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Forecasting random walks under drift instability
Pesaran, M. Hashem (contributor); Pick, Andreas (contributor) - 2008
Persistent link: https://www.econbiz.de/10003711763
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Can the random walk model be beaten in out-of-sample density forecasts? : Evidence form intraday foreign exchange rates
Hong, Yongmiao; Li, Haitao; Zhao, Feng - In: Journal of econometrics 141 (2007) 2, pp. 736-776
Persistent link: https://www.econbiz.de/10003571349
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Modelling financial time series
Taylor, Stephen - 2007 - 2. edition
Persistent link: https://www.econbiz.de/10003553502
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Random walk versus multiple trend breaks in stock prices : evidence from 15 European markets
Narayan, Paresh Kumar; Smyth, Russell - In: Applied financial economics letters 2 (2006) 1, pp. 1-7
Persistent link: https://www.econbiz.de/10003301478
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Nonlinearity, nonstationarity, and thick tails : how they interact to generate persistence in memory
Miller, J. Isaac; Park, Joon Y. - In: Journal of econometrics 155 (2010) 1, pp. 83-89
Persistent link: https://www.econbiz.de/10003965416
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Nonparametric specification testing for nonlinear time series with nonstationarity
Gao, Jiti; King, Maxwell L.; Lu, Zu-di; Tjøstheim, Dag - 2009
Persistent link: https://www.econbiz.de/10003813943
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Statistical inference in multifractal random walk models for financial time series
Sattarhoff, Cristina - 2011
Persistent link: https://www.econbiz.de/10008990625
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A multivariate random walk model with slowly changing drift and cross-correlation applied to finance
Feng, Yuanhua; Hand, D. J.; Yu, Keming - 2012
Persistent link: https://www.econbiz.de/10009572920
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The behavior of interest rates and credit flows : persistence and cycles
Busch, Ulrike - 2011
Persistent link: https://www.econbiz.de/10009490397
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A note on cointegration of international stock market indices
Dimpfl, Thomas - In: International review of financial analysis 33 (2014), pp. 10-16
Persistent link: https://www.econbiz.de/10010520092