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1
Time series
econometrics
Neusser, Klaus
-
2016
Persistent link: https://www.econbiz.de/10011485298
Saved in:
2
Analysis of integrated and cointegrated time series with R
Pfaff, Bernhard
-
2006
Persistent link: https://www.econbiz.de/10003028229
Saved in:
3
Time Series
Econometrics
Neusser, Klaus
-
2016
the models that are vital to the field. Assuming a basic knowledge of statistics and/or
econometrics
, this text is best … VAR Models -- 13. Forecasting with VAR Models -- 14. Interpretation of VAR Models -- 15.
Co-integration
-- 16. The Kalman …
Persistent link: https://www.econbiz.de/10012397877
Saved in:
4
Fractional integration and
cointegration
Haulde, Javier
;
Nielsen, Morten Ørregaard
-
2021
Persistent link: https://www.econbiz.de/10012816374
Saved in:
5
Cointegrated dynamics for a generalized long memory process : application to interest rates
Asai, Manabu
;
Peiris, Shelton
;
McAleer, Michael
;
Allen, …
- In:
Journal of time series econometrics
12
(
2020
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012258310
Saved in:
6
Chapter 6 Forecasting with VARMA Models
Lütkepohl, Helmut
-
2006
Vector autoregressive moving-average (VARMA) processes are suitable models for producing linear forecasts of sets of time series variables. They provide parsimonious representations of linear data generation processes. The setup for these processes in the presence of stationary and cointegrated...
Persistent link: https://www.econbiz.de/10014023700
Saved in:
7
Some computational aspects of Gaussian CARMA modelling
Tómasson Helgi
-
2011
Representation of continuous-time ARMA, CARMA, models is reviewed. Computational aspects of simulating and calculating the likelihood-function of CARMA are summarized. Some numerical properties are illustrated by simulations. Some real data applications are shown.
Persistent link: https://www.econbiz.de/10009388633
Saved in:
8
Some computational aspects of Gaussian CARMA modelling
Tómasson Helgi
-
2011
Representation of continuous-time ARMA, CARMA, models is reviewed. Computational aspects of simulating and calculating the likelihood-function of CARMA are summarized. Some numerical properties are illustrated by simulations. Some real data applications are shown. -- CARMA ; maximum-likelihood ;...
Persistent link: https://www.econbiz.de/10009685469
Saved in:
9
Financial
econometrics
using Stata
Boffelli, Simona
;
Urga, Giovanni
-
2016
Persistent link: https://www.econbiz.de/10013550838
Saved in:
10
Studying co-movements in large multivariate models without multivariate modelling
Cubadda, Gianluca
;
Hecq, Alain W. J.
;
Palm, Franz C.
-
2007
Persistent link: https://www.econbiz.de/10003647580
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