Pages that link to "Item:Q125805"
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The following pages link to Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model (Q125805):
Displayed 14 items.
- fracdist (Q109646) (← links)
- The market impact of a limit order (Q433360) (← links)
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination (Q515127) (← links)
- The cointegrated vector autoregressive model with general deterministic terms (Q1652953) (← links)
- Resiliency of the limit order book (Q1657443) (← links)
- Long memory interdependency and inefficiency in bitcoin markets (Q1787569) (← links)
- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets (Q2347732) (← links)
- A unifying theory of tests of rank (Q2397723) (← links)
- Estimation of long-run parameters in unbalanced cointegration (Q2512528) (← links)
- (Q2971501) (← links)
- THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS (Q2976205) (← links)
- A FAST FRACTIONAL DIFFERENCE ALGORITHM (Q5176849) (← links)
- Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models (Q5177969) (← links)
- Small‐<i>b</i> and Fixed‐<i>b</i> Asymptotics for Weighted Covariance Estimation in Fractional Cointegration (Q5256818) (← links)