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Robust estimation of ARMA models with near root cancellation

Cogley, Timothy; Startz, Richard - 2019

Persistent link: https://www.econbiz.de/10012244151

Estimation of log-GARCH models in the presence of zero returns

Sucarrat, Genaro; Escribano, Álvaro - In: The European journal of finance 24 (2018) 10/12, pp. 809-827

Persistent link: https://www.econbiz.de/10012244412

Simultaneous indirect inference, impulse responses and ARMA models

Khalaf, Lynda; Peraza López, Beatriz - In: Econometrics : open access journal 8 (2020) 2/12, pp. 1-26

Inference, in the context of Autoregressive Moving Average (ARMA) processes for finite samples. Resulting objective functions …

Persistent link: https://www.econbiz.de/10012265597

Dynamics of inflation and inflation uncertainty in Pakistan

Munir, Kashif; Riaz, Nimra - In: International journal of monetary economics and finance … 13 (2020) 2, pp. 130-145

Persistent link: https://www.econbiz.de/10012254279

Large Bayesian VARs : a flexible Kronecker error covariance structure

Chan, Joshua - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 68-79

Persistent link: https://www.econbiz.de/10012179513

Large Bayesian VARs : a flexible Kronecker error covariance structure

Chan, Joshua - 2015

Persistent link: https://www.econbiz.de/10011758202

Chapter 62 A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics

MaCurdy, Thomas - In: Handbook of econometrics : volume 6A, (pp. 4057-4167). 2007

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic relationships within a longitudinal data setting. The discussion surveys approaches for characterizing the micro dynamics of continuous dependent variables both over time and across...

Persistent link: https://www.econbiz.de/10014024953

Predicting stock return and volatility with machine learning and econometric models : a comparative case study of the Baltic stock market

Nõu, Anders; Lapitskaya, Darya; Eratalay, M. Hakan; … - In: International journal of computational economics and … 13 (2023) 4, pp. 446-489

Persistent link: https://www.econbiz.de/10014439728

Predicting volatility of bitcoin returns with ARCH, GARCH and EGARCH models

Yildirim, Hakan; Bekun, Festus Victor - In: Future Business Journal 9 (2023), pp. 1-8

root test and the series were found to be stationary. After reaching the average equation model as ARMA (2.2), it was … tested whether there was an ARCH effect in the ARMA (2,2) model. As a result of the applied ARCH-LM test, it is reached that …

Persistent link: https://www.econbiz.de/10014382180

Modelling and forecasting international interest rate spreads : UK, Germany, Japan and the USA

Gough, Orla; Nowman, Kalid Ben; Van Dellen, Stefan - In: International journal of financial engineering and risk … 1 (2014) 4, pp. 309-333

Persistent link: https://www.econbiz.de/10010476910