
Persistent link: https://www.econbiz.de/10000884102
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Comportamiento reciente del mercado accionario chileno : una aplicación de tests de volatilidad y eficiencia
Basch H., Miguel; Budnevich L., Carlos - 1993
Persistent link: https://www.econbiz.de/10000884104
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The predictive ability of several models of exchange rate volatility
West, Kenneth D.; Cho, Dongchul - 1994
Persistent link: https://www.econbiz.de/10000884768