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On the Analysis of Business Cycles Through the Spectrum of Chronologies.
Ghysels, E.; Sarlan, H. - Centre Interuniversitaire de Recherche en Économie … - 1994
Persistent link: https://www.econbiz.de/10005729578
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Simulation Based Inference in Moving Average Models.
Ghysels, E.; Khalaf, L.; Vodounou, C. - Centre Interuniversitaire de Recherche en Économie … - 1995
Persistent link: https://www.econbiz.de/10005729611
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Testing for Unit Roots in Sesonal Time Series ; Some Theoretical and Monte Carlo Investigation.
Ghysels, E.; Lee, H.S.; Noh, J. - Centre Interuniversitaire de Recherche en Économie … - 1991
Persistent link: https://www.econbiz.de/10005729622
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Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects.
Ghysels, E.; Jasiak, J. - Centre Interuniversitaire de Recherche en Économie … - 1994
Persistent link: https://www.econbiz.de/10005729630
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Seasonal Adjustment and Other Data Transformations.
Ghysels, E. - Centre Interuniversitaire de Recherche en Économie … - 1993
Persistent link: https://www.econbiz.de/10005729637
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The effect of nonnormality
Lieberman, Offer - 1995
Persistent link: https://www.econbiz.de/10000910559
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A laplace approximation to the moments of a ratio of quadratic forms in normal variables
Lieberman, Offer - 1992
Persistent link: https://www.econbiz.de/10000850501
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Generalized autoregressive conditional correlation
School of Economics and Finance
This paper develops a generalized autoregressive conditional correlation (GARCC) model when the standardized residuals follow a random coefficient vector autoregressive process. As a multivariate generalization of the Tsay (1987, Journal of the American Statistical Association 82, 590-604)...
Persistent link: https://www.econbiz.de/10009434862
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A Laplace Approximation to the Moments of a Ratio of Quadratic Forms in Normal Variables.
Lieberman, O. - 1992
Persistent link: https://www.econbiz.de/10005780774
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Improved Estimation Procedures for Nonlinear Panel Data Models.
Lieberman, O.; Matyas, L. - Department of Econometrics and Business Statistics, … - 1994
Persistent link: https://www.econbiz.de/10005149056