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Detecting contagion with correlation : volatility and timing matter
Dungey, Mardi H.; Yalama, Abdullah - 2010
Persistent link: https://www.econbiz.de/10009384425
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The weekly structure of US stock prices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Applied financial economics 21 (2011) 22/24, pp. 1757-1764
Persistent link: https://www.econbiz.de/10009384839
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Are stock prices in the US nonstationary? : evidence from contemporary unit root tests
Murthy, Vasudeva; Washer, Kenneth; Wingender, John R. - In: Applied financial economics 21 (2011) 22/24, pp. 1703-1709
Persistent link: https://www.econbiz.de/10009385050
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Asymptotic theory of range-based multipower variation
Christensen, Kim; Podolskij, Mark - 2011
Persistent link: https://www.econbiz.de/10009385084
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Locally stationary volatility modelling
Van Bellegem, Sébastien - 2011
Persistent link: https://www.econbiz.de/10009385331
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Entropy-based indicator for predicting stock price trend reversal
Sakalauskas, Virgilijus; Kriksciuniene, Dalia - In: Business information systems Workshops : BIS 2011 …, (pp. 91-98). 2011
Persistent link: https://www.econbiz.de/10009385347
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Time series approaches to Italian regional convergence
D'Uva, Marcella; De Siano, Rita - In: Applied economics 43 (2011) 28/30, pp. 4549-4559
Persistent link: https://www.econbiz.de/10009388089
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The Hodrick-Prescott (HP) filter as a Bayesian regression model
Polasek, Wolfgang - 2011
The Hodrick-Prescott (HP) method is a popular smoothing method for economic time series to get a smooth or long-term component of stationary series like growth rates. We show that the HP smoother can be viewed as a Bayesian linear model with a strong prior using differencing matrices for the...
Persistent link: https://www.econbiz.de/10009388146
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The extended Hodrick-Prescott (HP) filter for spatial regression smoothing
Polasek, Wolfgang - 2011
The extended Hodrick-Prescott (HP) method was developed by Polasek (2011) for a class of data smoother based on second order smoothness. This paper develops a new extended HP smoothing model that can be applied for spatial smoothing problems. In Bayesian smoothing we need a linear regression...
Persistent link: https://www.econbiz.de/10009388150
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Convergence of fiscal pressure in the EU : a time series approach
Delgado, Francisco J.; Presno, Maria Jose - In: Applied economics 43 (2011) 28/30, pp. 4257-4267
Persistent link: https://www.econbiz.de/10009388220