JMulTi
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Cited in
(39)- Monitoring mean changes in persistent multivariate time series
- Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
- The convergence of estimators based on heuristics: theory and application to a GARCH model
- Reducing confidence bands for simulated impulse responses
- Applied Time Series Econometrics
- Modeling the impact of real and financial shocks on Mercosur: The role of the exchange rate regime
- Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order
- Forecasting of global market prices of major financial instruments
- Residual autocorrelation testing for vector error correction models
- The univariate MT-STAR model and a new linearity and unit root test procedure
- Exploring US business cycles with bivariate loops using penalized spline regression
- An e-E-insensitive support vector regression machine
- Analysis of integrated and cointegrated time series with R.
- Autoregressive distributed lag models and cointegration
- Structural vector autoregressive analysis for cointegrated variables
- Uncovered interest rate parity and the expectations hypothesis of the term structure: empirical results for the US and Europe
- The convergence of optimization based GARCH estimators: theory and application
- Recent Advances in Cointegration Analysis
- Using a projection method to analyze inflation bias in a micro-founded model
- JBendge
- MFE toolbox
- clus
- fpp
- The uncertainty of conditional returns, volatilities and correlations in DCC models
- Improved inference for moving average disturbances in nonlinear regression models
- A power comparison between autocorrelation based tests
- Using multiple time series analysis for geosensor data forecasting
- Global hemispheric temperatures and co-shifting: a vector shifting-mean autoregressive analysis
- Asymmetric heavy-tailed vector auto-regressive processes with application to financial data
- Analytical quasi maximum likelihood inference in multivariate volatility models
- Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- A software framework for data analysis
- Panel unit root tests under cross-sectional dependence: an overview
- Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach
- Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
- The transfer problem in the euro area
- Construction of multi-step forecast regions of VAR processes using ordered block bootstrap
- Testing for identification in SVAR-GARCH models
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