Pages that link to "Item:Q2347732"
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The following pages link to Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets (Q2347732):
Displaying 9 items.
- Inference on the long-memory properties of time series with non-stationary volatility (Q1668281) (← links)
- Testing for market efficiency in gambling markets when the errors are non-normal and heteroskedastic an application of the wild bootstrap (Q1927807) (← links)
- Truncated sum-of-squares estimation of fractional time series models with generalized power law trend (Q2137818) (← links)
- Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form (Q2294518) (← links)
- Econometric analysis of financial derivatives: an overview (Q2347714) (← links)
- (Q2971501) (← links)
- R/S-bootstrapping test for fractional integration (Q5086300) (← links)
- ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY (Q5349015) (← links)
- Adaptive Inference in Heteroscedastic Fractional Time Series Models (Q6620832) (← links)
