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The use of quadratic filter for the estimation of time-varying β
Gastaldi, M.; Germani, A.; Nardecchia, A. - In: Computational finance and its applications II : [Second …, (pp. 215-224). 2006
Persistent link: https://www.econbiz.de/10003410161
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Bandwidth choice, optimal rates and adaptivity in semiparametric estimation of long memory
Henry, Marc - In: Long memory in economics : with 50 tables, (pp. 157-172). 2006
Persistent link: https://www.econbiz.de/10003375637
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Wavelet analysis of nonlinear long-range dependent processes : applications to financial time series
Teyssière, Gilles; Abry, Patrice - In: Long memory in economics : with 50 tables, (pp. 173-238). 2006
Persistent link: https://www.econbiz.de/10003375645
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Volatility in discrete and continuous-time models : a survey with new evidence on large and small jumps
Duong, Diep; Swanson, Norman R. - 2011
Persistent link: https://www.econbiz.de/10009698154
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Locally time homogeneous time series modelling
Elagin, Mstislav; Spokojnyj, Vladimir G. - In: Applied quantitative finance, (pp. 345-361). 2009
Persistent link: https://www.econbiz.de/10003746421
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Estimation of long-memory time series models : a survey of different likelihood-based methods
Chan, Ngai Hang; Palma, Wilfredo - 2006
Persistent link: https://www.econbiz.de/10003350086
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Unit root testing in integer-valued AR(1) models
Hellström, Jörgen - In: Count data autoregression modelling, (pp. 1-6). 1999
Persistent link: https://www.econbiz.de/10001423432
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Generalized integer-valued autoregression
Brännäs, Kurt; Hellström, Jörgen - In: Count data autoregression modelling, (pp. 1-20). 1999
Persistent link: https://www.econbiz.de/10001424834
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A new approach to modelling and forecasting monthly guest nights in hotels
Brännäs, Kurt; Hellström, Jörgen; Nordström, Jonas - In: Count data autoregression modelling, (pp. 1-12). 1999
Persistent link: https://www.econbiz.de/10001424840
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Nonparametric smoothing and quantile estimation in time series
Abberger, Klaus - In: Risk measurement, econometrics and neural networks : …, (pp. 1-16). 1998
Persistent link: https://www.econbiz.de/10001305364