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Aggregation, persistence and volatility in a macromodel
Abadir, Karim Maher; Talmain, Gabriel - 2001
Persistent link: https://www.econbiz.de/10001600200
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Aggregation, persistence and volatility in a macro model
Abadir, Karim Maher; Talmain, Gabriel - In: The review of economic studies 69 (2002) 4, pp. 749-779
Persistent link: https://www.econbiz.de/10001706120
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Aggregation and persistence in a macromodel
Abadir, Karim Maher; Talmain, Gabriel - 1999
Persistent link: https://www.econbiz.de/10001462894
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Relationship between real exchange rate and consumption in Nigeria : a nonlinear approach
Babangida, Jamilu S.; Sanusi, Aliyu R.; Yusuf, Isah M. - In: CBN journal of applied statistics 12 (2021) 2, pp. 125-148
This study analyses the relationship between real exchange rate and domestic con- sumption in Nigeria using the Smooth Transition Autoregressive (STAR) model from 1981Q1 to 2019Q4. Findings show that domestic consumption determines the regime shift in real exchange rate, suggesting a nonlinear...
Persistent link: https://www.econbiz.de/10013272886
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Aggregation, Persistence and Volatility in a Macro Model
Abadir, Karim M. - 2012
persistence, which ends abruptly with a sudden change of tendency, giving its Auto-Correlation Function (ACF) an S-shape. Although …
Persistent link: https://www.econbiz.de/10013112363
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Prerequisites for modeling price and return data series for the Bucharest Stock Exchange
Tinca, Andrei - In: Theoretical and applied economics : GAER review 20 (2013) 11, pp. 117-126
Persistent link: https://www.econbiz.de/10010224748
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A latent factor model for forecasting realized variances
Calzolari, Giorgio; Halbleib, Roxana; Zagidullina, Aygul - In: Journal of financial econometrics 19 (2021) 5, pp. 860-909
Persistent link: https://www.econbiz.de/10012799052
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Drawdown measures and return moments
Möller, Philipp M. - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-42
Persistent link: https://www.econbiz.de/10011957033
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Uncovering hidden insights with long-memory process detection : an in-depth overview
Hassani, Hossein; Yarmohammadi, Masoud; Marvian, Leila - In: Risks : open access journal 11 (2023) 6, pp. 1-15
using the sample autocorrelation function (ACF) to identify long-memory processes. While the ACF establishes the theoretical …
Persistent link: https://www.econbiz.de/10014335857
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Periodic gamma autoregressive model : an application to the Brazilian hydroelectric system
Braga, Diogo; Calmon, Wilson - In: RAIRO / Operations research 51 (2017) 2, pp. 469-483
Persistent link: https://www.econbiz.de/10011776764