Found: 26
Select item for more details and to access through your institution.
Estimation and inference for impulse response functions from univariate strongly persistent processes.
- Published in:
- Econometrics Journal, 2013, v. 16, n. 3, p. 373, doi. 10.1111/j.1368-423X.2012.00395.x
- By:
- Publication type:
- Article
Hierarchical Time-Varying Estimation of Asset Pricing Models.
- Published in:
- Journal of Risk & Financial Management, 2022, v. 15, n. 1, p. 14, doi. 10.3390/jrfm15010014
- By:
- Publication type:
- Article
Further Long Memory Properties of Inflationary Shocks.
- Published in:
- Southern Economic Journal, 2002, v. 68, n. 3, p. 496, doi. 10.2307/1061714
- By:
- Publication type:
- Article
Intra-Day and Inter-Market Volatility in Foreign Exchange Rates.
- Published in:
- Review of Economic Studies, 1991, v. 58, n. 3, p. 565, doi. 10.2307/2298012
- By:
- Publication type:
- Article
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics.
- Published in:
- Journal of Finance (Wiley-Blackwell), 1994, v. 49, n. 2, p. 737, doi. 10.1111/j.1540-6261.1994.tb05161.x
- By:
- Publication type:
- Article
Common Stochastic Trends in a System of Exchange Rates.
- Published in:
- Journal of Finance (Wiley-Blackwell), 1989, v. 44, n. 1, p. 167, doi. 10.1111/j.1540-6261.1989.tb02410.x
- By:
- Publication type:
- Article
Primary Commodity Prices: Economic Models and Policy (Book Review).
- Published in:
- 1991
- By:
- Publication type:
- Book Review
The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets (Book Review).
- Published in:
- 1989
- By:
- Publication type:
- Book Review
On the estimation of short memory components in long memory time series models.
- Published in:
- Studies in Nonlinear Dynamics & Econometrics, 2016, v. 20, n. 4, p. 365, doi. 10.1515/snde-2015-0120
- By:
- Publication type:
- Article
INTERPRETING ECONOMETRIC EVIDENCE ON EFFICIENCY IN THE FOREIGN EXCHANGE MARKET.
- Published in:
- Oxford Economic Papers, 1984, v. 36, n. 1, p. 67, doi. 10.1093/oxfordjournals.oep.a041628
- By:
- Publication type:
- Article
When Carry Trades in Currency Markets are not Profitable.
- Published in:
- Review of Development Economics, 2014, v. 18, n. 4, p. 794, doi. 10.1111/rode.12119
- By:
- Publication type:
- Article
Long memory models for daily and high frequency commodity futures returns.
- Published in:
- Journal of Futures Markets, 2007, v. 27, n. 7, p. 643, doi. 10.1002/fut.20267
- By:
- Publication type:
- Article
Stock Returns and Volatility.
- Published in:
- Journal of Financial & Quantitative Analysis, 1990, v. 25, n. 2, p. 203, doi. 10.2307/2330824
- By:
- Publication type:
- Article
ANALYSING INFLATION BY THE FRACTIONALLY INTEGRATED ARFIMA-GARCH MODEL.
- Published in:
- Journal of Applied Econometrics, 1996, v. 11, n. 1, p. 23, doi. 10.1002/(SICI)1099-1255(199601)11:1<23::AID-JAE374>3.0.CO;2-M
- By:
- Publication type:
- Article
BOOK REVIEWS.
- Published in:
- 1993
- By:
- Publication type:
- Book Review
BIVARIATE GARCH ESTIMATION OF THE OPTIMAL COMMODITY FUTURES HEDGE.
- Published in:
- Journal of Applied Econometrics, 1991, v. 6, n. 2, p. 109, doi. 10.1002/jae.3950060202
- By:
- Publication type:
- Article
FORECASTS MATTER: A REVIEW.
- Published in:
- 1989
- By:
- Publication type:
- Product Review
Long Memory, Realized Volatility and Heterogeneous Autoregressive Models.
- Published in:
- Journal of Time Series Analysis, 2019, v. 40, n. 4, p. 609, doi. 10.1111/jtsa.12470
- By:
- Publication type:
- Article
Estimation of GARCH Models from the Autocorrelations of the Squares of a Process.
- Published in:
- Journal of Time Series Analysis, 2001, v. 22, n. 6, p. 631, doi. 10.1111/1467-9892.00245
- By:
- Publication type:
- Article
Approximating long-memory processes with low-order autoregressions: Implications for modeling realized volatility.
- Published in:
- Empirical Economics, 2023, v. 64, n. 6, p. 2911, doi. 10.1007/s00181-022-02357-8
- By:
- Publication type:
- Article
Small Sample Bias in Conditional Sum-of-Squares Estimators of fractionally Integrated ARMA Models.
- Published in:
- Empirical Economics, 1993, v. 18, n. 4, p. 791, doi. 10.1007/BF01205422
- By:
- Publication type:
- Article
Asymptotic prediction mean squared error for vector autoregressive models.
- Published in:
- Biometrika, 1979, v. 66, n. 3, p. 675, doi. 10.1093/biomet/66.3.675
- By:
- Publication type:
- Article
On the limitations of comparing mean square forecast errors: Commentary.
- Published in:
- Journal of Forecasting, 1993, v. 12, n. 8, p. 639, doi. 10.1002/for.3980120803
- By:
- Publication type:
- Article
PREDICTION FROM THE DYNAMIC SIMULTANEOUS EQUATION MODEL WITH VECTOR AUTOREGRESSIVE ERRORS.
- Published in:
- Econometrica, 1981, v. 49, n. 5, p. 1331, doi. 10.2307/1912757
- By:
- Publication type:
- Article
REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS.
- Published in:
- Econometric Theory, 2004, v. 20, n. 3, p. 485, doi. 10.1017/S0266466604203036
- By:
- Publication type:
- Article
The Impact of Delivery Terms on Stock Return Volatility.
- Published in:
- Journal of Financial Services Research, 1989, v. 3, n. 1, p. 55, doi. 10.1007/BF00114078
- By:
- Publication type:
- Article