Similar Search Results - EconBiz

Neglected serial correlation tests in UCARIMA models

Fiorentini, Gabriele; Sentana, Enrique - 2014

Persistent link: https://www.econbiz.de/10011408229

Dependence estimation and visualization in multivariate extremes with applications to financial data

Hsing, Tailen (contributor); … - 2003

We investigate extreme dependence in a multivariate setting with special emphasis on financial applications. We introduce a new dependence function which allows us to capture the complete extreme dependence structure and present a nonparametric estimation procedure. The new dependence function...

Persistent link: https://www.econbiz.de/10002638718

Testing for stationary in panel data models when disturbances are cross-sectionally correlated

Jönsson, Kristian (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002099608

Two classes of covariance matrices giving simple linear forecasts

Jewell, William S. - 1975

Persistent link: https://www.econbiz.de/10003066199

Robust covariance matrix estimation : HAC estimates with long memory/antipersistence correction

Robinson, Peter M. - In: Econometric theory 21 (2005) 1, pp. 171-180

Persistent link: https://www.econbiz.de/10002674673

Cross- and auto-correlation effects arising from averaging : the case of US interest rates and equity duration

Hallerbach, Winfried G. - In: Applied financial economics 13 (2003) 4, pp. 287-294

Persistent link: https://www.econbiz.de/10001748451

The covariances between sampled autocovariances and between serial correlations for finit realisations from ARUMA time series models

Anderson, O. D.; Gooijer, J. G. de - 1981

Persistent link: https://www.econbiz.de/10001832040

The covariances between sampled autocovariances and between serial correlations for finite realisations for ARUMA time series models

Anderson, O. D.; Gooijer, J. G. de - In: Time series analysis : theory and practice 1 (1981), pp. 7-22

Persistent link: https://www.econbiz.de/10001832058

Cross- and auto-correlation effects arising from averaging : the case of US interest rates and equity duration

Hallerbach, Winfried G. - 2000

Persistent link: https://www.econbiz.de/10001503370

On the stationarity of dynamic conditional correlation models

Fermanian, Jean-David; Malongo, Hassan - 2013

Persistent link: https://www.econbiz.de/10010342712

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