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A note on wavelet correlation...
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1
Modeling multivariate time series with fractional integration in macroeconomics and finance
Weigand, Roland
-
2018
Persistent link: https://www.econbiz.de/10012197752
Saved in:
2
Rejoinder : A Note on Wavelet
Correlation
and
Cointegration
Leong, Chee Kian
-
2014
This rejoinder highlights some of the differences in the test approach adopted by Fernandez-Macho (2013) in his critique of Leong and Huang (2010) and those commonly found in the literature such as Granger and Newbold(1974), Phillips (1986) and Leong and Huang (2010)
Persistent link: https://www.econbiz.de/10014143753
Saved in:
3
State-space
cointegration
modeling for the analysis of exogenous shocks to prices in Israeli-Palestinian food trade
Ihle, Rico
;
Götz, Linde Johanna
;
Rubin, Ofir D.
-
2011
employing the Kalman filter. The time-varying
cointegration
parameters suggest that the security measures indeed impacted price …
Persistent link: https://www.econbiz.de/10010356541
Saved in:
4
Multivariate fractional components analysis
Hartl, Tobias
;
Weigand, Roland
-
2019
Persistent link: https://www.econbiz.de/10011962831
Saved in:
5
Multivariate fractional components analysis
Hartl, Tobias
;
Jucknewitz, Roland
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 880-914
Persistent link: https://www.econbiz.de/10014314837
Saved in:
6
The analysis of nonstationary time series using regression,
correlation
and
cointegration
Johansen, Søren
- In:
Contemporary economics
6
(
2012
)
2
,
pp. 40-57
There are simple well-known conditions for the validity of regression and
correlation
as statistical tools. We analyse …
Persistent link: https://www.econbiz.de/10009767620
Saved in:
7
Neglected serial
correlation
tests in UCARIMA models
Fiorentini, Gabriele
;
Sentana, Enrique
- In:
SERIEs : Journal of the Spanish Economic Association
7
(
2016
)
1
,
pp. 121-178
We derive computationally simple and intuitive score tests of neglected serial
correlation
in unobserved component …
Persistent link: https://www.econbiz.de/10011458802
Saved in:
8
Trend and cyclical decoupling : new estimates based on spectral causality tests and wavelet correlations
Nachane, Dilip M.
;
Dubey, Amlendu Kumar
- In:
Applied economics
45
(
2013
)
31/33
,
pp. 4419-4428
Persistent link: https://www.econbiz.de/10010223399
Saved in:
9
Reducing the state space dimension in a large TVP-VAR
Chan, Joshua
;
Eisenstat, Eric
;
Strachan, Rodney W.
- In:
Journal of econometrics
218
(
2020
)
1
,
pp. 105-118
Persistent link: https://www.econbiz.de/10012482932
Saved in:
10
Estimating high dimensional multivariate stochastic volatility models
Pelagatti, Matteo
;
Sbrana, Giacomo
-
2020
Persistent link: https://www.econbiz.de/10012318391
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