Pages that link to "Item:Q274926"

The following pages link to Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting (Q274926):

Displayed 25 items.

• Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (Q289172) ‎ (← links)
• Root-\(n\)-consistent estimation of weak fractional cointegration (Q451251) ‎ (← links)
• Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination (Q515127) ‎ (← links)
• Exact local Whittle estimation of fractionally cointegrated systems (Q528005) ‎ (← links)
• Semiparametric inference in multivariate fractionally cointegrated systems (Q736545) ‎ (← links)
• Multiple local Whittle estimation in stationary systems (Q955151) ‎ (← links)
• Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes (Q2039810) ‎ (← links)
• Consistent inference for predictive regressions in persistent economic systems (Q2043266) ‎ (← links)
• A comparison of semiparametric tests for fractional cointegration (Q2065321) ‎ (← links)
• Testing for parameter instability and structural change in persistent predictive regressions (Q2106367) ‎ (← links)
• Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany (Q2288947) ‎ (← links)
• Forecasting a long memory process subject to structural breaks (Q2453079) ‎ (← links)
• Estimation of long-run parameters in unbalanced cointegration (Q2512528) ‎ (← links)
• Heterogeneity in economic relationships: scale dependence through the multivariate fractal regression (Q2668295) ‎ (← links)
• DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES (Q2937710) ‎ (← links)
• (Q2971501) ‎ (← links)
• Fully modified narrow‐band least squares estimation of weak fractional cointegration (Q3018490) ‎ (← links)
• Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory (Q3539876) ‎ (← links)
• FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS (Q3632416) ‎ (← links)
• SPECTRAL FINANCIAL ECONOMETRICS (Q5059133) ‎ (← links)
• CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS (Q5059135) ‎ (← links)
• Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility (Q5085946) ‎ (← links)
• Fixed Bandwidth Inference for Fractional Cointegration (Q5226146) ‎ (← links)
• Long Memory, Realized Volatility and Heterogeneous Autoregressive Models (Q5226150) ‎ (← links)
• NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS (Q5859569) ‎ (← links)