Similar Search Results - EconBiz

Frequency domain principal components estimation of fractionally cointegrated processes

Morana, Claudio - 2004

In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...

Persistent link: https://www.econbiz.de/10009636544

Testing the adequacy of smooth transition autoregressive models

Eitrheim, Øyvind; Teräsvirta, Timo - 1993

Persistent link: https://www.econbiz.de/10000882121

Fractionally integrated models with ARCH errors

Hauser, Michael A.; Kunst, Robert M. - 1994

Persistent link: https://www.econbiz.de/10000882159

A Gibbs sampler for Beyesian ARCH-models

Korn, Olaf - 1993

Persistent link: https://www.econbiz.de/10000883045

Simulation and estimation of long memory continuous time models

Comte, Fabienne - 1994

Persistent link: https://www.econbiz.de/10000883136

Estimation and testing in integer-valued AR(1) models

Brännäs, Kurt - 1993

Persistent link: https://www.econbiz.de/10000883935

Statics and dynamics of income distribution

Creedy, John - 1994

Persistent link: https://www.econbiz.de/10000883953

Desestacionalización de series económicas : un ejercicio con el IPC

Aracena D., Francisco; Basch H., Miguel; Valdés, Rodrigo O. - 1993

Persistent link: https://www.econbiz.de/10000884102

Comportamiento reciente del mercado accionario chileno : una aplicación de tests de volatilidad y eficiencia

Basch H., Miguel; Budnevich L., Carlos - 1993

Persistent link: https://www.econbiz.de/10000884104

The predictive ability of several models of exchange rate volatility

West, Kenneth D.; Cho, Dongchul - 1994

Persistent link: https://www.econbiz.de/10000884768

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