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Modeling exchange rates : long-run dependence versus conditional heteroscedasticity

Hauser, Michael A. - 1992

Persistent link: https://www.econbiz.de/10000874142

Modelling exchange rates : long-run dependence versus conditional heteroscedasticity

Hauser, Michael A. - In: Applied financial economics 4 (1994) 3, pp. 233-239

Persistent link: https://www.econbiz.de/10001164930

On Gagnon's criticism of ARMA models for real GNP growth

Hauser, Michael A. - In: Economic notes : economic review of Banca Monte dei … 23 (1994) 1, pp. 125-129

Persistent link: https://www.econbiz.de/10001165660

Measuring persistence in aggregate output : ARMA models, fractionally integrated ARMA models and nonparametric procedures

Hauser, Michael A.; Pötscher, Benedikt M.; … - In: Empirical economics : a journal of the Institute for … 24 (1999) 2, pp. 243-269

Persistent link: https://www.econbiz.de/10001388897

Measuring persistence in aggregate output: ARMA models, fractionally integrated ARMA models and nonparametric procedures

Reschenhofer, Erhard; Pötscher, Benedikt M.; Hauser, … - In: Empirical Economics 24 (1999) 2, pp. 243-269

Econometric issues in the estimation of persistence in macroeconomic time series are considered. In particular, the relative merits of estimates based on ARMA models, ARFIMA models and nonparametric procedures are investigated. It is shown that ARFIMA models are inappropriate for the purpose of...

Persistent link: https://www.econbiz.de/10005382318

Measuring persistence in aggregate output: ARMA models, fractionally integrated ARMA models and nonparametric procedures

Hauser, Michael A.; Pötscher, Benedikt M.; … - In: Empirical economics : a journal of the Institute for … 24 (1999) 2, pp. 243-270

Persistent link: https://www.econbiz.de/10006298840

Measuring Persistence in Aggregate Output : Arma Models, Fractionally Integrated Arma Models and Nonparametric Procedures

Hauser, Michael A.; Poetscher, Benedikt M.; … - 1999

Persistent link: https://www.econbiz.de/10014193102

Semiparametric and nonparametric testing for long memory : a Monte Carlo study

Hauser, Michael A. - In: Empirical economics : a journal of the Institute for … 22 (1997) 2, pp. 247-271

Persistent link: https://www.econbiz.de/10001224452

Using intraday statistics for the estimation of the return variance

Reschenhofer, Erhard - In: Journal of finance and investment analysis 2 (2013) 2, pp. 1-13

This paper proposes new estimators for the daily return variance which are based on common intraday statistics (opening, high, low, and closing prices). These estimators utilize information contained in products of absolute values of uncorrelated intraday statistics. An empirical study of nine...

Persistent link: https://www.econbiz.de/10009746033

Forecasting volatility : double averaging and weighted medians

Reschenhofer, Erhard - In: International journal of computational economics and … 1 (2010) 3/4, pp. 317-326

Persistent link: https://www.econbiz.de/10008933196