A regime switching long memory model for electricity prices (Q291856): Difference between revisions

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-.1016/j.jeconom.2005.07.021
@@ Property / DOI: 10.1016/j.jeconom.2005.07.021 / rank @@
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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+Long memory processes and fractional integration in econometrics
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+Q4865042
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+Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices
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+Q2723584
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+Normal rank
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+Forecasting Markov-switching dynamic, conditionally heteroscedastic processes
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+Long memory and regime switching
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+Co-Integration and Error Correction: Representation, Estimation, and Testing
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+Q4124141
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+Varieties of long memory models
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+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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+Testing for two-regime threshold cointegration in vector error-correction models.
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+Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
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+On the power of the KPSS test of stationarity against fractionally-integrated alternatives
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+Electricity prices and power derivatives: evidence from the Nordic Power Exchange
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+EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
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+Time Series Regression with a Unit Root
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+The KPSS test with seasonal dummies
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+Testing for a unit root in time series regression
@@ Property / cites work: Testing for a unit root in time series regression / rank @@
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+THE NONSTATIONARY FRACTIONAL UNIT ROOT
@@ Property / cites work: THE NONSTATIONARY FRACTIONAL UNIT ROOT / rank @@
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@@ Property / DOI @@
+.1016/J.JECONOM.2005.07.021
@@ Property / DOI: 10.1016/J.JECONOM.2005.07.021 / rank @@
+Normal rank