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Conditional Gauss-Hermite filtering with application to volatility estimation
Singer, Hermann - 2008
Persistent link: https://www.econbiz.de/10003795449
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Forecasting nonlinear aggregates and aggregates with time-varying weights
Lütkepohl, Helmut - In: Jahrbücher für Nationalökonomie und Statistik 231 (2011) 1, pp. 107-133
Persistent link: https://www.econbiz.de/10008902887
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Expected a posteriori estimation in financial applications
Mazzoni, Thomas - 2008
Persistent link: https://www.econbiz.de/10003699961
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Specification testing for nonlinear time series with long-rang dependence
Gao, Jiti (contributor); Wang, Qiying (contributor);  … - 2009
Persistent link: https://www.econbiz.de/10003813950
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Functionals associated with gradient stochastic flows and nonlinear SPDEs
Iftimie, Bogdan; Mazurencu Marinescu, Miruna; Vârsan, … - In: Advanced mathematical methods for finance, (pp. 397-415). 2011
Persistent link: https://www.econbiz.de/10008991280
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Fractional smoothness and applications in finance
Geiss, Stefan; Gobet, Emmanuel - In: Advanced mathematical methods for finance, (pp. 313-331). 2011
Persistent link: https://www.econbiz.de/10008991284
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A test for second order stationarity of a multivariate time series
Jentsch, Carsten; Subba Rao, Suhasini - In: Journal of econometrics 185 (2015) 1, pp. 124-161
Persistent link: https://www.econbiz.de/10011339888
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Summability of stochastic processes : a generalization of integration and co-integration valid for non-linear processes
Berenguer Rico, Vanessa; Gonzalo, Jesús - 2011
Persistent link: https://www.econbiz.de/10009704722
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Summability of stochastic processes : a generalization of integration for non-linear processes
Berenguer-Rico, Vanessa; Gonzalo, Jesús - In: Journal of econometrics 178 (2014) 1, pp. 331-341
Persistent link: https://www.econbiz.de/10010256847
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Estimation of long-run parameters in unbalanced cointegration
Hualde, Javier - In: Journal of econometrics 178 (2014) 2, pp. 761-778
Persistent link: https://www.econbiz.de/10010257663