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Effects of filtering data on testing asymmetry in threshold autoregressive models
Li, Jing - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 5, pp. 549-565
Persistent link: https://www.econbiz.de/10011649160
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A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
Fernandes, Marcelo; Medeiros, Marcelo C.; Veiga, Alvaro - In: Econometric reviews 35 (2016) 5/7, pp. 1221-1250
Persistent link: https://www.econbiz.de/10011591186
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Understanding temporal aggregation effects on kurtosis in financial indices
Lieberman, Offer; Phillips, Peter C. B. - 2018
Indices of financial returns typically display sample kurtosis that declines towards the Gaussian value 3 as the sampling interval increases. This paper uses stochastic unit root (STUR) and continuous time analysis to explain the phenomenon. Limit theory for the sample kurtosis reveals that...
Persistent link: https://www.econbiz.de/10011948760
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Linear double autoregression
Zhu, Qianqian; Zheng, Yao; Li, Guodong - In: Journal of econometrics 207 (2018) 1, pp. 162-174
Persistent link: https://www.econbiz.de/10012116135
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Moving Average Threshold Heterogeneous Autoregressive (MAT-HAR) Models
Motegi, Kaiji - 2020
heterogeneous autoregression (HAR) and threshold autoregression (TAR). The MAT-HAR has multiple groups of lags of a target series …
Persistent link: https://www.econbiz.de/10012848474
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Understanding temporal aggregation effects on kurtosis in financial indices
Lieberman, Offer; Phillips, Peter C. B. - In: Journal of econometrics 227 (2022) 1, pp. 25-46
Persistent link: https://www.econbiz.de/10013441621
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A sequential test for a unit root in monitoring a p-th order autoregressive process
Hitomi, Kohtaro; Nagai, Keiji; Nishiyama, Yoshihiko; … - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 115-153). 2023
Persistent link: https://www.econbiz.de/10014313472
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Identifying trend nature in time series using autocorrelation functions and stationarity tests
Boutahar, Mohamed; Royer-Carenzi, M. - In: International journal of computational economics and … 14 (2024) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10015062771
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The value of weather information for e-commerce operations
Steinker, Sebastian; Hoberg, Kai; Thonemann, Ulrich - In: Production and operations management : an international … 26 (2017) 10, pp. 1854-1874
Persistent link: https://www.econbiz.de/10011778038
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Three Essays on the Econometrics of Survey Expectations Data
Mokinski, Frieder - 2014
This dissertation consists of three essays that have a common focus on the econometrics of survey expectations data … survey expectations data in forecasting. …
Persistent link: https://www.econbiz.de/10010464269