Works matching IS 01439782 AND DT 2019 AND VI 40 AND IP 4

Results: 14

Special Issue of the Journal of Time Series Analysis in Honour of the 35th Anniversary of the Publication of Geweke and Porter‐Hudak (1983): Guest Editors' Introduction.

Published in:

Journal of Time Series Analysis, 2019, v. 40, n. 4, p. 386, doi. 10.1111/jtsa.12478

By:

Nielsen, Morten Ørregaard;
Hualde, Javier

Publication type:

Article

Editorial Announcement.

Published in:

Journal of Time Series Analysis, 2019, v. 40, n. 4, p. 385, doi. 10.1111/jtsa.12477

By:

Taylor, Robert

Publication type:

Article

A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter.

Published in:

Journal of Time Series Analysis, 2019, v. 40, n. 4, p. 411, doi. 10.1111/jtsa.12444

By:

Taqqu, Murad S.;
Zhang, Ting

Publication type:

Article

Bayesian Inference for ARFIMA Models.

Published in:

Journal of Time Series Analysis, 2019, v. 40, n. 4, p. 388, doi. 10.1111/jtsa.12443

By:

Durham, Garland;
Geweke, John;
Porter‐Hudak, Susan;
Sowell, Fallaw

Publication type:

Article

Order Selection and Inference with Long Memory Dependent Data.

Published in:

Journal of Time Series Analysis, 2019, v. 40, n. 4, p. 425, doi. 10.1111/jtsa.12476

By:

Gupta, Abhimanyu;
Hidalgo, Javier

Publication type:

Article

Nonstationary Cointegration in the Fractionally Cointegrated VAR Model.

Published in:

Journal of Time Series Analysis, 2019, v. 40, n. 4, p. 519, doi. 10.1111/jtsa.12438

By:

Johansen, Søren;
Nielsen, Morten Ørregaard

Publication type:

Article

Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects.

Published in:

Journal of Time Series Analysis, 2019, v. 40, n. 4, p. 573, doi. 10.1111/jtsa.12436

By:

Ergemen, Yunus Emre;
Velasco, Carlos

Publication type:

Article

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:

Baillie, Richard T.;
Calonaci, Fabio;
Cho, Dooyeon;
Rho, Seunghwa

Publication type:

Article

Empirical Likelihood for a Long Range Dependent Process Subordinated to a Gaussian Process.

Published in:

Journal of Time Series Analysis, 2019, v. 40, n. 4, p. 447, doi. 10.1111/jtsa.12465

By:

Lahiri, Soumendra N.;
Das, Ujjwal;
Nordman, Daniel J.

Publication type:

Article

Fixed Bandwidth Inference for Fractional Cointegration.

Published in:

Journal of Time Series Analysis, 2019, v. 40, n. 4, p. 544, doi. 10.1111/jtsa.12455

By:

Hualde, Javier;
Iacone, Fabrizio

Publication type:

Article

A Generalised Fractional Differencing Bootstrap for Long Memory Processes.

Published in:

Journal of Time Series Analysis, 2019, v. 40, n. 4, p. 467, doi. 10.1111/jtsa.12460

By:

Kapetanios, George;
Papailias, Fotis;
Taylor, A. M. Robert

Publication type:

Article

The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility.

Published in:

Journal of Time Series Analysis, 2019, v. 40, n. 4, p. 590, doi. 10.1111/jtsa.12445

By:

Liu, Jun;
Deo, Rohit;
Hurvich, Clifford

Publication type:

Article

Asymptotic Distribution of the Bias Corrected Least Squares Estimators in Measurement Error Linear Regression Models Under Long Memory.

Published in:

Journal of Time Series Analysis, 2019, v. 40, n. 4, p. 493, doi. 10.1111/jtsa.12451

By:

Koul, Hira L.;
Surgailis, Donatas

Publication type:

Article

Issue Information.

Published in:: Journal of Time Series Analysis, 2019, v. 40, n. 4, p. 383, doi. 10.1111/jtsa.12414
Publication type:: Article